EFTA Document EFTA01353486

Credit Default Options and Credit Default Basket Options Credit default options are based on debt securities of one or more issuers or guarantors other than the U.S. Trea- sury. A significant difference between such debt secunties and Treasury securities is the non-negligible risk that an issuer or guarantor of debt securities other than Treasury securities may default on its obligations. For example, the issuer might not pay the full interest and face amount of the securities when due o