Credit Default Swaps: The Vanilla Essence
First published:
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Appendix
Appendix
Foreword
Preface
A credit default swap snapshot
Parties and key players
Documentation and standard trading conventions
Credit risk period, scheduled termination date and termination date
Fixed amounts, floating rate payer calculation amount and initial payment amount
Qualifying guarantee and qualifying affiliate guarantee
Reference obligation
Subordination and the senior non-preferred supplement
Outstanding principal balance and due and payable amount
Obligations and deliverable obligations
Credit event overview
Bankruptcy
Failure to pay
Repudiation/moratorium
Restructuring and redenomination
Governmental intervention and contingent convertible capital instruments
Successor determinations
Publicly available information and eligible information
Notices
Business day terms and timing rules
Event determination date and settlement methods
Auction settlement
Cash settlement
Physical settlement
Physical settlement fallback procedures
Orphaning
Fixed recovery transaction and reference obligation only trade
Novation and early termination
Economic sanctions: compliance challenges
Disclosures and regulations
Conclusion: at the ‘Exit Checkpoint’
Appendix
References
ABBREVIATIONS AND DEFINITIONS
| AACS | assignment, arrangement, scheme, or composition |
| BIS | Bank for International Settlements |
| CDS | credit default swap |
| CLN | credit linked note |
| CoCos | contingent convertible capital instruments |
| Covid-19 | coronavirus pandemic 2019 |
| CRR | Capital Requirements Regulation |
| CSC | Credit Steering Committee |
| DC | the Credit Derivatives Determinations Committee |
| DDCAS | DC Administration Services, Inc. |
| DPA | due and payable amount |
| DRRAA | discharged, released, reduced, assigned or otherwise altered |
| DTCC | Depository Trust and Clearing Corporation |
| EC | European Commission |
| ECB | European Central Bank |
| EU | European Union |
| EU BRRD | EU Bank and Recovery and Resolution Directive |
| euro (€) | The lawful currency of the member states of the EU that adopt the single currency in accordance with the treaty establishing the European Community (March 25, 1957), as amended by the Treaty on European Union (February 7, 1992), the Treaty of Amsterdam (October 2, 1997), the Treaty of Nice (February |
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