PPT Slide

Basket default notes

Holder earns an enhanced return for taking on compounded credit-

risk – the credit events of a basket of debts.

Full principals are returned unless a credit event occurs during the life

of the note.

First-to-default structure

In the event of a default of any of the bonds in the basket, the holder

redeems the note at par times the recovery rate of the first bond to

default.