Creditex and Markit, in partnership with 14 major credit derivative dealers, have successfully conducted a Credit Event Auction to facilitate the settlement of credit derivative trades referencing Washington Mutual Inc., which filed for Chapter 11 bankruptcy protection on September 26, 2008.
The auction was conducted in accordance with the International Swaps and Derivatives Association (ISDA) 2008 Washington Mutual CDS Protocol. Creditex and Markit are the official administrators of Credit Event Auctions.
At 2:00 pm EDT today, the final price for Washington Mutual bonds was determined as follows:
Credit Event Auction Final Price
Washington Mutual Inc. 57%
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.
Between November 4 and November 6, Creditex and Markit will conduct the first-ever Credit Event Auctions in Europe to facilitate the settlement of CDS contracts referencing Landsbanki Íslands hf, Glitnir Banki hf and Kaupþing Banki hf.
The Credit Event Auction process was launched in 2005 by Creditex and Markit 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 Lehman Brothers Holdings Inc., 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.