CDS – Page 8 – Fincyclopedia

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Par Equivalent CDS Spread

A measure of the creditworthiness of a bond. It sets the bond’s Z-spread curve against the CDS contract (CDS spread)....

Black Box Transaction

A portfolio default swap whose exact composition of obligors is not disclosed to the protection seller (in a credit derivative...

Swap Day Count Convention

The interest payment of a swap is determined based on compounding according to a specific day count convention (such as...

Credit Event Cash Settlement

In the context of credit default swaps (CDS) and similar credit derivatives, settlement takes place once a credit event (bankruptcy,...

DVA

An abbreviation for debt valuation adjustment (debit value adjustment). A type of cross valuation adjustment/ x-value adjustment (XVA) that takes...

Debit Value Adjustment

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

Debit Valuation Adjustment

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

CCDS

It stands for contingent credit default swap; a credit default swap (CDS) which is “contingent” upon the setting-off of two...

Contingent CDS

A credit default swap (CDS) which is “contingent” upon the setting-off of two triggers. The first, as in an ordinary...

Contingent Credit Default Swap

A credit default swap (CDS) which is “contingent” upon the setting-off of two triggers. The first, as in an ordinary...