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 S&P Global 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.