CDS - Credit Default Swaps

  • 2022 - FRB - Credit Default Swaps, Antulio N. Bomfim - 27p
  • 2005 1107 - STATEMENT ON CREDIT DEFAULTS SWAPS PROVIDED IN RESPONSE TO IRS NOTICE 2004-52 - NOVEMBER 7, 2005 Re: Statement on Credit Default Swaps Provided in Response to IRS Notice 2004-52 - 20p

Sample Replication Filing #2 - Example of Replication (Synthetic Asset) - Transaction Documentation

  • 1) The $500 cash outflow noted in year three represents the loss as defined in the swap agreement.
    • This could be a function of stipulated market valuations, or tied to an index of recovery values (e.g., S&P).  (p470)

1998-1, NAIC Proceedings - Valuation of Securities (EX.4) Task Force

  • The working group received an update regarding credit derivatives and noted that a synthetic exposure that included a credit default swap could bring about more risk to the investor than the cash market equivalent due to the default event definition in the default swap. (p343)

--  10. Report of the Valuation of Securities Task Force 

2001-1, NAIC Proceedings

5. Replication Transactions

  • Mr. Evangel read a report on these transactions prepared by Mr. Driscoll.
  • Mr. Gorski asked the SVO staff to expand the report to include a more detailed discussion on the nature of credit default swaps and the counterparties involved in them.  (p841)

Valuation of Securities Task Force

2002-1, NAIC Proceedings