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.
Sign up for Risk.net email alerts
UK, 25th - 26th Feb 2014
USA, 27th - 28th Feb 2014
UK, 5th - 6th Mar 2014
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.
Updating your subscription status
Risk iPad and iPhone Apps