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Credit derivatives terminology

By Vinod Kothari

 

 

Super senior swap: A credit default swap or total rate of return swap using a structured risk transfer, where the risk transferred to the senior-most class is senior to a AAA-rated class. In other words, this senior-most class is senior to a class which is rating parlance is regarded as the safest, hence called super-senior. A credit default swap with such super-senior party is called super senior swap. The purpose of the super-senior swap is merely regulatory capital relief.

 

 

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