Thank you. Rgds.

<t>Need to understand the pricing model and the risk management for the Contingent Credit Default Swaps (C-CDS). It is a variable/floating/dynamic notional CDS on an IRS where the notional is equal to the MTM of the IRS with the referenced underlying counterparty/obligor should that obligor default....

Rough estimate for on-shore IRS (MIFOR and OIS) trading would be about USD 225 mio to USD 700 mio notional principal per day.