A leveraged super senior tranche (LSS tranche) in the tranche notional is synthetically leveraged using a pool of synthetic assets…
A modified version of the chooser flexible cap in which the total cap notional amount that may be exercised over the…
An abbreviation for inflation-indexed cap; an inflation derivative that pays out if inflation (as measured by percentage increase in the…
A derivative instrument which is traded and privately negotiated in over-the-counter (OTC) markets, i.e. directly between the two parties involved,...
A cap is a call option on a specified interest rate such as LIBOR, Euribor, the US prime rate, or...
A credit spread derivative whose payoff is based on changes in the perceived credit quality of a reference credit as...
An equity-based swap under which one counterparty pays the total performance of a particular share of stock or basket of...
It stands for swap notional principal amount; the nominal value that is used as a basis for calculation of swap...
The fixed and floating payments that are exchanged by the two counterparties to a swap. The fixed payment is made...
The nominal value that is used as a basis for calculation of swap payments over the swap term. Each counterparty's...