Struck off

In a credit default swap (CDS), the protection buyer pays an agreed running premium, usually quarterly, and does so until a credit event occurs, or the contract expires, whichever is sooner. In the event of default, he receives a payment equal to par minus the recovered part of the reference obligation. The value of the premium that makes the default and premium legs balance is called the par spread, and it changes as the market moves.

Suppose a counterparty, ABC, bought five-year protection on

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here