8th February 2008
Credit Event Auction Guide (pdf)
5th February 2008
Credit Event Auction for Quebecor World Inc. (pdf)
Creditex and Markit will be conducting the Credit Event Auction for Quebecor World Inc. on 19th February 2008. Please click on the link above to find the Protocol for the auction.
Calphine
Creditex and Markit Announce Results of Calpine Credit Event Fixing For Defaulted Bonds
London/New York, January 17, 2006 - Creditex, Inc. ("Creditex") and Markit Group Limited ("Markit"), in partnership with 11 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 Calpine Corporation ("Calpine").
Calpine filed for bankruptcy on December 20, 2005, and is included in various credit derivative indices published by CDS IndexCo and Dow Jones. At 10:55 am EST, the final price for certain Calpine bonds was fixed at 19.125%.
The Credit Event Fixings are being used as part of the 2006 Calpine CDS 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 323 adhering institutions to cash settle (or cash settle and exchange physical bonds) at the auction price.
The fixing methodology for Calpine is substantially similar to that used for the previous fixing (Delphi Corporation) but includes a few modifications to increase liquidity at the auction itself. This has the effect of both minimizing the movement of the final price from the midpoint of the auction and reducing the potential requirement for a second auction. Additionally, if a subsequent auction is required, market orders may only be increased by 50% of the original market order size, reducing the possibility that the open interest in the second auction could be larger than the first.
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. Calpine marks the fifth corporation for which a Credit Event Fixing has been held. Previous Fixings were held for Delphi Corporation, Delta Air Lines, Northwest Airlines and Collins & Aikman.
About Creditex
Creditex is the global market leader in e-trading of credit derivatives. The first e-trading platform in credit derivatives, Creditex is used by more than 800 credit derivatives traders at the world's top financial institutions. The platform has electronically executed over $ 0.5 trillion notional in credit default swap (CDS) indices, single-name CDS and standardized structured credit products. In 2005, Creditex pioneered the first Tradeable Credit Fixings, a milestone in bringing additional confidence and transparency to the market by providing a standard benchmark and settlement rate. The firm is also leading the industry in "straight-through processing" initiatives, allowing its growing client base to reduce operational risk and transaction costs. Having received numerous accolades in leading financial media including Credit, Euromoney, Forbes, Institutional Investor, Risk and, most recently, winning the IFR Innovation of the Year Award for pioneering the Credit Event Fixings, Creditex's technology continues to set the standard for innovation in the credit derivatives market. For more information about Creditex, see www.creditex.com
About Markit
Markit is the benchmark industry source of independent pricing and valuations for the global financial and energy markets. Markit has data contributed by over 50 dealing firms, and its services are used by 400 institutions globally. Areas of product expertise include OTC derivatives (credit, equity, FX, rates, inflation, energy, power, metals and structured products), corporate bonds, syndicated loans, dividend forecasting, and index and ETF management. Markit has most recently brought price transparency to the European asset-backed securities market with the launch of the first independent ABS pricing service. Markit's position in the derivative markets was acknowledged by the industry in 2005, with awards from IFR for Innovation of the Year (Credit Event Fixings); Financial News for Best Derivatives Data Provider; and Institutional Investor's Operations Management for Vendor of the Year (RED). For more information about Markit, see www.markit.com
Tradeable Credit Fixings Press and Client Contact information:
Creditex
Mazy Dar (London) +44 207 400 7383
Annette Bronkesh (NY) +1 973 778 8648
Markit
Kevin Gould (NY) +1 212 931 4901
Teresa Chick (NY) +1 212 931 4900
Calpine Auction Results
The Credit Event Fixings are being used as part of the 2006 Calpine CDS 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 323 adhering institutions to cash settle (or cash settle and exchange physical bonds) at the auction price.
The fixing methodology for Calpine is substantially similar to that used for the previous fixing (Delphi Corporation) but includes a few modifications to increase liquidity at the auction itself. This has the effect of both minimizing the movement of the final price from the midpoint of the auction and reducing the potential requirement for a second auction. Additionally, if a subsequent auction is required, market orders may only be increased by 50% of the original market order size, reducing the possibility that the open interest in the second auction could be larger than the first.
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. Calpine marks the fifth corporation for which a Credit Event Fixing has been held. Previous Fixings were held for Delphi Corporation, Delta Air Lines, Northwest Airlines and Collins & Aikman.
About Creditex
Creditex is the global market leader in e-trading of credit derivatives. The first e-trading platform in credit derivatives, Creditex is used by more than 800 credit derivatives traders at the world's top financial institutions. The platform has electronically executed over $ 0.5 trillion notional in credit default swap (CDS) indices, single-name CDS and standardized structured credit products. In 2005, Creditex pioneered the first Tradeable Credit Fixings, a milestone in bringing additional confidence and transparency to the market by providing a standard benchmark and settlement rate. The firm is also leading the industry in "straight-through processing" initiatives, allowing its growing client base to reduce operational risk and transaction costs. Having received numerous accolades in leading financial media including Credit, Euromoney, Forbes, Institutional Investor, Risk and, most recently, winning the IFR Innovation of the Year Award for pioneering the Credit Event Fixings, Creditex's technology continues to set the standard for innovation in the credit derivatives market. For more information about Creditex, see www.creditex.com
About Markit
Markit is the benchmark industry source of independent pricing and valuations for the global financial and energy markets. Markit has data contributed by over 50 dealing firms, and its services are used by 400 institutions globally. Areas of product expertise include OTC derivatives (credit, equity, FX, rates, inflation, energy, power, metals and structured products), corporate bonds, syndicated loans, dividend forecasting, and index and ETF management. Markit has most recently brought price transparency to the European asset-backed securities market with the launch of the first independent ABS pricing service. Markit's position in the derivative markets was acknowledged by the industry in 2005, with awards from IFR for Innovation of the Year (Credit Event Fixings); Financial News for Best Derivatives Data Provider; and Institutional Investor's Operations Management for Vendor of the Year (RED). For more information about Markit, see www.markit.com
Tradeable Credit Fixings Press and Client Contact information:
Creditex
Mazy Dar (London) +44 207 400 7383
Annette Bronkesh (NY) +1 973 778 8648
Markit
Kevin Gould (NY) +1 212 931 4901
Teresa Chick (NY) +1 212 931 4900