Corporate action events
CREV: Credit Event
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CREV announces that a credit event has occurred for a security whose payments depend on the creditworthiness of another entity, typically a credit-linked note: the reference entity has failed to meet its obligations as defined in the terms.
- Code
- CREV
- Usually announced as
- MAND
What CREV means
A credit-linked note pays interest and repays principal only as long as a named reference entity (or a basket of them) does not suffer a credit event such as bankruptcy, failure to pay or a restructuring. When such an event is determined under the note’s terms, the note’s payments change: it may be redeemed early at a recovery value, written down, or settled by delivering bonds of the reference entity.
The CREV announcement tells holders that this has happened. The financial consequences are usually handled by a following event, such as an early redemption or a partial redemption, once the recovery amount is known.
When you see it
- An MT564 with
:22F::CAEV//CREVand:22F::CAMV//MAND, usually with narrative describing the reference entity and the determination. Euronext’s corporate events white paper lists CREV among information-only events. - Not the same as DFLT, which is a default by the issuer of the bond itself, or BRUP, which is the issuer’s bankruptcy. Settlement after a credit event is often announced as MCAL, PCAL or REDM.
What to do next
- No instruction for the notice itself. Flag the note in risk and valuation systems; its price will now reflect expected recovery.
- Follow the issuer or calculation agent’s determination and the timetable for the settlement event, and reconcile the final cash or securities in the MT566 of that event.