Millennium Auction Results, 3rd February 2009
Final Results of the Millennium CDS Auction, 3rd February 2009
Final Price: 7.125
On 3rd February 2009, 11 dealers submitted inside markets, physical settlement requests and limit orders to the Millennium auction administered by Creditex and S&P Global to settle trades across the market referencing Millennium America Inc. .
The inputs and results are detailed below.
Dealer Inside Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Banc of America Securities, LLC | 4 | 6 | Banc of America Securities, LLC |
| Barclays Bank PLC | 5 | 7 | Barclays Bank PLC |
| BNP Paribas | 7.25 | 9.25 | BNP Paribas |
| Citigroup Global Markets Inc. | 6.125 | 8.125 | Citigroup Global Markets Inc. |
| Credit Suisse International | 5.125 | 7.125 | Credit Suisse International |
| Deutsche Bank AG | 5 | 7 | Deutsche Bank AG |
| Goldman Sachs & Co. | 4 | 6 | Goldman Sachs & Co. |
| J.P. Morgan Securities Inc. | 5.25 | 7.25 | J.P. Morgan Securities Inc. |
| Morgan Stanley & Co. Incorporated | 5 | 7 | Morgan Stanley & Co. Incorporated |
| The Royal Bank of Scotland PLC | 4.5 | 6.5 | The Royal Bank of Scotland PLC |
| UBS Securities LLC | 6 | 8 | UBS Securities LLC |
Inside Market Midpoint:
6.125
Adjustment Amounts
BNP Paribas: $22,500
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| BNP Paribas | Offer | 0 |
| Banc of America Securities, LLC | Offer | 0 |
| Barclays Bank PLC | Offer | 3.35 |
| Citigroup Global Markets Inc. | Offer | 0 |
| Credit Suisse International | Offer | 0 |
| Goldman Sachs & Co. | Offer | 14.8 |
| J.P. Morgan Securities Inc. | Offer | 2 |
| Morgan Stanley & Co. Incorporated | Offer | 0 |
| The Royal Bank of Scotland PLC | Offer | 0 |
| UBS Securities LLC | Offer | 0 |
| Deutsche Bank AG | Bid | 10 |
Net Open Interest: $10.15 million to sell
| Sum of Buy Physical Requests | $10.00m |
| Sum of Sell Physical Requests | $20.15m |
| Sum of Physical Request Trades | $10.00m |
| Sum of Limit Order Trades | $10.15m |
Limit Orders
| Dealer | Bid | Size |
|---|---|---|
| Morgan Stanley & Co. Incorporated | 7.125^ | 5 |
| Morgan Stanley & Co. Incorporated | 7.125^ | 10.149 |
| BNP Paribas** | 6.125 | 2 |
| Citigroup Global Markets Inc.** | 6.125 | 2 |
| UBS Securities LLC** | 6 | 2 |
| J.P. Morgan Securities Inc.** | 5.25 | 2 |
| Credit Suisse International** | 5.125 | 2 |
| Morgan Stanley & Co. Incorporated** | 5 | 2 |
| Deutsche Bank AG** | 5 | 2 |
| Barclays Bank PLC** | 5 | 2 |
| The Royal Bank of Scotland PLC** | 4.5 | 2 |
| Banc of America Securities, LLC** | 4 | 2 |
| Goldman Sachs & Co.** | 4 | 2 |
| Banc of America Securities, LLC | 3.5 | 2 |
| Goldman Sachs & Co. | 3 | 5 |
| Goldman Sachs & Co. | 2.5 | 2.5 |
| Goldman Sachs & Co. | 2 | 10 |
** Limit Orders that were derived from inside markets.
* Limit Orders that were filled.
^ Limit Orders that were partially filled.
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