Credit default swaps

A credit derivative structured as a swap. One party is a lender facing a credit risk from a third party and the counterparty in the swap agrees to insure this risk in exchange for regular periodic payments (essentially an insurance premium). If the third party defaults the counterparty insurer will have to purchase from the the insured defaulted asset. In turn, the insurer pays the insured the remaining interest on the debt as well as the principal. See CREDIT EVENT.

Credit derivative

An over-the-counter, ‘off balance sheet’ instrument, derived directly or indirectly from the price of a credit instrument. They take numerous forms, including swaps (e.g. credit default swaps and options), and are used to transfer the credit risk from one party to another, e.g. banks to insurance companies (insuritisation). The amount of credit derivatives transferred to insurers rose from zero in 1998 to 30 per cent in 2002 (www. vinodkothari.com/glossary).

Credit enhancement

Financial guarantees or other types of assistance that improve the credit of underlying debt obligations. Credit enhancement has the effect of lowering interest and improving the marketability of corporate bond issues, particularly when backed by insurance companies with high credit ratings. Financial reinsurance enhances the credit rating of the reinsured by improving ratios through ‘off the balance sheet’ transactions.

Credit event

Event triggering the settlement of a credit default swap or total return swap. The event is chosen by the counterparties and could include payment default on a reference asset or other debt obligation; insolvency or a ratings downgrade of the reference asset.