Markit today announced that in response to the bankruptcy filings of Visteon Corporation and R.H. Donnelley Inc. on 28 May 2009 and 29 May 2009 respectively, Markit LCDX index dealers have voted to run Credit Event Auctions to facilitate settlement of loan-only credit default swap (LCDS) trades referencing both companies, which are constituents of series 8, 9, 10, and 12 of the Markit LCDX index.
The auction terms, including the auction date, will be determined by Markit LCDX dealers according to LCDS Auction Rules published on the International Swaps and Derivatives Association (ISDA) website.
Markit and Creditex are the official administrators of Credit Event Auctions. An auction date and an auction timeline will be posted on www.creditfixings.com. A separate Credit Event Auction will be held to facilitate the settlement of CDS trades referencing Visteon Corporation, which is a constituent of the Markit CDX North America High Yield index series 4 through 12 and Markit CDX North America Investment Grade series 1.
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, Markit and Creditex have conducted over 55 Credit Event Auctions and the process has become an integral part of CDS market infrastructure.
