(Corrects to clarify ISDA’s role in the auction)
By Davide Scigliuzzo
NEW YORK, Aug 13 (IFR) - The International Swaps and Derivatives Association (ISDA) will organize an auction on August 21 to settle credit default swaps referencing Argentine debt.
The auction, run by Creditex and Markit, will determine the payout that holders of protection on Argentine bonds will receive as a result of the sovereign’s default on July 30.
ISDA’s 15-member committee has determined a list of securities that will be deliverable into the auction, including some of Argentina’s Par 2038, Discount 2033 and Global 2017 notes.
The committee, however, did not include in the list four yen-denominated notes issued as part of the 2005 and 2010 restructurings, saying it was unable to obtain the related documentation.
Those bonds trade at a steep discount to par value, making them some of the cheapest to deliver into the auction and their exclusion from the list could result in a higher final auction price, say market participants.
The price set through the auction will determine the payout on Argentine CDS with a net notional outstanding of USD900m, according to data from the Depository Trust & Clearing Corporation.
ISDA’s determinations committee put Argentina effectively in default earlier this month, by ruling unanimously that a “failure to pay” event occurred when the sovereign missed a coupon payment on some restructured foreign-law bonds.
Reporting by Davide Scigliuzzo; Editing by Paul Kilby