London/New York, March 31, 2006 - Creditex, Inc. (“Creditex”) and Markit Group Limited (“Markit”), in partnership with 13 major credit derivative dealers, have successfully conducted a Credit Event Fixing today to generate a cash settlement price for contracts referencing the defaulted bonds of Dana Corporation (“Dana”).
Dana, an auto parts supply company, filed for bankruptcy on March 3, 2006, and is included in various credit derivative indices, including those published by Dow Jones CDX and TRAC-X. At 10:55 am EST, the final price for certain Dana bonds was fixed at 73.5%.
The Credit Event Fixings are being used as part of the 2006 Dana CDS Index Protocol developed by the International Swaps and Derivatives Association (ISDA) in consultation with dealers and the broader market. The Protocol facilitates the overall settlement of index and index tranche trades by allowing the 340 adhering institutions to cash settle (or cash settle and exchange physical bonds) at the auction price.
The fixing methodology for Dana is substantially similar to that used for the previous fixings held in relation to the defaults of Calpine and Delphi Corporation.
The Credit Event Fixings are designed to ensure a transparent and fair process which is representative of the trading market level. Creditex provides the electronic platform for the operation of the fixings. Markit verifies the inputs to guarantee the integrity of the fixings, calculates the prices and publishes them on a freely available web page, www.creditfixings.com. Dana marks the sixth corporation for which a Credit Event Fixing has been held. Previous Fixings were held for Collins & Aikman, Delta Air Lines, Northwest Airlines, Delphi Corporation and Calpine Corporation.
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