Ambac Assurance CDS auction scheduled for tomorrow

An auction to settle Ambac Assurance Corp credit defaults swaps is due to take place tomorrow at 9.45am EDT. 14 dealers will take part, with final results scheduled to be announced at 2pm EDT.

The auction will be watched closely by CSO investors, many of which reacted with fury to the Isda determination committee’s 26 March decision to call a bankruptcy credit event on Ambac. Fitch has said that the name is present in 58% of CSO portfolios.

The determinations committee, which does not publish reasons for its decisions, ruled that a bankruptcy had occurred after Ambac’s regulator ordered it to put its RMBS and credit derivative liabilities into a segregated account supervised by the regulator.