Single Payout Credit Default Basket Option

Derivatives
Single Stock Futures Option
May 11, 2022
Derivatives
Multi-Name CDS Option
May 11, 2022

A credit default basket option in which the holder receives a cash settlement payment once a credit event occurs, in relation to one of the basket components. In other words, occurrence of the first credit event entails one-off cash settlement, after which the single payout credit default basket option expires.

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