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 .
Black’s Law Online Dictionary
