Creditex and Markit, in partnership with eight major credit derivative dealers, today announced the results of a Credit Event Auction conducted to facilitate settlement of loan-only credit default swap (LCDS) trades referencing Sanitec second lien loans.
At 11.45 GMT today, the final price for Sanitec second lien loans for the purpose of settling LCDS transactions was determined to be 4%. This price was determined following the initial bidding period.
This is because there was no open interest from market participants for physical settlement during the initial bidding period, removing the need for a second phase of the auction process.
The final price for Sanitec first lien loans for the purpose of settling LCDS transactions will be determined at 14.00 GMT today. A press release will be issued shortly afterwards.
The Credit Event Auction process was launched in 2005 by Markit and Creditex in collaboration with the International Swaps and Derivatives Association (ISDA) and major credit derivative dealers. Since then, Markit and Creditex have conducted 34 Credit Event Auctions and the process has become an integral part of the CDS market’s infrastructure.
