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 Markit 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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