Single-Name CDSs

Christopher L. Culp (), Andria van der Merwe () and Bettina J. Stärkle ()
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Christopher L. Culp: Johns Hopkins University
Andria van der Merwe: Johns Hopkins University
Bettina J. Stärkle: Compass Lexecon

Chapter Chapter 2 in Credit Default Swaps, 2018, pp 15-65 from Palgrave Macmillan

Abstract: Abstract Single-name credit default swaps (“CDSs”) are financial instruments that facilitate the transfer of credit risk on a defined universe of debt securities issued by an underlying reference entity from credit protection purchasers to sellers. Underlying reference names include corporations, sovereigns, and other borrowers. Payments by protections sellers to purchasers are based on the occurrence of any of several credit events, as defined in the documentation governing single-name CDS transactions. We describe here the significant economic terms of single-name CDSs, the evolution of the documentation of single-name CDSs, and several specific actual and would-be credit events that have generated significant discussion regarding CDS documentation and the viability of single-name CDSs as price discovery and risk transfer instruments.

Keywords: Single-name credit default swaps; Single-name CDS; Credit event; Restructuring event; ISDA credit derivatives definitions; Settlement methods; CDS auctions; Sovereign CDS; Reference name; Reference entity; Hovnanian; Noble group; Big bang protocol; Physical settlement; Auction settlement; Cheapest-to-deliver (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:pal:psircp:978-3-319-93076-3_2

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DOI: 10.1007/978-3-319-93076-3_2

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