A combination of an interest-bearing debt security or instrument and a credit default swap. The face value or principal amount...
A floating-rate note (floater) which entails the payment of a coupon only up to a preset maximum level of the...
It stands for credit support annex; a collateral arrangement the purpose of which is to mitigate counterparty risk in an...
A collateral arrangement the purpose of which is to mitigate counterparty risk in an OTC derivative contract such as swaps....
It stands for contingent credit default swap; a credit default swap (CDS) which is “contingent” upon the setting-off of two...
A credit default swap (CDS) which is “contingent” upon the setting-off of two triggers. The first, as in an ordinary...
A credit default swap (CDS) which is “contingent” upon the setting-off of two triggers. The first, as in an ordinary...
A trade that deactivates (typically with zero-recovery) if either party defaults regardless of which is in the money. It also...
A trade that deactivates (typically with zero-recovery) if either party defaults regardless of which is in the money. It also...
Counterparty credit risk is a source of great concern for end users and dealers in the swaps market (market for...