The International Swaps and Derivatives Association, Inc. (ISDA) yesterday announced that it will launch a CDS auction protocol to facilitate the settlement of Cancellable European loan-only credit default swap (ELCDS) trades referencing certain loan obligations of Edscha AG, the automobile parts supplier.
Cancellable ELCDS transactions refer to Reference Obligations rather than Reference Entities as is the case in regular CDS and North American LCDS.
The Markit iTraxx LevX Market Makers have determined that the Reference Entity (Edscha AG) has become insolvent and have voted to hold an auction for Cancellable ELCDS transactions referencing certain Reference Obligations.
ISDA will facilitate the process by publishing the auction terms on its website www.isda.org, in due course. The auction terms, including the auction date, will be determined by the Markit iTraxx LevX Market Makers dealers.
