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Further questions on SPV for principal-at-risk longevity bond

E

Edward chong

Member
Hi all,

Referring to "Special Purpose Vehicle" for longevity bonds on page 10 unit 15 of core reading for 2014 exams, I would like to ask that:
a) Are assets bought using total premium paid to SPV being earmarked as collateral assets?

b) Is over-collateralisation a must for a SPV to reduce counterparty default risk?

c) How a TRS reduces counterparty default risk? Why is there a margin for “LIBOR less Margin”?

d) Do the variation margins (for swap with TRS) being included in the collateral assets or held in a separate account?

e) What are the examples for credit enhancement agency? Do they necessarily have a better credit rating than the SPV to reduce counterparty default risk?

f) Who are the providing parties for credit insurance contracts?

Thank you!
 
These are largely answered in your other post. Plus:
(c) With a TRS, you receive full return even if investments default
(f) Credit insurance could be provided by an insurer, bank or specialist CEA
 
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