Credit Derivatives

Credit Derivatives: Understanding and Working with the 2014 ISDA Credit Derivatives Definitions

By (author) Edmund Parker

Publication date:

01 January 2017

Publisher

Globe Law and Business

ISBN-13: 9781787420298

Credit derivatives have emerged from the financial crisis as a stronger and more robust product, heavily used by financial institutions, corporations, insurers, asset managers and pension funds. Much of the original title, Credit Derivatives: Documenting and Understanding Credit Derivative Products, focused on the 2003 ISDA Credit Derivative Definitions. With the launch of the 2014 ISDA Credit Derivatives Definitions, which became market standard definitions for documenting credit derivatives transactions on 6 October 2014, this new edition provides similarly detailed and comprehensive analysis of the heavily updated 2014 Definitions. This book covers the 2014 Definitions in detail, while also discussing the differences with the predecessor definitions. This practitioner-oriented title also covers auction settlement, the DC Rules, POB Rules, SRO Rules and the Determinations Committees, as well as looking in detail at the products that the 2014 Definitions are used with, such as single name and index credit default swaps, and structured products. The new edition provides practical reading for lawyers, whether in private practice or in-house, and all credit derivatives market participants looking to gain a solid understanding of the new definitions. Author Edmund Parker is the global head of Mayer Brown’s Derivatives & Structured Products practice and an internationally recognised leading expert in the field.

Foreword 5 Part I. Overview of Credit Derivatives Introduction to credit derivatives 7 Types of credit derivative products used with the 2014 ISDA Credit Derivatives Definitions 31 Single Name Credit Default Swaps 71 Index Credit Default Swaps 101 Part II. Overview of the 2014 ISDA Credit Derivatives Definitions Differences between the 117 2003 and 2014 ISDA Credit Derivatives Definitions 117 Overview of the 2014 ISDA Credit Derivatives Definitions 175 Part III. 2014 ISDA Credit Derivatives Definitions in detail Introduction, preamble 251 and Article I – Certain General Definitions Article II – Terms Relating to the Reference Entity and the Reference Obligation 283 Article III – Terms Relating to Obligations and Deliverable Obligations 307 Article IV – Credit Events 337 Article V – General Terms Relating to Settlement 349 Article VI: Terms Relating to Auction Settlement 353 Article VII – Terms Relating to Cash Settlement 363 Article VIII – Terms Relating to Physical Settlement 381 Article IX – Fallback Provisions Applicable to Physical Settlement 397 Article X – Effect of DC Resolutions 411 Article XI – Additional Representations and Agreements of the Parties 415 Article XII – Initial Payment Amount, Fixed Amounts and Floating Rate Payer Calculation Amount 421 Article XIII – Credit Derivatives Physical Settlement Matrix 431 Article XIV – Non-Standard 437 Event Determination Date and Non-and Non-Standard Exercise Cut-off Date 437 Part IV. Ancillary Topics Supporting documentation and Supplements to the 2014 Definitions 443 The ISDA Credit Derivatives Determinations Committees, DC Rules, SRO Rules and POB Rules 459 Credit Derivatives Auction 519 Settlement Terms About the author 551

Mr Parker ably achieves this goal [of creating a better understanding of credit derivatives products] through a combination of lucid prose, well organized charts and helpful examples.

Credit Derivatives