Credit Event: Difference between revisions
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There are typically 6 things that can trigger a Credit Event: | There are typically 6 things that can trigger a Credit Event: | ||
* Bankruptcy | * [[Bankruptcy]] | ||
* Obligation Acceleration | * [[Obligation Acceleration]] | ||
* Obligation Default | * [[Obligation Default]] | ||
* Payment Default (Failure to Pay) | * Payment Default ([[Failure to Pay]]) | ||
* Repudiation/Moratorium | * [[Moratorium|Repudiation]]/[[Moratorium]] | ||
* Restructuring | * [[Restructuring]] | ||
These all have very specific terminology as defined by [https://www.isda.org/ ISDA] | These all have very specific terminology as defined by [https://www.isda.org/ ISDA] | ||
Revision as of 15:34, 10 January 2023
A Credit Event is the thing that will trigger a change in cashflows on a Credit Derivative.
There are typically 6 things that can trigger a Credit Event:
- Bankruptcy
- Obligation Acceleration
- Obligation Default
- Payment Default (Failure to Pay)
- Repudiation/Moratorium
- Restructuring
These all have very specific terminology as defined by ISDA
When someone believes that a Credit Event has occurred they will post a question to the Credit Derivatives Determinations Committee who will review the evidence and if a Credit Event has indeed occurred they will publish the results and also the exact date of this event which is called the Event Determination Date.
After a Credit Event has been confirmed this will then start in place a timeline leading to the Auction process to determine the final Recovery price(s).