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The Journal of Structured Finance

The Journal of Structured Finance

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Credit-Linked Notes

A Product Primer

Frank J. Fabozzi, Henry A. Davis and Moorad Choudhry
The Journal of Structured Finance Winter 2007, 12 (4) 67-77; DOI: https://doi.org/10.3905/jsf.12.4.67
Frank J. Fabozzi
An adjunct professor of finance and Becton Fellow at Yale School of Management in New Haven, CT.
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  • For correspondence: frank.fabozzi@yale.edu
Henry A. Davis
Editor of The Journal of Structured Finance and the editor of The Journal of Investment Compliance.
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Moorad Choudhry
A visiting professor at London Metropolitan University, U.K.
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Abstract

A credit linked note (CLN) is a type of funded credit derivative in which the investor in the note, the credit protection seller, makes an upfront payment to the issuer of the note, the protection buyer. If no credit event occurs during the life of the note, the redemption value of the note is paid to the investor upon maturity. If a credit event does occur, then a value less than par is paid out to the investor upon maturity. For the investor, a CLN may entail some additional credit risk in return for a coupon that is somewhat higher than for other comparable investments in the market. This article explains how CLNs work and discusses some recent applications.

TOPICS: Credit default swaps, credit risk management

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The Journal of Structured Finance
Vol. 12, Issue 4
Winter 2007
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Credit-Linked Notes
Frank J. Fabozzi, Henry A. Davis, Moorad Choudhry
The Journal of Structured Finance Jan 2007, 12 (4) 67-77; DOI: 10.3905/jsf.12.4.67

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Credit-Linked Notes
Frank J. Fabozzi, Henry A. Davis, Moorad Choudhry
The Journal of Structured Finance Jan 2007, 12 (4) 67-77; DOI: 10.3905/jsf.12.4.67
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