Creditex and Markit, in partnership with major credit derivative dealers, today announced the results of Credit Event Auctions conducted to facilitate settlement of credit derivative trades referencing three subsidiaries of LyondellBasell Industries AF S.C.A.: Lyondell Chemical Company, Equistar Chemicals, LP, and Millennium America Inc.
At 4:00 pm ET today, final prices for the purpose of settling credit derivative transactions were determined as follows:
Credit Event Auction Final Price
Lyondell Chemical CDS 15.5%
Lyondell Chemical LCDS 20.75%
Equistar Chemicals CDS 27.5%
Millennium America CDS 7.125%
Creditex and Markit are the official administrators of Credit Event Auctions, which enable market participants to cash settle credit derivative transactions. During a Credit Event Auction, dealers submit orders electronically on the Creditex platform. The auction submissions are delivered to Markit electronically. Markit calculates and verifies the results, and publishes them on www.creditfixings.com.
The Credit Event Auction process was launched in 2005 by Markit and Creditex in collaboration with the International Swaps and Derivatives Association and major credit derivative dealers. Since then, Creditex and Markit have conducted 33 Credit Event Auctions, including today’s Lyondell auctions, and the process has become an integral part of the CDS market’s infrastructure.