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DTCC completes $1.4 billion net settlement for WaMu CDSs
By Caroline Salls
Pittsburgh, Nov. 12 - The Depository Trust & Clearing Corp. said its Trade Information Warehouse has completed the automated credit event processing and settlement of Washington Mutual Inc. over-the-counter credit default swap contracts, according to a DTCC news release.
DTCC said $1.4 billion in net funds were transferred from net sellers of protection to net buyers of protection, and the portion of this net funds settlement allocable to trades between major dealers was settled through the normal settlement procedures of CLS Bank.
According to the release, the net funds transfers covered outstanding WaMu single-name CDS as well as CDS index contracts and CDS index tranches in which WaMu was a component.
DTCC said WaMu was a component in about 35 indices serviced by the warehouse, with component percentages ranging from 0.80% to 4.17%.
The Oct. 23 credit event auction for WaMu set a price of $0.57 on the dollar for WaMu bonds, according to the release. As of Oct. 23, DTCC said the gross notional value of outstanding single name credit default swaps for WaMu registered in the warehouse stood at $41 billion.
DTCC is based in New York and provides clearance, settlement and information services for equities, corporate and municipal bonds, government and mortgage-backed securities, money market instruments and over-the-counter derivatives. Its Trade Information Warehouse is a trade database for post-trade processing of OTC derivatives contracts.
Washington Mutual, a Seattle-based savings and loan holding company, filed for Chapter 11 bankruptcy on Sept. 26 in the U.S. Bankruptcy Court for the District of Delaware. Its Chapter 11 case number is 08-12229.
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