CREDIT-LINKED NOTE
A security with redemption and/or coupon payments linked to the occurrence of a credit event with respect to a specified reference entity. In effect, a credit-linked note embeds a credit default swap into a funded asset to create a synthetic investment that replicates the credit risk associated with a bond or loan of the reference entity. Credit-linked notes are typically issued on an unsecured basis directly by a corporation or financial institution. Credit-linked notes may also be issued from a collateralised Special Purpose Vehicle (SPV).