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EFTA01353521

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becomes the obligor of a new reference obligation that is issued to holders of the remaining 30% of the original reference obligation. Company XYZ and LMN are identified by the listing options market as the successor entities. Following the succession event. the credit default option based on Company XYZ Is adjusted into two separate credit default option contracts that specify Company XYZ and Company LMN as reference entities. The cash settlement amount of the original credit default option and the premium multiplier are allocated between the new credit default options in accordance with the rohn division of the reference obligation as specified by the listing options market. Adjustment of credit default basket options after a succession event. When a succession event occurs with respect to a reference entity that is included in a single payout or multiple payout credit default basket option, the listing options market will ordinarily adjust the option by replacing the affected reference entity with the successor entity or entities, and, If one or more new obligations are issued to replace some or all of the existing reference obligations, the new obligations will be substituted as the reference obligations. The listing options market will specify the weight of each new reference entity, and the sum of the weights will equal the weight of the original reference entity. EXAMPLE: Company XYZ is one of ten equally weighted reference entities for a multiple payout default basket option and its 8% May 15, 2022 bond issue and its 8.5%September 1, 2030 bond issue are specified as its only reference obligations. During the life of the option, Company XYZ spins oft Company LMN. Company XYZ remains the obligor for the 2022 bond issue and LMN becomes the obligor of a debt security issued to holder of the 2030 bond issue. The listing options market adjusts the option by specifying XYZ and LMN as the successor reference entities. The reference

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