Final Price: 19.125
Calpine Auction ResultsThis Credit Event Auction relates to settlement issues concerning Calpine Corporation, a U.S. energy company that filed for bankruptcy on December 20, 2005. Calpine Corporation is included in various credit derivative indices published by Dow Jones CDX. The auction result determines a final price at which credit derivatives index trades can be settled in accordance with the 2006 Calpine CDS Protocol.
At 9:45am EST, Tuesday 17 January 2006, 11 dealers submitted inside markets, market orders and limit orders in the auction administered by Creditex and Markit per the 2006 Calpine 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.
Inside Market Midpoint: 20
Inside Market Adjustment*The adjustment amount paid from buyer to seller is the difference between the mid-point of their crossing markets and the final price.
Sum of market order bids: $16m
Sum of market order offers: $61m
Sum of market order trades: $16m
Total Number of Market Order Trades: 14
The imbalance of the market orders was $45m on the offer side. These were matched with the limit bids.
Sum of limit order trades: $45m
Total Number of Limit Order Trades: 15
Limit Bids* Limit bids that were used to fill the open interest are marked with an asterisk. The final limit bid filled of 19.125 was scaled down to a quotation amount of 1.
** Limit Bids and Offers marked with a double asterisk were derived from the bidders' inside markets.