Credit Protection Contingent Leg Terms

From Open Risk Manual

Definition

Credit Protection Contingent Leg Terms. The leg of the swap which represents the credit protection.


Further Notes

For a protection leg the commitment is a conditional commitment to pay out in the event of the Credit Event. Typically this would be a Default Event. Contingent Leg is another name for this, because it is contingent on the credit event.


Disclaimer

This entry annotates a FIBO Ontology Class. FIBO is a trademark and the FIBO Ontology is copyright of the EDM Council, released under the MIT Open Source License. There is no guarantee that the content of this page will remain aligned with, or correctly interprets, the concepts covered by the FIBO ontology.

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