Credit Baskets Proposal. CD-FpML Working Group John Weir. Contents. Overview of CreditBasket Product FpML Schema Proposal Discussion. Overview of Credit Baskets. Different classes of Credit Basket Products Index Tranches
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CD-FpML Working Group
Different classes of Credit Basket Products
Provides protection on the accumulated losses from credit events that occur on any of the constituents of the index or basket as a percentage of the Implied Portfolio size between the attachment and exhaustion points
Provides protection only for the losses when Credit Events occur on ‘N’ reference Entities in the portfolio
Based on much of the work done by:
Leverage general approach and type definitions from the Default Swap
Some Variations from the Credit Default Swap
Provide protection only for the losses when credit events occur on “N” Reference entities in the portfolio
Delta Neutral Trading strategy?