Glossary
ABX
Adjustable Subordination
Arbitrage CDO
Asset correlation
Asset-backed credit default swap
Assignment
Attachment point
Balance sheet CDO
Bankruptcy
Bankruptcy remote
Basis point (bp)
Basis to theoretical
Basis trade
Basket
Bespoke CDO or bespoke tranche
Bespoke tranche
Bid-offer spread
Bids-wanted-in-competition (Bwic)
Binary Credit Default Swap
Binary settlement
Bond floor
Borrowed money
Bwic
Calculation agent
Capital structure
Capital structure arbitrage
Cash CDO
Cash settlement
Cash waterfall
Cashflow CDO
CDO
CDO squared
CDS index protocol
CDX
Cheapest-to-deliver option
Cliff risk
CLO
Collateral
Collateralised bond obligation (CBO)
Collateralised debt obligation (CDO)
Collateralised loan obligation (CLO)
Confirmation (confirm)
Constant maturity credit default swap (CMCDS)
Constant proportion portfolio insurance
Convergence trade
Convexity
Copula
Corporate
Correlation
Correlation smile or skew
Counterparty risk
Credit CPPI
Credit curve
Credit default swap (CDS)
Credit derivative
Credit derivative dealer
Credit derivative definitions
Credit derivative index
Credit derivative product company (credit DPC or CDPC)
Credit event
Credit event auction
Credit event fixing
Credit event notice
Credit fixing
Credit index
Credit index tranches
Credit opportunity fund
Credit rating
Credit risk
Credit support annex (CSA)
Credit swaption
Credit volatility
Credit-linked note
Crossover index
Curve flattener trade
Curve steepener trade
Cushion
Dealer
Dealer poll
Default
Default correlation
Default requirement
Definitions
Deliverable obligation
Deliverable obligation category
Deliverable obligation characteristics
Delta
Delta exchange
Depository Trust & Clearing Corporation (DTCC)
DerivServ
Detachment point
Digital settlement
Discount factor
DPPI
DTCC
Dynamic proportion portfolio insurance (DPPI)
Effective date
Equity
Equity default obligation
Equity default swap
Exhaustion point
Face value
Failure to pay
Financial
First-loss tranche
First-to-default basket
Flat
Full-capital-structure CDO
Fully distributed or full-capital-structure CDO
Funded credit default swap
Gamma
Gap risk
Grace period
Hazard rate
Hedge fund
High grade
High yield
Hivol index
IC test
Idiosyncratic gamma
IMM dates
Implied correlation
Implied spread volatility
Implied writedown
Index
Index roll
Index tranche
Inner CDO
Interdealer broker
Interest coverage test (IC test)
Interest shortfall
International swaps and derivatives association
Investment grade
Isda (International Swaps and Derivatives Association
iTraxx
Jump-to-default risk
Junior debt
Junk
LCDS
Leveraged super senior
Liquidity
Loan only credit default swap (LCDS)
Long-short credit
Main credit indices
Managed CDO
Market maker
Market standard documentation
Market value CDO
Master CDO
Maturity
Merton model
Mezzanine
Mezz-equity trade
Monoline insurer or monoline wrap provider
Monoline reinsurer
Negative basis trade
Nops
Not contingent
Not subordinated
Notice of physical settlement (Nops)
Notice of publicly available information
Notional
Novation
Novations protocol
Nth-to-default basket
Obligation acceleration
Obligation default
OC test
Offers-wanted-in-competition (owic)
Off-the-run index
On-the-run index
OTC
Outer CDO
Overcollateralisation ratio
Overcollateralisation test (OC test)
Over-the-counter derivative (OTC derivative)
Owic
Par building
Par coverage test
Par value
Participation rate
PAUG
Pay-as-you-go settlement (PAYG or PAUG settlement)
Payer
PAYG
PCDS
Physical settlement
Points upfront
Positive basis trade
Preferred credit default swap (PCDS)
Principal coverage test
Principal writedown
Project red
Protection buyer
Protection seller
Ramp-up
Rating
Rating agencies
Receiver
Recovery lock
Recovery rate
Recovery swap
Red (reference entity database)
Reference entity
Reference entity database
Reference obligation
Reference obligation category
Reference obligation characteristics
Reference rate
Repudiation/ moratorium
Reserve
Restructuring
Restructuring maturity limitation date
Roll
Running spread
Scheduled termination date
Second-to-default basket
Self-managed synthetic CDO
Senior debt
Seniority
Settlement
Single-name credit default swap
Single-tranche CDO
SIV
Sovereign
Special purpose company
Special purpose vehicle (SPV)
Spread
SPV
Standard index tranches
Standard maturity dates
Steep
Structured credit
Structured investment vehicle (SIV)
Sub-investment grade
Subordinated credit default swap
Subordination
Succession event
Successor
Super senior
Synthetic CDO
Synthetic CDO Squared
Theoretical value
Theta
Time decay
Trade date
Tradeable credit fixings
Unfunded credit default swap
Volatility
Adjustable Subordination
Arbitrage CDO
Asset correlation
Asset-backed credit default swap
Assignment
Attachment point
Balance sheet CDO
Bankruptcy
Bankruptcy remote
Basis point (bp)
Basis to theoretical
Basis trade
Basket
Bespoke CDO or bespoke tranche
Bespoke tranche
Bid-offer spread
Bids-wanted-in-competition (Bwic)
Binary Credit Default Swap
Binary settlement
Bond floor
Borrowed money
Bwic
Calculation agent
Capital structure
Capital structure arbitrage
Cash CDO
Cash settlement
Cash waterfall
Cashflow CDO
CDO
CDO squared
CDS index protocol
CDX
Cheapest-to-deliver option
Cliff risk
CLO
Collateral
Collateralised bond obligation (CBO)
Collateralised debt obligation (CDO)
Collateralised loan obligation (CLO)
Confirmation (confirm)
Constant maturity credit default swap (CMCDS)
Constant proportion portfolio insurance
Convergence trade
Convexity
Copula
Corporate
Correlation
Correlation smile or skew
Counterparty risk
Credit CPPI
Credit curve
Credit default swap (CDS)
Credit derivative
Credit derivative dealer
Credit derivative definitions
Credit derivative index
Credit derivative product company (credit DPC or CDPC)
Credit event
Credit event auction
Credit event fixing
Credit event notice
Credit fixing
Credit index
Credit index tranches
Credit opportunity fund
Credit rating
Credit risk
Credit support annex (CSA)
Credit swaption
Credit volatility
Credit-linked note
Crossover index
Curve flattener trade
Curve steepener trade
Cushion
Dealer
Dealer poll
Default
Default correlation
Default requirement
Definitions
Deliverable obligation
Deliverable obligation category
Deliverable obligation characteristics
Delta
Delta exchange
Depository Trust & Clearing Corporation (DTCC)
DerivServ
Detachment point
Digital settlement
Discount factor
DPPI
DTCC
Dynamic proportion portfolio insurance (DPPI)
Effective date
Equity
Equity default obligation
Equity default swap
Exhaustion point
Face value
Failure to pay
Financial
First-loss tranche
First-to-default basket
Flat
Full-capital-structure CDO
Fully distributed or full-capital-structure CDO
Funded credit default swap
Gamma
Gap risk
Grace period
Hazard rate
Hedge fund
High grade
High yield
Hivol index
IC test
Idiosyncratic gamma
IMM dates
Implied correlation
Implied spread volatility
Implied writedown
Index
Index roll
Index tranche
Inner CDO
Interdealer broker
Interest coverage test (IC test)
Interest shortfall
International swaps and derivatives association
Investment grade
Isda (International Swaps and Derivatives Association
iTraxx
Jump-to-default risk
Junior debt
Junk
LCDS
Leveraged super senior
Liquidity
Loan only credit default swap (LCDS)
Long-short credit
Main credit indices
Managed CDO
Market maker
Market standard documentation
Market value CDO
Master CDO
Maturity
Merton model
Mezzanine
Mezz-equity trade
Monoline insurer or monoline wrap provider
Monoline reinsurer
Negative basis trade
Nops
Not contingent
Not subordinated
Notice of physical settlement (Nops)
Notice of publicly available information
Notional
Novation
Novations protocol
Nth-to-default basket
Obligation acceleration
Obligation default
OC test
Offers-wanted-in-competition (owic)
Off-the-run index
On-the-run index
OTC
Outer CDO
Overcollateralisation ratio
Overcollateralisation test (OC test)
Over-the-counter derivative (OTC derivative)
Owic
Par building
Par coverage test
Par value
Participation rate
PAUG
Pay-as-you-go settlement (PAYG or PAUG settlement)
Payer
PAYG
PCDS
Physical settlement
Points upfront
Positive basis trade
Preferred credit default swap (PCDS)
Principal coverage test
Principal writedown
Project red
Protection buyer
Protection seller
Ramp-up
Rating
Rating agencies
Receiver
Recovery lock
Recovery rate
Recovery swap
Red (reference entity database)
Reference entity
Reference entity database
Reference obligation
Reference obligation category
Reference obligation characteristics
Reference rate
Repudiation/ moratorium
Reserve
Restructuring
Restructuring maturity limitation date
Roll
Running spread
Scheduled termination date
Second-to-default basket
Self-managed synthetic CDO
Senior debt
Seniority
Settlement
Single-name credit default swap
Single-tranche CDO
SIV
Sovereign
Special purpose company
Special purpose vehicle (SPV)
Spread
SPV
Standard index tranches
Standard maturity dates
Steep
Structured credit
Structured investment vehicle (SIV)
Sub-investment grade
Subordinated credit default swap
Subordination
Succession event
Successor
Super senior
Synthetic CDO
Synthetic CDO Squared
Theoretical value
Theta
Time decay
Trade date
Tradeable credit fixings
Unfunded credit default swap
Volatility
Order your own print copy of the Glossary
Credit derivative and structured credit glossary, a Creditflux primer, published in September 2006.
Get to grips with the basics using our primer on Credit derivative and structured essentials
Sponsored by Calyon
