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Index swaps using S&P/Case-Shiller Home Price Indices will replicate the inherent leverage of credit default swap (CDS). This structure is designed to provide levered exposure funded on a running basis, and will likely be rated.

A contract would specify:
    › a running premium,
    › a defined triggering event (i.e., when a designated S&P/Case-Shiller Home Price Index falls below a specified level or strike value), and
    › a contingent payout on an agreed-upon notional amount
The actual contract payout would be calculated as a percentage of the agreed-upon notional amount.

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