Final Results of the Dura Senior Auction, November 28, 2006
On November 28, 2006, 11 dealers submitted inside markets, physical settlement requests and limit orders to the Dura Senior 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 market 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 senior.
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Banc of America Securities LLC | 24 | 25.75 | Banc of America Securities LLC |
| Bear, Stearns & Co. Inc. | 23.75 | 25.75 | Bear, Stearns & Co. Inc. |
| Citigroup Global Markets Inc. | 23.75 | 25.75 | Citigroup Global Markets Inc. |
| Credit Suisse Securities (USA) LLC | 24 | 26 | Credit Suisse Securities (USA) LLC |
| Deutsche Bank Securities Inc. | 23 | 25 | Deutsche Bank Securities Inc. |
| Goldman, Sachs & Co. | 23.75 | 25.75 | Goldman, Sachs & Co. |
| J.P. Morgan Securities Inc. | 24 | 26 | J.P. Morgan Securities Inc. |
| Lehman Brothers Inc. | 23.75 | 25.75 | Lehman Brothers Inc. |
| Merrill Lynch, Pierce, Fenner & Smith, Incorporated | 23.75 | 25.75 | Merrill Lynch, Pierce, Fenner & Smith, Incorporated |
| Morgan Stanley & Co. Incorporated | 24 | 26 | Morgan Stanley & Co. Incorporated |
| UBS Securities LLC | 24.5 | 26.5 | UBS Securities LLC |
There were no touching/crossing pairs, hence no adjustment amounts for the senior auction.
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| Banc of America Securities LLC | Offer | 0 |
| Citigroup Global Markets Inc. | Offer | 0 |
| Goldman, Sachs & Co. | Offer | 0 |
| JP Morgan Chase | Offer | 20 |
| Lehman Brothers Inc. | Offer | 8 |
| Morgan Stanley & Co. Incorporated | Offer | 0 |
| UBS Securities LLC | Offer | 1 |
| Bear, Stearns & Co. Inc. | Bid | 3 |
| Credit Suisse Securities (USA) LLC | Bid | 4 |
| Deutsche Bank Securities Inc. | Bid | 0 |
| Merrill Lynch, Pierce, Fenner & Smith, Incorporated | Bid | 2 |
| Net Open interest | $20m (offer side) |
| Sum of buy physical settlement requests | $9m |
| Sum of sell physical settlement requests | $29m |
| Sum of physical settlement request trades | $9m |
| Sum of limit order trades | $20m |
Limit Orders
| Dealer | Bid | Size |
|---|---|---|
| UBS Securities LLC** | 24.5* | 5 |
| J.P. Morgan Securities Inc. | 24.5* | 4 |
| Bear, Stearns & Co. Inc. | 24.375* | 5 |
| Banc of America Securities LLC | 24.25* | 2 |
| Banc of America Securities LLC | 24.125* | 2 |
| J.P. Morgan Securities Inc. | 24.125* | 10 |
| Banc of America Securities LLC** | 24 | 5 |
| Credit Suisse Securities (USA) LLC** | 24 | 5 |
| J.P. Morgan Securities Inc.** | 24 | 5 |
| Morgan Stanley & Co. Incorporated** | 24 | 5 |
| Banc of America Securities LLC | 23.875 | 2 |
| Bear, Stearns & Co. Inc.** | 23.75 | 5 |
| Citigroup Global Markets Inc.** | 23.75 | 5 |
| Banc of America Securities LLC | 23.75 | 2 |
| Lehman Brothers Inc.** | 23.75 | 5 |
| Goldman, Sachs & Co.** | 23.75 | 5 |
| Merrill Lynch, Pierce, Fenner & Smith, Incorporated** | 23.75 | 5 |
| Deutsche Bank Securities Inc. | 23.5 | 2 |
| Lehman Brothers Inc. | 23.5 | 2 |
| Deutsche Bank Securities Inc. | 23.25 | 4 |
| Banc of America Securities LLC | 23 | 2 |
| Deutsche Bank Securities Inc.** | 23 | 5 |
| Banc of America Securities LLC | 22.75 | 2 |
| Banc of America Securities LLC | 22.5 | 2 |
| Citigroup Global Markets Inc. | 21.5 | 10 |
| Citigroup Global Markets Inc. | 21 | 10 |
| Credit Suisse Securities (USA) LLC | 19 | 2 |
| Credit Suisse Securities (USA) LLC | 15 | 2 |
** Limit Orders that were derived from inside markets
* Limit Orders that were filled.
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