A practice whereby an intermediary enters into one side of the swap transaction, such as fixed rate payer (or floating...

A measure of a swap's value sensitivity to interest rate changes. The duration of a swap is equal to the...

Selling a credit default swap (CDS); a short position in a credit default swap (CDS). It is equivalent to longing...

A payoff (of a specific derivative instrument) whose value changes continuously and proportionally up or down in response to movements...

The spread/ premium that reflects the a CDS market's view of both probability of default and an assumption about the...

A swap in which interest, instead of being paid, compounds forward until maturity. The interest is compounded forward until the...

The premium (measured in basis points) that is paid to the protection seller in a credit default swap (CDS) or...

An inverse floater swap in which the payer of the structured leg has the right to call off the transaction...

A swap that references a set of single name credit default swaps. The portfolio will be customized to meet the...

A transaction that, as opposed to a direct hedge, involves hedging one commodity with a contract for a different commodity....