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Basket CDS

A credit default swap (CDS) in which the protection buyer pays a fee (premium) to purchase default protection on a number of debtors or debt issuers....

Quanto Spread

The difference between the CDS quotes in one currency and another. This spread could trade as a standalone product. For example, a...

Spread DV01

It captures the change in the market value of the credit default swap (CDS) position as a result of a one basis point shift...

CDS Option

A European option that grants the holder the right, without the obligation, to buy or sell credit protection on a specific reference entity for a specific...

Credit Default Swaption

An option on credit which gives the holder the right to enter into a credit default swap at a given expiration date, at no...

Credit Swaption

An option on a credit default swap. It provides the holder with the right, without the obligation, to enter into a credit default swap at...

CDS

An acronym for credit default swap; a swap agreement that gives the holder the right to sell a contractual obligation (bond, loan) for...

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...