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Reditex and Markit Determine Price of Ferretti First Line Loans to Settle Loan Credit Derivative Trades

Markit and Creditex, in partnership with six major credit derivative dealers, today announced the results of a Credit Event Auction conducted to facilitate settlement of loan-only credit default swap (LCDS) trades referencing Ferretti first lien loans.

At 10.30 GMT today, the final price for Ferretti first lien loans for the purpose of settling LCDS transactions was determined to be 10.875%. Sellers of Ferretti first lien LCDS protection will therefore need to pay 89.125% of the amount of protection they sold.

This price was determined following the initial bidding period. This is because there was no open interest from market participants for physical settlement during the initial bidding period, removing the need for a second phase of the auction process.

Markit and Creditex are the official administrators of Credit Event Auctions, which enable market participants to cash settle credit derivative transactions. During a Credit Event Auction, dealers submit orders electronically on the Creditex platform. The auction submissions are delivered to Markit electronically. Markit calculates and verifies the results, and publishes them on www.creditfixings.com.

The Credit Event Auction process was launched in 2005 by Markit and Creditex in collaboration with the International Swaps and Derivatives Association (ISDA) and major credit derivative dealers. Since then, Markit and Creditex have conducted 42 Credit Event Auctions, including today’s Ferretti auction, and the process has become an integral part of the CDS market’s infrastructure.