Panrico Credit Event

The Panrico European LCDS Auction relates to settlement of transactions referencing a certain Panrico Obligation (where Panrico, S.L. Unipersonal (formerly known as Demeter Iberia, S.L. Unipersonal) is the Reference Entity) (“Panrico”). Panrico 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 Panrico. The terms of the auction are contained in the ELCDS Auction Settlement Terms for Panrico (the “Auction Terms”), which were published by ISDA on 16 November 2011.

The auction is scheduled for 23 November 2011. Markit and Creditex will administer the auction. The cash settlement date for Covered Transactions (as defined in the Auction Terms) will be 28 November 2011.

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 completion of the debt restructuring 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 referencing new obligations 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 16 November and 21 November 2011 to the 2011 ISDA Panrico Loan CDS Protocol to amend the terms of their transactions accordingly. It is necessary for both parties to adhere to the 2011 ISDA Panrico Loan CDS Protocol, if either party does not adhere to the 2011 ISDA Panrico Loan CDS Protocol, then their transactions will not be subject to or affected by the Auction.

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.