Financière Gaillon 7 ELCDS Credit Event

The Financière Gaillon 7 European LCDS Auction relates to settlement of transactions referencing a certain Financière Gaillon 7  Obligation (where Financière Gaillon 7 is the Reference Entity).  Financière Gaillon 7  is included in the LevX credit derivative index and is the subject of single-name loan CDS trades.

The circumstances in which an auction will be held are governed by the ELCDS Auction Rules, published by ISDA on 3 October 2008.  In accordance with these Rules, the Markit iTraxx LevX Market Makers determined that a Restructuring Credit Event occurred in respect of the Reference Entity and have voted to hold an auction in respect of Financière Gaillon 7.  The terms of the auction are contained in the ELCDS Auction Settlement Terms for Financière Gaillon 7 (the “Auction Terms”), which were published by ISDA on 9th March 2012.

The auction is scheduled for 28th March 2012.  Markit and Creditex will administer the auction.  The cash settlement date for Covered Transactions (as defined in the Auction Terms) will be 4th April 2012.

Market participants wishing to submit a physical settlement request into the auction must submit a valid Customer Physical Settlement Request Letter to their relevant Participating Bidder at or prior to 5:00 p.m. London time on the Business Day prior to the Auction Date.  The relevant form of Customer Physical Settlement Request Letter is linked below.