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Credit-linked note
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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).
See also Capital-protected credit-linked note
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Privatebanking.com
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