McCarthy & Stone

McCarthy and Stone Credit Event

The McCarthy and Stone European LCDS Auction relates to settlement of transactions referencing a certain McCarthy and Stone Obligation (where Mother Bidco Limited is the Reference Entity) (“McCarthy and Stone”). McCarthy and Stone 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 Bankruptcy Credit Event occurred in respect of the Reference Entity and have voted to hold an auction in respect of the McCarthy and Stone First Lien Loans. The terms of these auctions are contained in the ELCDS Auction Settlement Terms for McCarthy and Stone (the “Auction Terms”), which were published by ISDA on 22 March 2010.

The auction is scheduled for 15 April 2010. Markit and Creditex will administer the auction. The cash settlement date for Covered Transactions (as defined in the Auction Terms) will be 22 April 2010.

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.

Whilst cash settlement at the final price determined by an auction is contemplated by the standard documents for European loan credit default swaps that ISDA published on 3 October 2008 and by certain other standard documents that have been amended by previous ISDA European Loan CDS Protocols, following the occurrence of a scheme of arrangement after the Credit Event (but before any NOPs Date) certain issues arose concerning what obligation(s) would constitute Deliverable Obligations for the purposes of any settlement.  To facilitate settlement and to address these issues, therefore, the Markit iTraxx LevX Market Makers agreed that a Protocol should be published specific to this event to allow counterparties to hold an Auction taking into account the discharge of a portion of the Reference Obligation and referencing new first lien loans as the Deliverable Obligations.

Therefore, for transactions intended to be covered by the auction to settle pursuant to the Final Price determined by the Auction, it will be necessary for both parties to adhere between 22 March and 6 April 2010 to the 2010 ISDA McCarthy and Stone Loan CDS Protocol to amend the terms of their transactions accordingly. Please refer to the FAQ relating to the ISDA 2010 McCarthy and Stone Loan CDS Protocol for further details.

It should be noted that there is no adherence fee required for ISDA members or non-ISDA members submitting Adherence Letters in connection with the Protocol.

The Protocol is open to ISDA members and non-members.

Auction Timeline:
McCarthy and Stone Loan CDS Protocol:

2010 ISDA McCarthy and Stone Loan CDS Protocol


List of Adhering Parties

Form of adherence letter

Adherence letter submission process

Frequently asked questions

ELCDS Auction Terms: Auction Settlement Terms for McCarthy and Stone

Customer Physical Settlement Request Letter: 

Form of Customer Physical Settlement Request Letter

List of Participating Bidders: Participating Bidders

Related Press Releases:   

ISDA to Publish Auction Terms for McCarthy & Stone