General Question with CDS

ekeenan81 · September 21st, 2011, 2:16 pm

Is there a convention in the marketplace on how resets should be handled where a deal is partially or fully termed on reset date?Ex.If I partially term a deal from 10MM to 5MM on 9/20 - should reset amount generated on 9/20 be based off the 5MM?

jonchambers · October 29th, 2011, 12:29 pm

10MM. The coupon is in arrears, and in the preceding coupon period you have received 90(-ish) days of protection on 10MM of notional therefore the coupon payable should reflect this.