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For the purpose of determining the current replacement cost of the CCDS, NOVARUM and its APPROVED COUNTERPARTIES contractually agree to use the CCDS Standard Valuation Model ("CCDS-SVM").
The CCDS-SVM is derived from the risk-neutral replication of the CCDS from a portfolio of plain vanilla OTC derivative products, where future prices are assumed to be independent. The CCDS-SVM will be supported by an independent market vendor to facilitate the timely resolution of disputes. |
© 2008 Novarum Partners Limited