Fee Payment Leg

Definition

Fee Payment Leg. The fee leg in a CDS contract

Issues and Challenges

Review session notes: Q: whether this is any different to a regular Payment Leg. Answers: This is the "other" side of the swap from credit protection, i.e. the payment side. You are going to pay a set of fixed payments in return for a payment that occurs in the event of the credit event. So this is not incorrect but not a useful name for it. Swap is swap of a set of payments that equates the credit margin in return for the payments that apply in the case of the credit event. Conclusions: A good name for it might be the Credit Margin, at least from the point of view of the protection buyer, as this is the margin they are paying for the credit protection.

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.