A swap in which the investor pays an upfront amount (funding) in return for the total return of a reference asset.

In the specific context of credit swaps (CDSs), a super senior swap entails the transfer of risk from the originator to the counterparty only with all junior classes have been fully exhausted. In such a swap, the originator writes the junior to the super senior swap with a special purpose vehicle (SPV), which (i.e., the swap) is fully funded by the investor (own equity), by means of a subscription to the underlying debt securities (CLNs) used as collateral at the disposal of the SPV.