Credit Default Swaps: The Vanilla Essence
First published:
If you are a Risk.net subscriber you are entitled to 20% off your Risk books purchases. Please email enquiries@riskbooks.com for more information.
As part of your Risk.net subscription you are entitled to 20% off all of your Risk Books purchases. If you would like to place an order please email enquiries@riskbooks.com
Governmental intervention and contingent convertible capital instruments
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
16.1 INTRODUCTION
This chapter focuses on governmental intervention. In the first section of the chapter, the events that precipitated the introduction of governmental intervention as a new credit event under the 2014 ISDA Credit Derivatives Definitions (henceforth the “2014 Definitions”; see International Swaps and Derivatives Association Inc. 2014b), and the differences between a governmental intervention and a restructuring, are explained. The chapter then discusses the integral conditions that give rise to a governmental intervention. In this section, the determinations of the external review panel in the Novo Banco SA Deliberation (Governmental Intervention) are drawn into the discussions for an insight into the interpretation of some of the conditions relating to governmental intervention. The chapter concludes with a brief discussion on contingent convertible capital instruments (CoCos), and describes how the operation of the 2014 CoCo Supplement to the 2014 ISDA Credit Derivatives Definitions (the “CoCo Supplement”), when incorporated into the terms of a transaction can give rise to a governmental intervention.
16.2 CREATION OF A NEW CREDIT EVENT
“Governmental
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
