Event contracts / BTC credit
Start with Structure F’s uncovered loss below the $40,000 guarantor floor. Then test whether a ladder of terminal BTC events matches that loss closely enough to deserve a firm institutional quote.
The shape can be replicated. Matching contracts, maturity, capacity, collateral, and enforceability have not been established.
Every cost is a model output, not an exchange quote. Structure F’s $600k annual line is a budget comparator—not proof that the required contracts exist or can be bought.
The same risk appetite can serve three different jobs. Only one of them requires the market to carry the bond’s full loss.
A terminal ladder can approximate the bondholder tail, but no matching maturity, capacity, or enforceable quote is assumed.
A matched terminal market can be compared with the option-implied benchmark even when it is too small to hedge the bond.
Participants willing to sell the tail may fit better in a funded first-loss vehicle than in millions of retail-sized contracts.
The terminal ladder reduces the modeled median residual to $0.00m, but the contract itself is still hypothetical.