Auctions held on credit derivatives referencing three US companies

Three credit event auctions run by data vendor Markit and broker Creditex have determined final settlement values for credit derivatives trades referencing Missouri-based cable operator Charter Communications, Pennsylvania-based financial services firm Capmark Financial Group and Texas-based phone directory publisher Idearc.

An auction held on April 21 determined a final settlement value of 2.375% for credit default swaps (CDSs) referencing Charter Communications, which filed for Chapter 11 bankruptcy on March 27. A settlement value of 78% was set on loan-only credit default swaps (LCDSs) referencing the company.

On April 22, an auction determined a final settlement price of 23.375% for CDSs referencing Capmark, which suffered a credit event when it failed to make a payment on a bridge loan agreement that matured on March 23.

A third auction, held on April 23, determined a final settlement value of 1.75% on CDSs referencing Idearc, which elected to restructure its debt obligations on March 31. A settlement value of 38.5% was set on LCDSs referencing the company.

Two further auctions are planned for trades referencing Chicago-based mall owner General Growth Properties and North American newsprint manufacturer Bowater, with dates still to be confirmed. Both were deemed to have had credit events at the first meeting of the Credit Derivatives Determinations Committee for the Americas, held on April 16.

See also: Auction held on CDSs referencing Station Casinos
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