An auction run by data vendor Markit and broker Creditex determined final settlement values for credit derivatives trades referencing three US-based subsidiaries of Netherlands-based chemical company LyondellBasell, today.
The auction set a recovery rate of 20.75% on loan credit default swaps (LCDS) referencing Houston-based Lyondell Chemical, and a final settlement value of 15.5% for the company's CDSs.
A final settlement value of 27.5% was set for CDSs referencing Houston-based subsidiary Equistar Chemicals. Millennium America, a subsidiary based in New Jersey, saw a price of 7.125% set for its CDSs.
Protocols are required to cash settle CDS and LCDS trades, as the use of the auction procedure is not embedded in the standard CDS contract.
LyondellBasell's three US subsidiaries opted to restructure their debt obligations under protection of Chapter 11 bankruptcy, which triggered credit events, on January 6.
Protection buyers that opt for cash settlement of credit derivatives trades receive the contract's par value, less the recovery rate.
An auction is due on Thursday, February 5 to settle CDSs and LCDSs on Sanitec, a Finnish manufacturer of bathroom fittings - this will be the first European leveraged loan credit event auction.
More on Credit Derivatives
Risk Awards 2015: BlueMountain founder is at the centre of a changing market
Innovative approach finds best CDS prices often come from the buy side
Risk Awards 2015: Strategic decisions made after the crisis paid off in 2014
Nearly 2.5% of single-name CDS market changed hands in trade last September
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
Nominated for two technology awards
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.