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Credit EventProcessing credit events as corporate actions allows for a single announcement to be processed against all entities |
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and creates a consistent workflow between CDXs and other asset classes. |
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ProcessCorporate actions involve a two-step process of setting up an announcement, then triggering it.
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Fields
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Credit Event Example
Example C shows credit event calculations, including factor and notional adjustments.
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Interest accrues from most recent coupon date up to and including Event Determination Date. There are some exceptions, as shown in Example D below. Rebate is applicable when Event Determination Date < Most Recent Coupon Date < Cash Settlement Date of Credit Event. |
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Roll (V17 R2)When credit events occur CDXs start trading on a new factor and a new "series" of the CDX is issued. This new series has identical terms and conditions, with the exception of a change to the identifier. Beginning in V17 R2 existing positions can be rolled to the new series using an Exchange Offer corporate action. This allows a single announcement to be processed against all entities holding the CDX. Applying the corporate action is a two-step process as described below.
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