Credit Default Swaps: The Vanilla Essence
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Publicly available information and eligible information
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
18.1 INTRODUCTION
Having taken a deep dive into the requirements of each credit event and the requirements relating to a successor determination, this part of the expedition builds on evidentiary, administrative and timingrelated matters. This chapter specifically covers the type of information that constitutes evidence to establish a credit event and make a successor determination. This chapter expounds the definition of “publicly available information” (PAI) and briefly describes a “notice of publicly available information” (NPAI). The nature of PAI, the acceptable sources of PAI and the types of information that need not be stated in a PAI are explored. The chapter also focuses on confidentiality obligations and describes the impediment such obligations create in establishing the evidence required for determinations under the 2014 ISDA Credit Derivatives Definitions (henceforth the “2014 Definitions”; see International Swaps and Derivatives Association Inc. 2014b). In the concluding section, the wider form of information, namely “eligible information”, which is required in assessments relating to successor determinations and the “credit deterioration requirement”, is outlined
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