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Maturity Buckets Planned For Restructuring Events June 09, 2009

--Katy Burne
Starting in late July, credit default swaps triggered by restructuring credit events in Europe and North America will be settled according to five buckets corresponding to the maturity of their underlying reference obligations. “It’s to reduce the number of auctions, to make life easier,” said François Popon, co-head of credit derivatives trading at Société Générale in London.
The International Swaps and Derivatives Association will release a term sheet outlining the specifics of its plans next week. It is still drafting the legal language for the formal protocol around restructuring credit events, known as the ‘small bang’, which would open for adherence around July 13 and wrap two weeks later.
The ...

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