Delphi Auction Results
This Credit Event Auction relates to settlement issues concerning
Delphi Corporation, a U.S. auto parts supplier that filed for
bankruptcy on October 8th, 2005. Delphi Corporation is included in
various credit derivative indices published by Dow Jones CDX and
TRAC-X. The auction result determines a final price at which credit
derivatives index trades can be settled in accordance with the
Revised Delphi CDS Index Protocol.
At 9:45am EST, Friday 04 November 2005, 15 dealers submitted inside markets, market orders and limit orders to the auction administered by Creditex and Markit per the Revised 2005 Delphi CDS Index 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 limit orders.
Automatic Inside Market TradesSum of market order bids:$186m
Sum of market order offers: $285m
Sum of market order trades: $186m
Total number of market order trades: 16
The imbalance of the market orders was $99m on the offer side.
These were matched with the limit bids.
Sum of limit order trades: $99m
Total number of limit order trades: 23
Limit Bids - used to balance open interest
*The final matched limit bid was 63.375 which set the final price.
The $5m quotation amount associated with this limit bid was reduced
to $3m to match $99m of the open interest.
**The limit bids marked with a double asterisk were derived from the inside markets submitted by that firm.