Avon CDS payout ends 66 cents after second-half surge in auction

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Avon CDS payout ends 66 cents after second-half surge in auction

  1. Dan Alderson
2 min read

A remarkable second half turnaround in the 24 September Avon Products credit default swap auction shifted the balance from protection sellers to protection buyers.

The Avon auction, hosted by Creditex, produced an initial market midpoint of 63.375 cents. This would have meant protection holders only recouping 36.625 cents — a lower payout than Avon CDS and bonds had projected, with five-year CDS having been quoted at 52.25 points up front ahead of the auction (indicating a 47.75 payout to protection buyers).

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