Credit

Credit products pay on default. A single-name swap buys protection on one issuer, an index swap on a standard basket of them, and tranches, baskets and notes cut that risk into other shapes. Every page here prices on a market whose rates come from the desk's quote sheet and whose survival curves join it under their credit identities.

Start with How credit products work for the ideas every credit product shares, then look up the calls on the reference pages.

Pages

Page	What it covers
How credit products work	survival and recovery, the two legs, standard contracts, indices, options, events, tranches and correlation, baskets, credit-linked structures
cds	a single-name CDS: credit identity and tier, the standard contract, value, par spread, accrual on default
index-cds	the on-the-run series, its roll and maturity, an index CDS's value
cds-options	payer and receiver options on a forward CDS, and their parity
cdo-tranche	tranches of an index pool, base correlation, the double-t copula
nth-to-default	first- and second-to-default baskets on a market correlation
credit-linked-note	a funded note carrying a name's default risk, by component
credit-linked-swap	legs tagged independent, contingent, default or recovery against one entity; settling accrual on default
credit-events	what a default settles on an index and on a tranche

Common tasks

• Mark a CDS curve from par spreads

Where next

The conventions every credit contract here trades on are in the credit conventions catalog. Survival curves themselves are on survival curves, and solving them from quotes on credit calibration.