The document discusses the characteristics and mechanics of credit default options and credit default basket options. It explains that credit default options are binary options with no exercise price or intrinsic value, and are automatically exercised upon a credit event. Credit default basket options aggregate individual credit default options and can be single or multiple payout, with cash settlements based on credit events of reference entities. Premiums are expressed in points and decimals.
documents/vol00010-efta01353518-pdf.pdf
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