Template:M premium Credit Derivatives 2.2(a)

One way of digesting all of this is as follows, which we offer disclaimed of all responsibility:

This is our best guess of how this all works

You may have questions. We have questions. The options don’t seem to scan, to use a term from poetry.

75+% Successors

If there is one successor to three-quarters or more of the Reference Obligations, logically there can’t be any succeeding entities accounting for more than 25%, since there aren’t that many Reference Obligations left. and if the Reference Entity in still in existence, it is a shallow husk of the entity it was: it cannot have a quarter of its old Reference Obligations for the same reason.