CONTENTS

Section Page
Executive Summary The Evolving Credit Derivatives market 2
The Motivation for Credit
Derivatives
Credit Derivative Instruments Overview to Credit Derivative Instruments
–Default Swaps
–Portfolio Default Swaps
–Credit Spread Options
–Total Return Swaps
–Index Swaps
–Structured Assets
–Collateralized Debt Obligations
Role of SPVs 21
Valuation Models 22
Regulatory Considerations 23
Tax Considerations 26
Appendix 29