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Derivatives

  Derivatives   |   Tutorial
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  • February 9, 2023
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Examples of Credit Portfolio Derivatives

A credit portfolio derivative is a credit derivative in which the underlying is a portfolio of credit names (credit portfolios). The performance of this derivative depends on the performance of the collection of credit names over its defined term.

The main examples of credit portfolio derivatives are dynamic portfolio swaps, basket default swaps, nth-to-default basket swaps, index credit default swaps (index CDS), single-tranche collateralized debt obligations (single tranche CDOs), forward-starting STCDOs, tranche options, and index tranches.


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