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By Moorad Choudhry

Juvenile popular culture references, an inconsistent "compilation of my notes" writing variety, steeped within the jargon of mounted source of revenue, vulnerable assurance of comparable securities outdoors of the asset category (EDS vs. vanilla call), and stupifyingly overpriced given its breadth and size. this can be relatively a hard-backed magazine paper that are supposed to be bought basically with an individual else's money.

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While it is possible to buy a CDS that covers all the named assets in the event of default, this is rare, and the most common basket CDS provides protection on a selection of the names in the basket only. For instance, if there are q names in the basket, the basket CDS may be one of the following: • first-to-default, which provides credit protection on the first default in the basket only; • second-to-default, which provides credit protection on the second default in the basket (but not the first); nth-to-default, which provides protection on the first n (out of q) defaults in the basket; last pth-to-default, which provides protection on the last p (out of q) defaults.

125%. In other words, this note allows investors to take on a credit play on the fortunes of the issuer. 5 shows Bloomberg screen YA for this note, as at 3 June 2003. 375%. 4 Like the British Telecom bond, this is a CLN whose return is linked to the credit risk of the issuer, but in a different way. 9%. In fact, the issuer called the bond with effect from the coupon change date. 7 shows the Bloomberg screen YA for the bond and how its coupon remained as at first issue until the call date. 8. This is a JPY-denominated bond issued by Alpha-Sires, which is an MTN programme vehicle set up by Merrill Lynch.

85 as before. 8. We see that the interpolated spread over US Treasuries is 69 basis points. 6: Bloomberg page YA for British Telecom 7% 2007 bond, as at 11 June 2003. P. Reproduced with permission. 7: Bloomberg page ASW for British Telecom 7% 2007 bond, as at 11 June 2003. P. Reproduced with permission. 8: Determination of British Telecom 7% 2007 bond yield spreads, using Bloomberg screen YAS, as at 11 June 2003. P. Reproduced with permission. 28 An Introduction to Credit Derivatives 60 basis points over Treasuries on issue.

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