Troubled US video store chain Movie Gallery has seen the price of its loan derivatives fixed at 91.5% following a credit event auction.The auction enabled dealers to cash-settle loan credit default swap (LCDS) contracts and LCDX index trades at the final auction price. It was the first of its kind in the loan derivatives market, according to administrators Creditex and Markit.
The company failed to make a September 10 interest payment on its first-lien loan, triggering a ‘failure to pay’ credit event on loan CDS contracts referencing the company. The company was also a constituent of the LCDX, a credit default swap index referencing US leveraged loans.
Bank of America, Bear Stearns, Citibank, Credit Suisse, Deutsche Bank, Goldman Sachs, JP Morgan, Lehman Brothers, Merrill Lynch, Morgan Stanley and UBS all participated in the auction by submitting bids, physical settlement requests and limit orders.
More on Credit Derivatives
Association still faces licensing overhaul as part of pending settlement
Vladimir Piterbarg considers a non-linear partial differentiation equation that appears in a number of XVA-related contexts, including a one-way credit-support annex, credit value adjustment with ri...
Up to 10 new names from under-represented sectors could be added to high-yield CDX index
China's CDS market needs new structure if it is to win over investors
Sign up for Risk.net email alerts
Sanjay Sharma talks about risk transparency and how his book helps achieve it.
A five-minute formula from Alexander Denev that takes you through a simple probabilistic graphical model and explains how and why these are used. Find out more about the ground-breaking book, Probabilistic...
Industry leader Vincent Kaminski discusses the challenges faced by energy markets and his new book, Managing Energy Price Risk, 4th Edition.
Momtchil Pojarliev talks about his book, The Role of Currency in Institutional Portolios, currency investing and the potential role of currencies in institutional portfolios.
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.