An auction held on May 12 determined a final settlement value of 15% for credit default swaps (CDSs) referencing North American newsprint manufacturer Bowater, which filed for Chapter 11 bankruptcy on April 16.
Protection sellers would need to pay protection buyers who opted for cash settlement 85% of the par value of the CDS contracts.
A credit event auction for loan-only credit default swaps (LCDS) referencing Chicago-headquartered shopping mall owner General Growth Properties, which opted to restructure debt under the protection of Chapter 11 on April 16, will be held on May 13.
A credit event auction for credit derivatives trades referencing Syncora Guarantee, the Bermuda-based monoline formerly known as XL Capital Assurance, is tentatively set for May 27. Isda's Derivatives Determinations Committee decided that a failure-to-pay credit event occurred on May 1, after concerns over the company's financial health led the New York State Insurance Department to force it to stop making payments to counterparties from April 26.
Auto-parts manufacturer Edscha, headquartered in Hengersberg, Germany, has a tentative date of May 28 for an auction on cancellable European loan-only credit default swaps (ELCDS) referencing its loan obligations.
More on Credit Derivatives
China's CDS market needs new structure if it is to win over investors
Arbitrageurs have exited trades, leaving basis structurally higher
Managed deals could be next, but market's potential is expected to be limited
Sign up for Risk.net email alerts
Sponsored video: Tradeweb
Multifonds talks to Custody Risk on being nominated for the Post-Trade Technology Vendor of the Year at the Custody Risk Awards 2014
Sponsored webinar: IBM Risk Analytics
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.