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Credit-linked Note (CLN)

Also called a credit default note, it is a fixed or floating rate note where the coupon and principal payments are referenced to a reference credit, which can be a single name or multiple names. It pays interest and repays principal that depend on a credit event. At maturity, the investors receive par unless the referenced credit defaults or declares bankruptcy, in which case they receive an amount equal to the recovery rate


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F3 Brochure

Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.