FIRST-TO-DEFAULT SWAP
\fˈɜːsttuːdɪfˈɒlt swˈɒp], \fˈɜːsttuːdɪfˈɒlt swˈɒp], \f_ˈɜː_s_t_t_uː_d_ɪ_f_ˈɒ_l_t s_w_ˈɒ_p]\
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An OVER THE COUNTER DEFAULT SWAP comprised of a BASKET of reference credits that entitles the purchaser to a payout on the first one that DEFAULTS; once a default occurs, the transaction terminates. Since swap pricing generally takes account of reference credit CORRELATIONS, the DERIVATIVE is cheaper than the purchase of individual contracts on the same reference credits. See also CREDIT DERIVATIVE.
By Henry Campbell Black
Nearby Words
- first-party insurance
- first-place finish
- first-rate
- first-rater
- first-string
- FIRST-TO-DEFAULT SWAP
- first-year
- firstborn
- firstclass
- firsthand
- firstling