CDS of ABS
CDS of ABS or CDS on ABS or ABCDS are credit default swaps that reference ABS or asset-backed securities, including MBS, RMBS and CMBS.
They function in the same manner as other CDS, but a typical CDS of an ABS provides for a potential stream of payments over the life of a security. More specifically, a typical CDS of ABS provides for the protection seller to cover cashflow shortfalls during the entire life of the reference obligation without requiring termination of the contract. This is often called a pay as you go or pay-as-you-go or PAUG structure. CDS of ABS are also traded in index form referencing the IHS Markit ABX series of indices.
Significant Risk Transfer
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