Besides single name credit default swaps, baskets, indices and index tranches, a large number of other credit derivatives have been created. Many of these instruments have been talked about since the early days of the credit derivatives market but infrequently if ever traded. For example, there have long been discussions about the creation of exchange-traded credit futures contracts, but at the time of publication no derivatives exchange appears to be close to launching such a contract, and the credit derivatives market remains entirely over-the-counter.
The following section highlights some additional credit derivative products that exist, even if they remain small parts of the market. In addition to these products, large numbers of credit derivatives are traded with non-standard terms to meet the demands of particular counterparties. Examples of these more exotic credit derivatives include callable credit default swaps, where the protection buyer has the right to cancel the contract in certain circumstances; fixed recovery credit or digital credit default swaps, where the recovery rate is fixed at the outset; and hybrids, trades that combine credit with other risks such as interest rates, commodity prices or inflation.
Credit swaptions
Recovery swaps
Constant maturity credit default swaps
Loan-only credit default swaps
Preferred credit default swaps