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Derivatives

ISDA Readies Expanded ABS CDS Template...

The International Swaps and Derivatives Association plans to start work on a template for settling credit-default swaps on collateralized debt obligations, credit card receivables, student loans, auto loans and non-U.S residential mortgage-backed securities.

The International Swaps and Derivatives Association plans to start work on a template for settling credit-default swaps on collateralized debt obligations, credit card receivables, student loans, auto loans and non-U.S residential mortgage-backed securities. The form will be modeled on the pay-as-you-go template for CDS on U.S. RMBS and commercial MBS, known as Form I. "It will mimic the structure of PAUG," said Kimberly Summe, ISDA general counsel. "But credit events and settlement terms will be tied to the attributes of a different underlying asset pool." A working group has been formed, but Summe said work on the project will not begin until mid to late March.

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