Browse the glossary:
A
B
C
D
E
F
G
H
I
J
K
L
M
N
O
P
R
S
T
U
V
W

Reference rate

In a constant maturity credit default swap, the current credit default swap spread that determines the floating level of protection payments. The proportion of the reference rate used to determine the protection payment is known as the participation rate. Usually, the reference rate is for the same name as the reference entity on which the constant maturity credit default swap is written.

Related stories

Ixis trades floating coupon CDO 5 years ago

Ixis trades synthetic CDO with iTraxx-linked coupons 5 years ago

Dealers join Tokyo CDS price project 5 years ago

Dealers join Tokyo CDS price project 5 years ago

Japanese exchange signs credit data distribution deal 5 years ago

Japanese exchange signs credit data distribution deal 5 years ago