EFTA01393162Dataset 10
2022-05-151p509w
…when reference obligations of a reference entity are redeemed (or paid in lull) by, or on behalf of, the issuer. In the case of all types of credit default options, if only some of the reference obligations are redeemed, the option is ordinarily adjusted such that the remaining reference obligations are the reference obligations for the option and no other adjust- ment will ordinarily be made. If all of the reference obliga- tions of a reference entity are redeemed and…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01393162.pdf
EFTA01393161Dataset 10
1p547w
…period for a class of credit default options, it will provide a Credit event contain• bon to OCC, and the options will be automatically exercised. Holders of the exercised options will receive, and writers will be obligated to pay, the fixed cash settlement amount. If OCC does not receive a credit event confirmation from the listing options market before expiration of a series of credit default options, the options will expire worthless. Credit default options are binary options in that…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01393161.pdf
EFTA01353487Dataset 10
2022-05-151p509w
…when reference obligations of a reference entity are redeemed (or paid in lull) by, or on behalf of, the issuer. In the case of all types of credit default options, if only some of the reference obligations are redeemed, the option is ordinarily adjusted such that the remaining reference obligations are the reference obligations for the option and no other adjust- ment will ordinarily be made. If all of the reference obliga- tions of a reference entity are redeemed and…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01353487.pdf
EFTA01353518Dataset 10
1p472w
…In the case of a multiple payout credit default basket option, a cash settlement amount will be paid only once with respect to any particular reference entity, after which time the affected reference entity will be removed from the credit default basket. Premiums for both credit default options and credit default basket options are expressed in points and decimals. In order to obtain the aggregate premium for a single option, the quoted premium is multiplied by a premium multiplier specified…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01353518.pdf
EFTA01353520Dataset 10
2022-05-151p527w
…those obligors. including, as the case may be. the original reference entity, are referred to as successor reference entities. Adjustment of credit default options after a succession event. Where a succession event results in assumption of all reference obligations by a single entity, the listing options market will ordinarily adjust the option by substituting the entity that assumes the reference obligabon(s) as the new reference entity. Where a succession event results in more than one successor reference entity, the…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01353520.pdf
EFTA01393189Dataset 10
2022-05-151p527w
…those obligors. including, as the case may be. the original reference entity, are referred to as successor reference entities. Adjustment of credit default options after a succession event. Where a succession event results in assumption of all reference obligations by a single entity, the listing options market will ordinarily adjust the option by substituting the entity that assumes the reference obligabon(s) as the new reference entity. Where a succession event results in more than one successor reference entity, the…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01393189.pdf
EFTA01393191Dataset 10
1p550w
2. The sources of ;mice information used to price credit default options are subject to a lack of transparency and, at times, illiquid markets. This Is attributable to, among other things: (1) the absence of last sale information and the limited availability of quotations for the reference obligation(s). (2) lack of ready availability of information on related products traded primarily in the over-the-counter market, and (3) the fact that related over-the-counter market credit derivative transactions…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01393191.pdf