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Creditex, Markit auctions determine price for Lyondell credit derivative trades
By Jennifer Chiou
New York, Feb. 4 - Creditex and Markit announced the results of the credit event auctions to facilitate the settlement of credit derivative trades referencing Lyondell Chemical Co., Equistar Chemicals, LP and Millennium America Inc.
The final price for Lyondell Chemical credit default swaps was 15.5%, while the final price for Lyondell Chemical loan-only CDSs was 20.75%. Equistar Chemicals CDSs came in at 27.5% and Millennium America CDSs at 7.125%.
The results were determined at 4 p.m. ET on Tuesday.
LCDX dealers voted in favor of holding an auction for loan-only CDS transactions referencing Lyondell Chemical. As a result, the International Swaps and Derivatives Association, Inc. published auction terms for this auction, similar to the documentation for the recent Tribune Co. loan-only CDS auction.
LyondellBasell Industries AF SCA previously announced that in order to facilitate a restructuring of its debts, its U.S. operations and one of its European holding companies, Basell Germany Holdings GmbH, have voluntarily filed for Chapter 11 bankruptcy.
On Jan. 7, ISDA announced that it would launch a CDS auction protocol to facilitate the settlement of credit derivatives trades, other than loan-only CDS transactions, referencing three entities in the LyondellBasell group.
LyondellBasell is a Rotterdam, Netherlands-based polymer, petrochemicals and fuels company.
Markit provides independent data, portfolio valuations and over-the-counter derivatives trade processing to the financial markets. Creditex is focused on the execution and processing of credit derivatives. ISDA is based in New York and represents participants in the privately negotiated derivatives industry.
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