A credit linked note is a security created through a special purpose company or trust, designed to offer investors par value at maturity unless a referenced credit defaults. In the case of default, the investors receive a recovery rate.
Credit linked notes
A credit linked note is a note whose cash flow depends upon an event, which may be a default, change in credit spread, or rating change.
Credit linked note, (CLN): This is normally a bond that is issued using a medium term note programme. From the investor's perspective the CLN not only contains the credit risk of the issuer but also contains the credit risk of a third party.
Credit Linked Note Definition: A note that pays interest and repays principal that depends on a credit event, such as bankruptcy and default.
 See also: Bonds, Offer, Yield, Collateral, Default
  
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