Markit and Creditex, in partnership with nine 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 British Vita 1st lien loans.
At 14:00 GMT today, the final price for British Vita 1st lien loans for the purpose of settling LCDS transactions was determined to be 15.5%. Sellers of British Vita 1st lien LCDS protection will therefore need to pay 84.5% of the amount of protection they sold.
Earlier on today, an auction was conducted to settle LCDS transactions on British Vita 2nd lien loans. The final price was determined to be 2.875%. Sellers of British Vita 2nd lien LCDS protection will therefore need to pay 97.125% of the amount of protection they sold.
Markit and Creditex 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 (ISDA) and major credit derivative dealers. Since then, Markit and Creditex have conducted 35 Credit Event Auctions and the process has become an integral part of the CDS market’s infrastructure.
