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Participation rate
In a constant maturity credit default swap, the proportion of the reference rate at which protection payments are set. For example, the reference rate may be the five-year credit default spread on Ford and the participation rate may be 80%. This means payments are calculated as 80% of the than five-year credit default swap spread on Ford at each quarterly payment date. Participation rates reflect the steepness of the credit curve, with steeper curves translating into lower participation rates.
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