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

Generally speaking, it is the possibility that firms or individuals would fail to honor their contractual obligations on their borrowed...

The amount of interest paid annually on a bond or note expressed as a percentage of its face or par...

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

A negotiable contract between two parties (bilateral always) that allows them to manage their credit risk by using a derivative...

A party to an interest rate swap who makes, to a fixed rate payer, variable (floating) interest rate payments based...

A party to an interest rate swap in which payment is based on a swap rate or the coupon rate...

An option that gives its holder the right, without the obligation, to enter into a forward swap at a given...

A hedge transaction that, as opposed to a indirect hedge (dirty hedge or proxy hedge), involves establishing two directionally opposite...

A basic interest rate swap whereby a fixed rate is paid for a floating rate in the same currency. In...