Easy as ABCDS
The market for single-name credit default swaps on asset-backed securities has been talked about for some time, but activity remains limited. This could change this year as the documentation issues which have been the major obstacle in the development of the market are resolved. Sarfraz Thind wonders whether this will herald a product explosion
Credit default swaps on asset-backed securities, otherwise known as ABCDS, are a relatively new phenomenon. While the market has been talked about for a number of years (see Credit, November 2002, pp. 42–45), trading volumes have been slim, hampered by a lack of standardised documentation and definitions.
Market estimates put the size of the ABCDS market at around 5% of the overall credit derivatives market, which stood at $8.4 trillion at the end of 2004, according to the latest
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