Markit and IntercontinentalExchange’s Creditex subsidiary today announced the results of a Credit Event Auction conducted to facilitate settlement of credit default swap (CDS) trades referencing The Hellenic Republic’s sovereign debt. This is the second time that a Credit Event Auction has been run to settle credit default swaps (CDS) referencing the debt of a sovereign nation.
At 15:30 GMT today, the final price of The Hellenic Republic bonds for the purpose of settling CDS transactions was determined to be 21.5%. Market participants who bought protection against a Hellenic Republic default will receive the face value of their bonds in exchange for a payment of 21.5% of face value to protection sellers.
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 over 120 Credit Event Auctions, and the process has become an integral part of CDS market infrastructure.