Page 11 - PRIAA Glossary

AUCTION DATE
The date on which the US Government auctions newly issued treasury securities, including notes, bills and bonds, to investors and dealers. There is a public announcement prior to the auction, and competitive and non-competitive bids can be accepted up to thirty days in advance electronically and by mail.
AUCTION-SETTLED TRANSACTION
A credit derivative transaction which is cash settled with reference to the final price, as determined in the credit event auction initiated by ISDA.
AUTO CALLABLE
An exotic option which terminates and pays an enhanced return if a defined barrier level is breached on a pre-defined date. Auto callable trades are often used to hedge equity linked notes.
AUTOMATIC EXERCISE
A commonly used election whereby an option or swaption is exercised without notice from the holder, provided that it is in-the-money on the exercise date by a certain threshold.
AVERAGE RATE OPTION
An option where the settlement is based on the difference between the strike price and the average price of the underlying instrument over a predetermined period. An average rate option is also known as an “Asian option”.
AVERAGE STRIKE OPTION
An option where the strike price is calculated as an average of the underlying security’s spot price on a specific series of dates throughout the option tenure.
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