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Credit Default Swap

A swap agreement that gives the holder the right to sell a contractual obligation (bond, loan) for its face value in the event...

Call CDS

A credit default swap (CDS) option that grants the holder the right to buy credit protection on a specific reference entity during a predetermined future...

Call Credit Default Swap

Also call CDS. A CDS option that grants the holder the right to buy credit protection on a specific reference entity during a predetermined future period starting...

Credit Delta

The change in the value of credit default swap (CDS) in reaction to a one basis point increase in the...

CR01

It stands for credit risk spread; a measure of credit default swap (CDS) value sensitivity. It measures the credit sensitivity...

CS01

In relation to credit default swaps (CDS), it is the credit exposure of the swap at a given point in...

Novation

A process of replacing a contract or a series of contracts with a new one(s), whereas a third party takes...