
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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Credit derivatives
Risk management
Nasdaq whacked with $36 million fine over Aas default
Swedish regulator’s fine poses serious questions over default management and margining, while providing few answers
Receive this by email