Markit and Creditex, in partnership with 14 major credit derivative dealers, have successfully conducted a Credit Event Auction to facilitate the settlement of credit derivative trades referencing Lehman Brothers Holdings Inc., which filed for Chapter 11 bankruptcy protection on September 15, 2008.
The auction was conducted in accordance with the International Swaps and Derivatives Association (ISDA) 2008 Lehman CDS Protocol. Markit and Creditex are the official administrators of Credit Event Auctions.
At 2:00 pm EST today, the final price for Lehman Brothers bonds was determined as follows:
Credit Event Auction Final Price
Lehman Brothers Holdings Inc. 8.625%
The Credit Event Auction enabled market participants to cash settle triggered contracts which included single name, index, bespoke tranche and other credit derivative transactions. During the Credit Event Auction, dealers submitted orders electronically on the Creditex platform. The auction submissions were delivered to Markit electronically. Markit calculated and verified the results, and published them on www.creditfixings.com.
On October 23, Markit and Creditex will conduct a Credit Event Auction to facilitate the settlement of CDS contracts referencing Washington Mutual Inc.
The Credit Event Auction process was launched in 2005 by Markit and Creditex in collaboration with ISDA and major credit derivative dealers to facilitate the settlement of credit derivative contracts in the event of a corporate default. Credit Event Auctions have been held to facilitate settlement of credit derivative trades referencing Federal National Mortgage Association, Federal Home Loan Mortgage Corporation, Tembec Industries Inc., Quebecor World Inc., Movie Gallery, Collins & Aikman, Delta Air Lines, Northwest Airlines, Delphi Corporation, Calpine Corporation, Dana Corporation and Dura.