Credit Spread Option

A type of contract where one Counterparty sells an Option to another Counterparty on a nominal amount of an asset swap on a specified Security, exercisable during a set period of time, in exchange for a payment of a premium where the Option gives the buyer the right to put the asset swap back to the seller at a strike spread over a pre-determined benchmark rate.

Derived from DFSA RM12/2004 (Made 16th September 2004). [VER1/09-04]