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Derivatives

  Derivatives   |   Terms
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  • February 4, 2022
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First-Loss Basket Swap

A basket credit default swap in which the protection seller is obliged to make contingent payments to the protection buyer following a credit event ignited by one or more reference entities. The contingent payment amount for each credit event covers the loss incurred with respect to the liquidation value of an obligation of the defaulted reference entity. However, the overall amount of contingent payments due by the protection seller is capped by the swap notional amount.


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