It stands for current replacement cost; the amount that is required to replace an existing (active) swap in the event a...

The amount that is required to replace an existing (active) swap in the event a counterparty to the swap is unable to...

Mid-swap (MS) is the average of bid and ask swap rates used as a benchmark for calculating total interest rate...

An interest rate swap that enables the client to pay a rate that is lower than that of a vanilla swap in return for...

A Bermudan derivative which constitutes a Bermudan option on a swap. It is an option on a swap that allows the holder (the option's buyer or the...

The creation of a new swap agreement, while simultaneously canceling the original or old one. This may take place if the terms...

The lifetime of a swap at the end of which parties to the swap no longer pay obligations since it ceases to...

The lifetime of a swap at the end of which parties to the swap no longer pay obligations since it ceases to...

A swap dollar value of one basis point (0.01%). It refers to the change in the present value of a swap in response to...

Any swap where settlement takes place by periodically marking interest payments to market (marking to market, MTM). For example, in a credit default swap (CDS),...