skip to main content
Briefing

Credit Defaults Swaps on Asset-Backed Securities (ABCDS)

Appears in: North America, Finance and Banking, Markets, United States, Derivatives, Securitization and Structured Finance

Background:

Credit default swaps reference not a corporate bond, but rather an asset-backed security such as RMBS and CMBS, and are subject to a separate ISDA template. The "Pay-AsYou-Go" (PAUG) template for home equity loan (HEL) ABS was issued in 2005 by the International Swaps and Derivatives Association (ISDA) and is the benchmark ABCDS format. According to Nomura on March 7, 2005, "A HEL ABS typically has a long maturity, so the maturity of the CDS contract tends to match that of the reference bond. A PAUG CDS referencing HEL ABS does not terminate even after multiple trigger events (called 'floating amount events'). A floating amount event may be reversed in a subsequent period, in which case previous floating payments to the protection buyer must be reimbursed to the protection seller. The notional amount of a ABCDS is adjusted as any of the reference home equity loans (1) amortizes, (2) prepays, (3) is written down, (4) defaults, or as previous floating amount events are reversed."

Access to this content is restricted to RGE clients.

If you have a client code, please enter it here to activate your client account.

Click here for a free trial.

Learn About Our Services:

RGE Research

Our dynamic and intuitive macroeconomic research platform keeps you on top of the extraordinary shifts that transform our global economy, allowing users to uncover unique connections and insights. Discover the resource central banks and that 70% of the world's leading hedge funds, asset managers, PE firms, banks and corporations around the world depend on.

Our market strategists build on the work of our macroeconomic research team, incorporating market dynamics to answer crucial questions and generate actionable investment recommendations. RGE's Market Research and Strategy team gives clients actionable insight across six key asset classes:

• Currencies • Commodities
• Credit • Equity • Gov’t Bonds / Rates
• Emerging Markets • Financials
• Cross Asset Model Portfolio

RGE Strategy

Sometimes, reading research is not enough. Many RGE clients participate at the Roubini Direct Access level to gain a deeper understanding of specific issues. Through interactive live sessions, we engage with world-class thinkers, encourage knowledge sharing, idea generation, risk identification and validation of client initiatives.

Learn More »

For information on becoming an RGE Client, please speak with an RGE Representative in New York at +1 212-645-0010, or in London at +44 (0) 207 092 8850, or email americas@roubini.com for the Americas, europe@roubini.com for Europe, the Midddle East and Africa, and asia@roubini.com for Asia/Pacific.

Publications

Our Research
?

Our Thoughts
?

Outlook Center
?

Central Bank Watch
?

Key Views
?

Scenario Analysis
?
RGE Clients can activate their account by updating Manage My Account

Top 10 Most Read

Our Research
1. Europe’s Playbook for Financial Crises
Our Research
2. Debt and Deleveraging: Will China Turn Japanese?
Our Research
3. Recent U.S. Data Signals Suggest Slow and Steady Activity
Our Research
4. Commodities: Rising Supply, but Sticky Prices
Our Thoughts
5. Mexico's weak Q1 growth numbers
Our Thoughts
6. Private sector performance in Japan's Q1 GDP numbers
Central Bank Watch
7. RGE Policy Interest Rate Forecasts
Our Research
8. India Trip Report: Policy Failures Dent Potential Growth; Is a Mea Culpa Too Little Too Late?
Our Research
9. A Man, a Plan and the Bank of Japan: Four Scenarios for USD/JPY
Our Research
10. The Eurozone Malaise: From Economic Causes to Market Implications

ROUBINI FEEDBACK FORUM

What Do You Think?
Weigh in on Roubini.com's new look or report any problems you encounter.

Website Feedback Content Feedback