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Credit Default Swaps - What is a credit event?

Modified Modified Restructuring

»

As for Modified restructuring BUT deliverable obligation can have a longer maturity than the restructured security and/or some conditional transferability

Cross Default/Cross Acceleration

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No specific failure to pay, but a breach of covenant or other obligation

»

Currently rare

Sovereign Credit Events

Repudiation

Moratorium

These must be followed by actual failure to pay or restructuring

Within the later of 60 days or the next reference obligation payment

Credit Derivative Instruments

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