Settlement values for loan-only credit default swap (LCDS) trades referencing UK chemical firm British Vita first and second-lien loans were established today at an auction jointly administered by data provider Markit and broker Creditex.A value of 15.5% was determined on first-lien loans and 2.88% on second-lien loans for the purpose of settling LCDS transactions, meaning protection sellers respectively need to pay 84.5% and 97.125% on LCDSs referencing British Vita.
With no open interest from market participants for physical settlement, the pricing of second-lien loans was determined following the initial bidding period, eliminating the need for a second phase of the auction process.
To avoid breaching the terms of its debt, British Vita agreed a standstill agreement with lenders in December, who gave the company until the end of March to examine its refinancing options.
This was the second cash-settlement auction held for European LCDSs, after settlement values for LCDS trades referencing Helsinki-based bathroom company Sanitec's first and second-lien loans were established on February 5. The auctions are the first to be held on reference obligations included in the Markit iTraxx LevX indexes of European LCDSs.
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