A capital protection that is not subject to a cap. It provides great downside protection but has a lesser upside...

An option on a forward rate agreement (FRA) that gives the holder the right, without the obligation, to buy an…

A leveraged super senior tranche (LSS tranche) (a synthetic collateralized tranche) that is associated with a loss trigger. More specifically,...

A leveraged super senior note (LSS note) (a synthetic collateralized note) that is associated with a loss trigger. More specifically…

A leveraged super senior tranche (a synthetic collateralized tranche) that is associated with a loss trigger. More specifically, it involves...

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

With respect to a credit derivative (e.g., a credit default swap), a name implies a borrower or reference entity or...

A credit default swap (CDS) that is linked to a basket of credit derivatives. This swap works primarily as if...

A credit default swap whereby the protection seller pays the protection buyer in case of default by one or more...

The difference between the market spreads and the model spreads (theoretical spreads calculated using a model). For example, the theoretical...