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Credit derivatives terminology

By Vinod Kothari

   

 

Materiality threshold: Indicates the threshold limit for the credit event to take place before a credit event payment could be triggered. For example, in case of a default in payment of interest by the obligor, a typical threshold limit may define the limit upto which no credit event payment would be made, and once the threshold is crossed, a credit event payment is triggered. Also called loss threshold.

 

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