Holders of credit default swaps referencing electronics firm Thomson were able to cash-settle their trades on October 22, more than 10 weeks after a credit event was declared.
Three auctions were held by Markit and Creditex to determine the recovery rate for Thomson’s bonds and loans, which were split into buckets with maturity limitation dates of 2.5 years, 5 years and 7.5 years.
The recovery rate in the 2.5 year bucket was 96.25%, meaning protection sellers will have to pay out just 3.75 cents for every euro of debt insured. In the 5-year bucket, the recovery rate was set at 65.125%, meaning sellers will have to pay out 34.875 cents for every euro. And in the 7.5 year bucket, the recovery rate was set at 63.25%, meaning sellers will pay out 36.75 cents for every euro.
More on Credit Derivatives
Banks can use maths - rather than special chips - to boost computing speed
Analysts split on crucial questions for CDS protection holders
No ambiguity in 2014 contracts, but questions exist over 2003 vintage
Standard & Poor's found to owe duty of care with CDO ratings
Loomis Sayles vice-chairman discusses the US credit markets
The US has recovered from recession but still faces an enormous debt burden. The onus is now on companies to pick up the slack in the economy and keep bonds buoyant
The head of European credit portfolio management at Pimco talks to Credit's Alex Monro about the ongoing Eurozone crisis, and the likely investment themes for 2011.
The European securitisation markets were among the hardest hit by the financial crisis: large losses on a range of securitised products led to a drop-off in investor demand, while prohibitive spreads made...
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.