Locally Defined Credit Basket

Definition

Locally Defined Credit Basket. A basket of securities and/or reference entities monitored for credit purposes.

This would be the underlying of a non single-name Credit Default Swap. Review session notes: Basket is not just a basket of securities but a basket of securities and/or reference entities. The basket has terms about the nth entity to default and so on. So it works like a locally defined credit index, which (we assume) works in a similar way. Modeling note: Credit Index now modeled using information from OTPP, where each constituent is one Reference Entity and one corresponding instrument. Assume this arrangement works the same way. Modeled accordingly. See Indices and Indicators section for equivalent terms for published Credit Index.

Disclaimer

This entry annotates a FIBO Ontology Class. FIBO is a trademark and the FIBO Ontology is copyright of the EDM Council, released under the MIT Open Source License. There is no guarantee that the content of this page will remain aligned with, or correctly interprets, the concepts covered by the FIBO ontology.