The breakeven coupon on a swap is the coupon that gives the swap a zero value. For example, in a...

A credit spread that constitutes an amortized premium for a default-based product (such as a credit default swap, credit option,...

The use of financial instruments to eliminate or mitigate credit and default risks posed by borrowers or issuers of debt...

Also put CDS, it is a CDS option that grants the holder (as a put) the right to sell credit...

A CDS option (option on a credit default swap) that grants the holder the right to sell credit protection on...

A swap that combines two offsetting credit default swaps (CDS): a regular CDS and a CMCDS (constant maturity credit default...

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

An abbreviation for spread DV01 (of a CDS position), i.e, the spread dollar value of an 01; it captures the...

A derivative instrument which is traded and privately negotiated in over-the-counter markets, i.e. directly between the two parties involved, without...

In relation to a default swap (a credit default swap/ CDS), it is one of the two legs of the...