Greek Initial CDS Auction Results: Initial Bond Midpoint 21.75

The results from the Greek CDS auction are starting to come in (the full calendar can be found here). Moments ago ISDA, via released the initial results of the Auction, which indicate a preliminary market midpoint based on bids and offers of the defaulted bonds of 21.75, which is roughly in line with where bonds had been trading ahead of the PSI completion, if a little higher than the Cheapest to Deliver, indicating some modest upside to those who bought the CTDs in the final days. The Net Open Interest going into the bidding period which begins at 13:30 GMT and lasts for 30 minutes is a modest €291.6 million, with an offer-heavy side. Then final results will become pulbic in 4:30 hours, at 15:30 GMT.Once again, a full generic run down of the whole physical settlement process can be found here. Finally, what's with the RBS "Adjustment Amount": did the bank once again forget there is a difference between "discount" and "price"? Nothing less would surprise coming from the world's most incompetent bank.

Source: Creditex