A credit derivative that is based on a credit spread as observed from market spread levels, for the purpose of...

A futures contract or futures option in which the underlying is a specific spread. Examples of underlying spreads include crack...

A transaction in which the trader simultaneously purchases, or takes a long position in, a contract on a specific asset...

A transaction in which the trader simultaneously purchases, or takes a long position in, a contract on a specific asset...

The risk that a counterparty to a swap will not make a due payment on a specific reset day. Differently...

A method for settling a swap unwind, whereby the party with the profit receives from the party with a loss...

One payment/ trade of a series of swap payments or forward rate agreement (FRA) trades. Each swaplet starts when the...

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

The difference between the fixed rate leg of an interest rate swap and the yield of a treasury security with...

A highly rated fixed-income security that contains embedded options and doesn't necessarily reflect the risk of the issuer. In other...