The International Swaps and Derivatives Association is planning tomorrow to publish a template for trading credit-default swaps on tranches of collateralized debt obligations. Louise Marshall, spokeswoman, said the final version being released incorporates minor changes from member feedback (DW, 5/26).
"The template is based on pay-as-you-go," Marshall said, which is already used in CDS of ABS documentation. "The prime difference is implied writedown." The CDS on CDO document will leave the treatment of implied writedowns open to optional PAUG or physical settlement.
