Page 105 - PRIAA Glossary

a counterparty, usually an insurance company, will pay out expected benefits based on survivorship.
LOOK-A-LIKE OPTION
An over-the-counter (OTC) option that is cash settled based on settlement price of an exchange-traded contract with the same underlying asset and expiration date.
LOOK-A-LIKE SWAP
An over-the-counter (OTC) swap that is cash settled based on the settlement price of a similar exchange-traded futures contract on a specified trading day.
LOOKBACK OPTION
An option that minimises the uncertainties related to the timing of market entry. There are two types of lookback options: fixed and floating. The fixed option strike is determined at purchase, and the floating option strike is determined at maturity.
LOSS
A measure for determining termination payments following an event of default or termination event under the 1992
ISDA Master Agreement. Loss is defined as the total losses and costs (or gain) incurred by the non-defaulting party (or affected party) with respect to terminated transactions, including costs of funding and the reestablishment of any hedge or related trading position. Loss is determined by the non-defaulting party (for an event of default) or non-affected party (for a termination event) acting reasonably and in
good faith. The terminating party must be able to show in reasonable detail how the loss was calculated.
LOSS GIVEN DEFAULT (LGD)
The percentage of a creditor’s claim that is not recovered following an event of default. LGD is equal to one minus the recovery rate.
LOW
The lowest trading price of the day for a particular security.
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