Results of the Dura Subordinated Auction, November 28, 2006
Final Price: 3.5
On November 28, 2006, 12 dealers submitted inside markets, physical settlement requests and limit orders to the auction administered by Creditex and Markit as per the 2006 Dura CDS Protocol. The final price, inside markets, automatic trades and the sum of market and limit order trades are detailed below. Also listed are the individual physical settlement requests and limit orders submitted to the administrators.
The final price determined will be used by adherents to the protocol to settle CDS trades referencing Dura Operating Corporation where the deliverable obligation is subordinated.
Inside Markets
| Dealer |
Bid |
Offer |
Dealer |
|---|
| Banc of America Securities LLC |
3.75 |
5.75 |
Banc of America Securities LLC |
| Barclays Capital Inc. |
4 |
6 |
Barclays Capital Inc. |
| Bear, Stearns & Co. Inc. |
2.5 |
4.5 |
Bear, Stearns & Co. Inc. |
| Citigroup Global Markets Inc. |
3.25 |
5.25 |
Citigroup Global Markets Inc. |
| Credit Suisse Securities (USA) LLC |
3.5 |
5.5 |
Credit Suisse Securities (USA) LLC |
| Deutsche Bank Securities Inc. |
2.75 |
4.75 |
Deutsche Bank Securities Inc. |
| Goldman, Sachs & Co. |
0.5 |
2.5 |
Goldman, Sachs & Co. |
| J.P. Morgan Securities Inc. |
2.75 |
4.75 |
J.P. Morgan Securities Inc. |
| Lehman Brothers Inc. |
3.5 |
5.5 |
Lehman Brothers Inc. |
| Merrill Lynch, Pierce, Fenner & Smith, Incorporated |
3.625 |
5.625 |
Merrill Lynch, Pierce, Fenner & Smith, Incorporated |
| Morgan Stanley & Co. Incorporated |
2.25 |
4.25 |
Morgan Stanley & Co. Incorporated |
| UBS Securities LLC |
4.5 |
6.5 |
UBS Securities LLC |
Inside Market Midpoint: 4.25
Adjustment Amounts
| Bidding Counterparty |
Midpoint |
Offering Counterparty |
| UBS Securities LLC |
3.5 |
Goldman, Sachs & Co. |
Goldman Sachs pays an adjustment amount of $75,000
Physical Settlement Requests
| Dealer |
Bid/Offer |
Size / $m |
|---|
| Banc of America Securities LLC |
Offer |
0 |
| Barclays Capital Inc. |
Offer |
6 |
| Bear, Stearns & Co. Inc. |
Offer |
0 |
| Citigroup Global Markets Inc. |
Offer |
3 |
| Deutsche Bank Securities Inc. |
Offer |
22 |
| Goldman, Sachs & Co. |
Offer |
19 |
| J.P. Morgan Securities Inc. |
Offer |
1 |
| Lehman Brothers Inc. |
Offer |
5 |
| Merrill Lynch, Pierce, Fenner & Smith, Incorporated |
Offer |
13 |
| Morgan Stanley & Co. Incorporated |
Offer |
3 |
| UBS Securities LLC |
Offer |
9 |
| Credit Suisse Securities (USA) LLC |
Bid |
4 |
| Inside Market Midpoint: |
4.25 |
| Net Open Interest |
$77m |
| Sum of Buy Physical Settlement Requests |
$4m |
| Sum of Sell Physical Settlement Requests |
$81m |
| Sum of Physical Settlement Request Trades |
$4m |
| Sum of Limit Order Trades |
$77m |
Limit Bids
| Dealer |
Bid |
Quotation Size |
|---|
| UBS Securities LLC** |
4.25 |
10* |
| Barclays Capital Inc.** |
4 |
10* |
| Banc of America Securities LLC** |
3.75 |
10* |
| Credit Suisse Securities (USA) LLC |
3.75 |
20* |
| Merrill Lynch, Pierce, Fenner & Smith, Incorporated** |
3.625 |
10* |
| Banc of America Securities LLC |
3.625 |
2* |
| Credit Suisse Securities (USA) LLC** |
3.5 |
10* |
| Lehman Brothers Inc.** |
3.5 |
10* |
| Banc of America Securities LLC |
3.5 |
2* |
| Banc of America Securities LLC |
3.375 |
2 |
| Citigroup Global Markets Inc.** |
3.25 |
10 |
| Barclays Capital Inc. |
3.25 |
1 |
| Banc of America Securities LLC |
3.25 |
5 |
| Merrill Lynch, Pierce, Fenner & Smith, Incorporated |
3 |
1 |
| Banc of America Securities LLC |
3 |
7 |
| Goldman, Sachs & Co. |
3 |
77 |
| Deutsche Bank Securities Inc.** |
2.75 |
10 |
| J.P. Morgan Securities Inc.** |
2.75 |
10 |
| Banc of America Securities LLC |
2.75 |
6 |
| Bear, Stearns & Co. Inc.** |
2.5 |
10 |
| Banc of America Securities LLC |
2.5 |
8 |
| Morgan Stanley & Co. Incorporated** |
2.25 |
10 |
| Citigroup Global Markets Inc. |
1.5 |
10 |
| Citigroup Global Markets Inc. |
0.75 |
10 |
| Goldman, Sachs & Co.** |
0.5 |
10 |
** Limit Orders that were carried dorward from dealer inside markets. Note UBS's was carried forward at the level of the inside market midpoint as it formed part of a touching pair.
* Limit orders that were filled
Back to 2006 Auction Results
