What is CREDIT DERIVATIVE?

An OVERTHECOUNTER DERIVATIVE with an UNDERLYING reference that is based on the credit performance of a reference COUNTERPARTY. Credit derivatives are available in various forms, including the BASKET SWAP, CREDIT FORWARD, CREDIT SPREAD OPTION, DEFAULT OPTION, DEFAULT SWAP, FIRSTTODEFAULT SWAP, and TOTAL RETURN SWAP. See also COMMODITY DERIVATIVE, CURRENCY DERIVA TIVE, EQUITY DERIVATIVE, INTEREST RATE DERIVATIVE, SYNTHETIC COLLATERALIZED DEBT OBLIGATION.

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