• Credit Event Advisory- Credit Event declared for Residential Capital, LLC

      • To
      • Clearing Member Firms, Back Office Managers
      • From
      • CME Clearing
      • #
      • 12-205
      • Notice Date
      • 16 May 2012
      • Effective Date
      • 16 May 2012
    • The ISDA Determinations Committee has determined that a Bankruptcy Credit Event occurred with respect to Residential Capital, LLC. See the following:  <<< http://www.isda.org/credit/>>>.  The Event Determination Date is May 14th, 2012 and the number of days that CME Clearing will use to calculate the coupon payment will be 56 days.
       
      Residential Capital, LLC is referenced in the following CME cleared CDX North American High Yield Indices:
      CDXHY11V20.SR.XR.USD
      CDXHY12V11.SR.XR.USD
      CDXHY13V5.SR.XR.USD
      CDXHY14V4.SR.XR.USD
      CDXHY15V4.SR.XR.USD
      CDXHY16V4.SR.XR.USD
      CDXHY17V4.SR.XR.USD
      CDXHY18.SR.XR.USD
       
      The initial processing date for this credit event will be May 16th, 2012.
       
      Please Note:
      Since CME Clearing only offers index contracts there will be no single-name contract affected by this Credit Event, nor will there be a recovery swap made available for clearing on this single name.
       
      Additionally, the margin model will also account for the defaulted name price uncertainty up until the date of the auction.
      Another advisory notice will be published detailing next steps in the settlement process and re-versioning of the affected indices.
       
      Please contact onboarding@cmegroup.com with any questions regarding this update.
       
      Regards,
      CME Clearing
       

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