A Question about Nth to Default CDS

jenniferlwj · April 13th, 2006, 2:37 pm

I have a question about nth to default CDS that I'm not clear. Say for 2nd to default CDS, after 1 default, how do we pay the premium fee? Do we adjust the total notional to exclude that name? Or we still pay based on the notional from the beginning?I looked for various reference, they don't say it clearly which seems pretty obvious.Thanks for your information...

sportbilly · April 17th, 2006, 11:32 am

Without ever having seen a term sheet for one, I believe the structure of an n'th to default swap is such that the notional is NOT reduced as the defaults 1 to n-1 occur.

amitbatra · November 22nd, 2006, 10:39 am

I'd tend to agree... please read my detailed reply on the general forum here -> http://www.wilmott.com/messageview.cfm? ... adid=37649