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ISDA Publishes Protocol for Dana

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NEW YORK (–The International Swaps and Derivatives Association announced the publication of a protocol created to facilitate settlement of credit derivatives trades involving Dana Corp., the Toledo, Ohio-based auto parts supply company that filed for bankruptcy March 3.

Dana is involved in various credit derivative indexes, including those published by Dow Jones CDX and TRAC-X.

ISDA’s protocol gives market participants a way to settle trades based on such indexes, by amending the documentation for such trades from physical to cash settlement and participating in an auction to determine the final price for certain Dana bonds.

Markit and Creditex will administer the auction, scheduled for March 31, which will be open to ISDA members and non-members alike. Single-name trades won’t be part of the process, and so remain subject to the physical settlement procedures in those trades’ governing documentation.

The reference obligations may be any one of the following 13 Dana bond issues:

Maturity Coupon CUSIP
2008 6.50% 235811AH9
2009 6.50% 235811AK2
2010 10.125% 235811AX4
2010 10.125% 235811AW6
2011 9.00% U23447AC6
2011 9.00% U23447AE2
2011 9.00% 235811AS5
2011 9.00% 235811AU0
2011 9.00% U23447AA04
2011 9.00% 235811AN6
2015 5.85% 235811BA3
2028 7.00% 235811AJ5
2029 7.00% 235811AL0

The protocol provides that all bids and offers at the auction shall be stated as a percentage of the outstanding principal balance, rather than the face amount, of the deliverable obligations.

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