CDS – Page 6 – Fincyclopedia

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Leveraged CDS

A credit default swap (CDS) in which the underlying is a syndicated secured loan rather than corporate or sovereign bonds,...

Linear CDS

A linear credit default swap; a basket credit default swap (credit default basket swap) in which the investors (protection sellers)...

Pay-As-You-Go CDS

A credit default swap (CDS) transaction which has as underlying a bond such as an asset-back security (ABS) or a...

PAUG CDS

It also stands for pay-as-you-go CDS. A credit default swap (CDS) transaction which has as underlying a bond such as...

Debt Value Adjustment

It is a type of cross valuation adjustment/ x-value adjustment (XVA) that takes out the effects of changes in the...

PECS Basis

The difference between the CDS spread and par equivalent CDS spread: PECS basis = CDS spread - PECS It captures...

Gross Spread

In relation to credit spreads (in credit spread swaps, credit spread options, etc.), it is the difference between the credit...

Zero Recovery CDS

A credit default swap (CDS) that automatically terminates with one counterparty of which having to make no further payments if...

Dynamic Credit Default Swap

A credit default swap (CDS) which links the notional amount, on which the swap payoff is based, to the daily...

Nth-To-Default Swap

A credit default swap (CDS) whereby the protection buyer makes a payment to the protection buyer only after the Nth...