Credit default swaps on asset-backed securities


The asset-backed security (ABS) credit default swap market lies at the intersection between two massive markets, the ABS market and the credit default swap market. At present, the activity in this market represents a tiny fraction of the overall credit derivatives market, but this market has been growing and more growth is anticipated. This article addresses several of the issues that arise when drafting credit derivative contracts that reference asset backed securities (which we refer to as ‘AB

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