Dynegy Holdings, LLC Auction Results, 29 November 2011
Final Results of the Dynegy Holdings, LLC CDS Auction, 29 November 2011
Final Price: 71.25
On 29 November 2011, 13 dealers submitted initial markets, physical settlement requests and limit orders to the Dynegy Holdings, LLC auction administered by Creditex and Markit to settle trades across the market referencing DYNEGY HOLDINGS, LLC.
The Dynegy Holdings, LLC Deliverable Obligations are denominated in USD.
| Relevant Currency |
|---|
| USD |
| Auction Currency Rates | |
|---|---|
| USD/USD | 1.00000 |
The inputs and results are detailed below.
Dealer Initial Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Barclays Bank PLC | 68.75 | 70.75 | Barclays Bank PLC |
| BNP Paribas | 67.625 | 69.625 | BNP Paribas |
| Citigroup Global Markets Inc. | 70.0 | 72.0 | Citigroup Global Markets Inc. |
| Credit Suisse International | 68.75 | 70.75 | Credit Suisse International |
| Deutsche Bank AG | 68.0 | 70.0 | Deutsche Bank AG |
| Goldman Sachs & Co. | 69.0 | 71.0 | Goldman Sachs & Co. |
| J.P. Morgan Securities Inc. | 68.5 | 70.5 | J.P. Morgan Securities Inc. |
| Merrill Lynch Pierce, Fenner & Smith | 68.5 | 70.5 | Merrill Lynch Pierce, Fenner & Smith |
| MORGAN STANLEY & CO. LLC | 69.5 | 71.5 | MORGAN STANLEY & CO. LLC |
| Nomura International PLC | 68.375 | 70.375 | Nomura International PLC |
| Société Générale | 68.75 | 70.75 | Société Générale |
| The Royal Bank of Scotland PLC | 29.5 | 31.5 | The Royal Bank of Scotland PLC |
| UBS Securities LLC | 68.125 | 70.125 | UBS Securities LLC |
Initial Market Midpoint: 69.5
Adjustment Amounts
The Royal Bank of Scotland PLC
USD 1,900,000
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| BNP Paribas | Offer | 1.5 |
| Deutsche Bank AG | Offer | 40.0 |
| J.P. Morgan Securities Inc. | Offer | 0.0 |
| Merrill Lynch Pierce, Fenner & Smith | Offer | 2.0 |
| Nomura International PLC | Offer | 0.0 |
| Société Générale | Offer | 0.0 |
| The Royal Bank of Scotland PLC | Offer | 0.0 |
| UBS Securities LLC | Offer | 0.0 |
| Barclays Bank PLC | Bid | 1.8 |
| Citigroup Global Markets Inc. | Bid | 56.204 |
| Credit Suisse International | Bid | 4.0 |
| Goldman Sachs & Co. | Bid | 8.752 |
| MORGAN STANLEY & CO. LLC | Bid | 33.9 |
Net Open Interest: USD 61.156 million to buy
| Sum of Buy Physical Requests | 104.656m |
| Sum of Sell Physical Requests | 43.5m |
| Sum of Physical Request Trades | 43.5m |
| Sum of Limit Order Trades | 61.156m |
Limit Orders
| Dealer | Offer | Size |
|---|---|---|
| The Royal Bank of Scotland PLC** | 69.5* | 5.0 |
| BNP Paribas** | 69.625* | 5.0 |
| Deutsche Bank AG** | 70.0* | 5.0 |
| UBS Securities LLC** | 70.125* | 5.0 |
| Nomura International PLC** | 70.375* | 5.0 |
| J.P. Morgan Securities Inc.** | 70.5* | 5.0 |
| Merrill Lynch Pierce, Fenner & Smith** | 70.5* | 5.0 |
| Credit Suisse International** | 70.75* | 5.0 |
| Barclays Bank PLC** | 70.75* | 5.0 |
| Société Générale** | 70.75* | 5.0 |
| Goldman Sachs & Co.** | 71.0* | 5.0 |
| Barclays Bank PLC | 71.0* | 2.0 |
| Deutsche Bank AG | 71.25^ | 5.0 |
| MORGAN STANLEY & CO. LLC** | 71.5 | 5.0 |
| BNP Paribas | 71.5 | 1.0 |
| Merrill Lynch Pierce, Fenner & Smith | 71.625 | 5.0 |
| Deutsche Bank AG | 71.75 | 5.0 |
| Citigroup Global Markets Inc.** | 72.0 | 5.0 |
| UBS Securities LLC | 72.0 | 4.2 |
| Barclays Bank PLC | 72.0 | 4.0 |
| BNP Paribas | 72.0 | 4.0 |
| Goldman Sachs & Co. | 72.0 | 2.5 |
| Deutsche Bank AG | 72.25 | 10.0 |
| Citigroup Global Markets Inc. | 72.375 | 5.0 |
| Merrill Lynch Pierce, Fenner & Smith | 72.5 | 10.0 |
| BNP Paribas | 72.5 | 3.0 |
| Barclays Bank PLC | 72.875 | 4.0 |
| Credit Suisse International | 73.0 | 6.0 |
| Goldman Sachs & Co. | 73.0 | 2.5 |
| Citigroup Global Markets Inc. | 73.375 | 5.0 |
| UBS Securities LLC | 73.5 | 5.0 |
| Citigroup Global Markets Inc. | 74.0 | 5.0 |
| Deutsche Bank AG | 74.875 | 10.0 |
| UBS Securities LLC | 75.0 | 10.0 |
| Goldman Sachs & Co. | 75.0 | 5.0 |
| Citigroup Global Markets Inc. | 75.0 | 1.8 |
| Deutsche Bank AG | 75.375 | 7.0 |
| UBS Securities LLC | 76.0 | 15.0 |
| Goldman Sachs & Co. | 80.0 | 10.0 |
| Goldman Sachs & Co. | 85.0 | 10.0 |
| Goldman Sachs & Co. | 90.0 | 20.0 |
| Goldman Sachs & Co. | 100.0 | 10.0 |
** Limit Orders that were derived from inside markets.
* Limit Orders that were filled.
^ Limit Orders that were partially filled.