Credit derivatives

Credit derivatives guidance:

Short selling, or 'going short', is a technique whereby traders sell shares or debt instruments ('securities') which they do not own at the time of entering into the...

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BREXIT: As of 31 January 2020, the UK is no longer an EU Member State, but has entered an implementation period during which it continues to be treated by the EU as a...

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What is a CDO? Core concepts Collateralised debt obligations (CDO) are complex, high-value transactions involving numerous parties, extensive documentation and, usually,...

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What is a CPPI transaction? 'CPPI' stands for constant proportion portfolio insurance, and refers to a form of investment strategy. 'Constant proportion' refers to the...

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Step-by-step guide • Protection seller (party A) and protection buyer (party B) enter into an ISDA Master Agreement, Schedule and confirmation with each other to document...

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Step-by-step guide • Protection seller (party A) and protection buyer (party B) enter into an ISDA Master Agreement, Schedule and confirmation with each other to document...

Practice Note

Step-by-step guide • Protection seller (party A) and protection buyer (party B) enter into an ISDA Master Agreement, Schedule and confirmation with each other to document...

Practice Note

BREXIT: As of 31 January 2020, the UK is no longer an EU Member State, but has entered an implementation period during which it continues to be treated by the EU as a...

Practice Note

BREXIT: As of 31 January 2020, the UK is no longer an EU Member State, but has entered an implementation period during which it continues to be treated by the EU as a...

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Settlement methods Once a credit derivative transaction has been triggered, the parties to that transaction will want to settle it so that they each receive any amounts...

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What are successors? 'Reference entity' is defined in Section 2.1 of the 2014 ISDA Credit Derivatives Definitions (the 2014 Definitions) as being the entity specified in...

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BREXIT: As of 31 January 2020, the UK is no longer an EU Member State, but has entered an implementation period during which it continues to be treated by the EU as a...

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The background to the 2014 ISDA Credit Derivatives Definitions In 1999 the first set of credit derivatives definitions were published which were followed by a new version...

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What is a credit default swap? A CDS is a form of credit derivative agreement, under which the buyer will make regular premium payments to the seller, called the spread....

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What are credit derivatives and what are credit events? What is a credit derivative? A credit derivative is a bilateral transaction which takes its underlying value from...

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How a total return swap works • The TRS payer is a bank, A, and the TRS receiver is a hedge fund, B. • A holds the reference asset on its balance sheet. • A agrees to buy...

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What is a total return swap? A total return (or total rate of return) swap, (TRS), is a method of transferring the credit and market, risk of an asset or basket of assets...

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How is a credit event determined? Article 4 of the 2014 ISDA Credit Derivative Definitions (the 2014 Definitions) sets out the types of credit event that can occur....

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BREXIT: As of 31 January 2020, the UK is no longer an EU Member State, but has entered an implementation period during which it continues to be treated by the EU as a...

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