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Credit derivatives terminology

By Vinod Kothari

     

Auction-based valuation: In case of certain reference entities that are referenced in lots of credit derivatives, on happening of a credit event, a physical settlement may be nearly impossible given the availability of the deliverable obligations of the reference entity. In some such cases in the past, ISDA has intervened and made major dealers voluntarily agree to a cash settlement with valuation done based on an auction.

 

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