Easy as ABCDS

ABS tiering

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Credit default swaps on asset-backed securities, otherwise known as ABCDS, are a relatively new phenomenon. While the market has been talked about for a number of years (see Credit, November 2002, pp. 42–45), trading volumes have been slim, hampered by a lack of standardised documentation and definitions.

Market estimates put the size of the ABCDS market at around 5% of the overall credit derivatives market, which stood at $8.4 trillion at the end of 2004, according to the latest fig

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