Page 153 - PRIAA Glossary

SNOWBLADES
A derivative (similar to a snowball) in that it has the similar high coupon for the initial term of the swap and, thereafter, each coupon is defined in terms of the previous coupon. Snowblades have a target redemption amount, such that when the coupons paid meet an agreed target total, the note will redeem.
SOFT CREDIT EVENT
A credit event in which not all debt obligations have become due and payable immediately. In this situation, not all deliverable obligations will have the same value, resulting in a “cheapest to deliver” option.
SORTINO RATIO
A variation of the Sharpe ratio which only considers negative volatility from a rational investor’s perspective.
SOVEREIGN
One that exercises supreme, permanent authority, especially in a nation or government (a monarch or ruler that exercises supreme and ultimate power/authority). Sovereign debt is issued by a national government and is theoretically considered risk-free, as a government/central bank can employ a number of measures to guarantee repayment.
SPARK SPREAD
The difference between the market price of electricity and
the market price of the fuel (gas) used to generate it, adjusted for generation efficiency/heat rate. The spark spread can be expressed per megawatt hour (for example £/MWh) or other applicable energy units. A clean spark spread takes account
of the CO≤ emissions cost. When the fuel is coal, the spread is often referred to as a “dark spread”. The spark spread does
not consider the cost of production. It helps utility companies determine their profits; if it is negative, the utility company loses money, and if it is positive, the utility company makes money.
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