Page 16 - PRIAA Glossary

BIG BANG PROTOCOL
An ISDA protocol (published April 8, 2009) which added auction settlement as the standard form of settlement for eligible credit default swap contracts, but explicitly excluded settlement following the occurrence of a restructuring credit event. The protocol also established the ISDA Determinations Committees (DCs) who make binding decisions on eligible credit default swaps (CDS) transactions as to whether a credit event has occurred, an auction will
be held, or a particular obligation of the defaulted reference entity is deliverable. DCs also establish a backstop date
for credit events and succession events. Also known as the March 2009 Supplement. See also “ISDA Determinations Committees” and “Small Bang Protocol”.
BILATERAL TRADE
Bilateral transactions privately negotiated between
two parties as opposed to being transacted on organised exchanges.
BILL OF LADING (BoL)
A document issued by a carrier to a shipper acknowledging that specified goods are received on board as cargo for conveyance to a named place for delivery to the consignee. Often shortened to BL, BoL or B/L.
BINARY SETTLEMENT
A derivative payout following a credit event that is a fixed amount as opposed to par less the recovery amount. Also known as a “digital settlement”.
BINOMIAL PRICING MODEL
A method of valuing an option based on building a tree of possible paths up and down that the underlying price might take from start until expiry. It is assumed that, at each price change, the price either rises by a given amount (or proportion), or falls by a given amount (or proportion).
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