A new type of credit derivative appears to be on the horizon, one based on the correlation between interest rates and risk premiums in the credit market. The so-called index contingent credit default swaps would differ from standard CDS in that their notional value would not be fixed but would be determined by fair market value assigned to another derivative, such as an interest-rate swap, rather than based on a fixed amount of debt. Trading of the new swaps could begin as soon as an industry template is created.

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