Risk glossary

 

Security-based swap

Swaps that are based on:

1) a narrow-based index of securities including any interest therein or on the value thereof;

2) a single security or loan, or on the value thereof; or

3) the occurrence or nonoccurrence of an event relating to a single issue or the issuers of securities in a narrow-based security index, if the event directly affects the financial statements, condition or obligations of the issuer.

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