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Auction sets Glitnir sub CDS payout at 99.875%

Wed Nov 5, 2008 10:48am EST

LONDON, Nov 5 (Reuters) - Sellers of protection on Icelandic bank Glitnir [GLBNK.UL] will have to pay out 99.875 percent of the subordinated debt they agreed to cover after an auction on Wednesday set the value of the credit default swaps.

The final value of the contracts on subordinated debt will be 0.125 percent, according to results published by auction administrators Creditex and Markit.

Earlier in the day, the payout for Glitnir senior debt was set at 97 percent.

The Depository Trust & Clearing Corp. has calculated gross notional value of outstanding Glitnir CDS contracts at $17.5 billion and the net value at $2.0 billion after taking into account offsetting positions.

(Reporting by Natalie Harrison and Jane Baird)



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