Zero recovery credit default swap indices
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United States of America Patent
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Issued Date -
Jul 10, 2008
app pub date -
Jan 5, 2007
filing date -
Jan 5, 2007
priority date (Note) -
Abandoned
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Abstract
A zero recovery credit default swap (CDS) having a portfolio of constituents, where a seller of the CDS agrees to pay a buyer a contingent payment upon each occurrence of a credit event involving a constituent of an underlying index. The contingent payment may equal the notional value times the number of credit events occurring during the period divided by the total number of constituents N.
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