Delphi credit event fixing set at auction

The auction included 15 credit derivative dealers and was administered by Creditex, an electronic credit derivatives trading platform and London-based Markit – a derivatives pricing and valuation specialist. Participating dealers submitted bids and offers, market orders, and limit orders to the auction at 9:45AM, New York time; by 10.55AM, the auction had generated a final price at which credit derivative index trades are to be settled: 63.375%.

Delphi filed for bankruptcy on October 8 2005,

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