The protocol that the International Swaps and Derivatives Association has established to cash settle Dana Corp.'s credit default swap contracts attracted 340 parties last week as the deadline passed to opt into the settlement procedure. The protocol had a similar number of participants as Calpine Corp.'s, which had 323 adherents.
Kimberly Summe, general counsel at ISDA, said the protocol has gone well so far. "We have been doing this since May and have the methodology in place to make it go smoothly," she said. Dana's bonds have traded up several points since the auto supplier filed for bankruptcy March 3. Dana's 7% '29 notes were trading at 79 last Friday, up 10 points from the day of the filing. Traders said the bonds have been trading up partly because of investors buying bonds to deliver into single-name CDS trades, as well as a high perceived recovery rate on the bonds. The Dana protocol excludes single-name CDS. "It is potentially the same short squeeze that is reflective of what happened in prior protocols," said Summe, commenting on Dana's bonds trading up since its filing.