The document discusses the adjustment of credit default options following a succession event, where Company XYZ and LMN are identified as successor entities. It explains how the credit default options are adjusted into separate contracts for each successor entity, with cash settlement amounts and premium multipliers allocated accordingly. An example is provided involving Company XYZ and LMN, detailing the adjustment of basket weights for successor reference entities. Additionally, the document highlights the complexity and risks associated with pricing credit default options.
doj/DataSet10/EFTA01393190.pdf
{"key_people":["Company XYZ","Company LMN"],"document_type":"financial","document_subtype":"credit default options","key_organizations":["listing options market"],"reference_numbers":["EFTA01393190"]}