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 Tribune Company bonds and loans. This marks the first time that auctions were run to settle both credit default swaps (CDS) and loan-only credit default swaps (LCDS) contracts in connection with a single reference entity default.
At 3:00 pm ET today, the final price of Tribune bonds was determined to be 1.5% for the purpose of settling credit derivative transactions. The final price of Tribune loans was determined to be 23.75% for the purpose of settling loan-only credit derivative transactions.
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 Creditex and Markit in collaboration with the International Swaps and Derivatives Association and major credit derivative dealers. Since then, Creditex and Markit have conducted 28 Credit Event Auctions, including today’s Tribune auctions, and the process has become an integral part of the CDS market’s infrastructure.
