Credit Baskets信用篮子.pptVIP

Credit Baskets Proposal CD-FpML Working Group John Weir Contents Overview of CreditBasket Product FpML Schema Proposal Discussion Overview of Credit Baskets Different classes of Credit Basket Products Index Tranches Provides protection on the accumulated losses from credit events that occur on any of the constituents of the index or basket as a percentage of the Implied Portfolio size between the attachment and exhaustion points Credit Index Tranche on Standard Index (*ITraxx etc) Credit Index Tranche on Custom Basket of Reference Entity/Obligations Nth to default baskets Provides protection only for the losses when Credit Events occur on ‘N’ reference Entities in the portfolio General approach Based on much of the work done by: Bernard Mullen at Sunguard, Milla Bouklieva and team at Goldman Sachs Leverage general approach and type definitions from the Default Swap Based on FpML 4-2 revision Reuse of the all the key types and elements from the Credit Default swap Keeps vocabulary consistent while not overloading, nor diluting the definition of the CDS Some Variations from the Credit Default Swap Additional sections in General Terms Underlyer - Captures basket constituents in similar style to Equity Swaps Addition of Tranche or Nth to default ‘style’ Add Margin schedule around tranche Potential for Multiple Protection Terms Each Entity in a Custom Basket can have specific protection terms. More likely many will share a couple of common sets Potential for Multiple Settlement terms Each Entity in Custom Basket can have its own settlement Terms, Physical and/or Cash. More likely many will share a couple of common sets Credit Baskets::Product Separate FpML Product Multiple sets of protection terms and Settlement terms Similar in style to CDs Credit Basket :: General terms Resues same elements as Cds::General Terms No type extension from Base New Underlyer element in Style of EquitySwap Multiple anonymous choices can confusing to reader (IMHO) Choice of