Nortel Networks Corporation Senior Unsecured CDS. Credit Event Auction Summary
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1 Nortel Networks Corporation Senior Unsecured CDS Credit Event Auction Summary February 10, 2009
2 Reference Data Nortel Networks Corporation CDS Final Price 12 Auction Date 10Feb09 Deliverable Obligations RED 6 : 6BBBBE US656568AC66 US656569AK65 US656569AE06 RED 9 : 6BBBBEAD3 US656568AF97 USC65614AC08 USC65614AB25 Index Constituents of *Markit CDX.NA.HY 1 to 11 US656568AE23 US656569AL49 USC65614AA42 Markit CDX.NA.HY.B 1 to 9 US656568AD40 US656569AG53 US656569AB66 Markit CDX.NA.HY.HB 10, 11 US656569AD23 USC65614AD80 - Red Preferred Trade Information Warehouse (DTCC) Gross Notional : $5,119,713,532 Contracts : 1,150 Net Notional : $520,147,826 Date as of: 2/6/2009 Auction Details Default Date 1/14/2009 Inside Market Quotation Amount $5 MM EDD 1/14/2009 Bid-Offer Spread 2% Auction Date 2/10/2009 Participating Bidders 11 Cash Settlement Date 2/18/2009 Adhering Parties 435 Event Bankruptcy Accrual Calculation Method Normal Inside Market Midpoint Net Open Interest Initial Bidding Results $ million to sell Inside Market Submissions 14 Cap Amount: Price IMM: Dealer pays adjustment amount Dealer Submission Number Bid Offer IMM Cap Adjustment Amount : None Sum of Buy Physical Requests $ 0.0 mm Sum of Sell Physical Requests $ mm Final Bidding Results Final Price : 12 Bid Limit Orders Filled at Final Price of Dealer Submission Number Filled Partially Filled Not Filled * See Appendix VI for details 1 of 8
3 CDS Upfronts Nortel Networks Corporation (NT) - SNRFOR - XR - USD - 5Y 90.00% 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% Bond Prices EDD - 3 Days EDD - 90 Days EDD - 60 Days EDD - 30 Days EDD - 10 Days EDD - 9 Days EDD - 8 Days EDD - 7 Days EDD - 6 Days EDD - 5 Days EDD - 4 Days EDD - 2 Days EDD - 1 Day * EDD stands for Event Determination Date 63.00% 53.00% Bond Prices 43.00% 33.00% 23.00% 13.00% Auction day - 90 Days Auction day - 30 Days Auction day - 9 Days Auction day - 7 Days NT-Ltd (2) Jul16 BondCall NT-Ltd Jul13 Auction day - 5 Days Auction day - 3 Days Auction day - 1 Day NT-Ltd (3) Jul16 BondCall NT-Ltd (2) Frn 15Jul11 Float 2 of 8
4 Appendix 3 of 8
5 APPENDIX I Initial Bidding Results Inside Market Submissions Dealers Bid Offer Banc of America Securities LLC Barclays Bank PLC BNP Paribas Citigroup Global Markets Inc Credit Suisse International Deutsche Bank AG Goldman Sachs & Co J.P. Morgan Securities Inc Morgan Stanley & Co. Incorporated The Royal Bank of Scotland PLC UBS Securities LLC Physical settlement requests Dealers Type Size BNP Paribas O 8.5 Banc of America Securities LLC O 0 Barclays Bank PLC O 20 Citigroup Global Markets Inc. O Credit Suisse International O 15 Deutsche Bank AG O 3 Goldman Sachs & Co. O 17 J.P. Morgan Securities Inc. O 0 Morgan Stanley & Co. Incorporated O 33 The Royal Bank of Scotland PLC O 8.5 UBS Securities LLC O of 8
6 APPENDIX II Final Bidding Results Limit Orders Dealer Bid Size Barclays Bank PLC * 15 Barclays Bank PLC * 5 Barclays Bank PLC * 5 Banc of America Securities LLC * 25 Goldman Sachs & Co. 12.5* 30 Deutsche Bank AG 12.5* 26 Banc of America Securities LLC 12.25* 20 Barclays Bank PLC 12.25* 10 Banc of America Securities LLC** * 5 Deutsche Bank AG** * 5 Barclays Bank PLC * 10 Barclays Bank PLC * 20 Goldman Sachs & Co * 23 Morgan Stanley & Co. Incorporated * 70 Citigroup Global Markets Inc * 7 UBS Securities LLC 12^ Banc of America Securities LLC 12^ 15 Morgan Stanley & Co. Incorporated 12^ 4 The Royal Bank of Scotland PLC 12^ 5 J.P. Morgan Securities Inc.** Goldman Sachs & Co.** Citigroup Global Markets Inc.** The Royal Bank of Scotland PLC Goldman Sachs & Co Banc of America Securities LLC BNP Paribas** Morgan Stanley & Co. Incorporated Barclays Bank PLC Morgan Stanley & Co. Incorporated** 11 5 The Royal Bank of Scotland PLC Barclays Bank PLC 11 5 Barclays Bank PLC Barclays Bank PLC J.P. Morgan Securities Inc Morgan Stanley & Co. Incorporated Barclays Bank PLC** The Royal Bank of Scotland PLC Banc of America Securities LLC Barclays Bank PLC Goldman Sachs & Co Citigroup Global Markets Inc Barclays Bank PLC Credit Suisse International** 10 5 UBS Securities LLC ** 10 5 Goldman Sachs & Co Citigroup Global Markets Inc Goldman Sachs & Co Barclays Bank PLC The Royal Bank of Scotland PLC Credit Suisse International Goldman Sachs & Co Barclays Bank PLC 10 5 J.P. Morgan Securities Inc Goldman Sachs & Co J.P. Morgan Securities Inc Deutsche Bank AG The Royal Bank of Scotland PLC** The Royal Bank of Scotland PLC Goldman Sachs & Co Goldman Sachs & Co Citigroup Global Markets Inc J.P. Morgan Securities Inc Goldman Sachs & Co. 9 2 Citigroup Global Markets Inc. 9 2 BNP Paribas The Royal Bank of Scotland PLC 9 20 J.P. Morgan Securities Inc J.P. Morgan Securities Inc Goldman Sachs & Co Citigroup Global Markets Inc Goldman Sachs & Co J.P. Morgan Securities Inc Goldman Sachs & Co Goldman Sachs & Co. 8 2 continued on next page 5 of 8
7 Dealer Bid Size Citigroup Global Markets Inc. 8 2 Citigroup Global Markets Inc J.P. Morgan Securities Inc UBS Securities LLC Goldman Sachs & Co Goldman Sachs & Co Goldman Sachs & Co Goldman Sachs & Co. 7 2 Citigroup Global Markets Inc. 7 2 Citigroup Global Markets Inc Deutsche Bank AG Goldman Sachs & Co Credit Suisse International Goldman Sachs & Co UBS Securities LLC Deutsche Bank AG Morgan Stanley & Co. Incorporated 5 5 Credit Suisse International 5 25 UBS Securities LLC Morgan Stanley & Co. Incorporated ** Limit Orders that were derived from inside markets. * Limit Orders that were filled. ^ Limit Orders that were partially filled 6 of 8
8 APPENDIX III CDS Upfronts Date CDS Upfront EDD - 90 Days 09/09/ % EDD - 60 Days 10/21/ % EDD - 30 Days 12/02/ % EDD - 10 Days 12/30/ % EDD - 9 Days 12/31/ % EDD - 8 Days 01/02/ % EDD - 7 Days 01/05/ % EDD - 6 Days 01/06/ % EDD - 5 Days 01/07/ % EDD - 4 Days 01/08/ % EDD - 3 Days 01/09/ % EDD - 2 Days 01/12/ % EDD - 1 Day 01/13/ % CDS Recovery Rate Date Auction day - 90 Days Auction day - 60 Days Auction day - 30 Days Auction day -10 Days Auction day - 9 Days Auction day - 8 Days Auction day - 7 Days Auction day - 6 Days Auction day - 5 Days Auction day - 4 Days Auction day - 3 Days Auction day - 2 Days Auction day - 1 Day Rec. Rate 10/06/ % 11/17/ % 12/29/ % 01/27/ % 01/28/ % 01/29/ % 01/30/ % 02/02/ % 02/03/ % 02/04/ % 02/05/ % 02/06/ % 02/09/ % APPENDIX IV Bond Details ISIN CUSIP Name Coupon Maturity Bond 1 US656568AC AC6 Nortel Corp /15/12 Bond 2 US656568AF AF9 Nortel Corp /15/12 Bond 3 US656568AE AE2 Nortel Corp /15/14 Bond 4 US656568AD AD4 Nortel Corp /15/14 Bond 5 US656569AD AD2 Nortel Limited Bond 6 US656569AK AK6 Nortel Limited LIBOR /15/11 Bond 7 USC65614AC08 C65614AC0 Nortel Limited LIBOR /15/11 Bond 8 US656569AL AL4 Nortel Limited Bond 9 US656569AG AG5 Nortel Limited /15/13 Bond 10 USC65614AB AB2 Nortel Limited /15/13 Bond 11 US656569AE AE0 Nortel Limited /15/13 Bond 12 USC65614AD AD8 Nortel Limited Bond 13 USC65614AA AA4 Nortel Limited Bond 14 US656569AB AB6 Nortel Limited Bond Prices Date Auction day - 90 Days Auction day - 60 Days Auction day - 30 Days Auction day -10 Days Auction day - 9 Days Auction day - 8 Days Auction day - 7 Days Auction day - 6 Days Auction day - 5 Days Auction day - 4 Days Auction day - 3 Days Auction day - 2 Days Auction day - 1 Day Prices US656569AD23 US656569AL49 US656569AG53 US656569AK65 10/03/ % 58.00% 61.30% 64.33% 11/18/ % 22.17% 24.08% 25.33% 12/30/ % 25.17% 23.08% 22.75% 01/27/ % 18.00% 18.10% 17.38% 01/28/ % 18.00% 17.95% 17.92% 01/29/ % 15.63% 16.00% 17.50% 01/30/ % 16.75% 16.00% 17.50% 02/02/ % 16.75% 16.00% 17.50% 02/03/ % 18.08% 16.00% 18.25% 02/04/ % 16.58% 16.35% 16.00% 02/05/ % 16.00% 16.00% 15.60% 02/06/ % 16.00% 15.70% 15.13% 02/09/ % 14.00% 14.00% 14.19% 7 of 8
9 APPENDIX V Indices Affected Old Index Name Old RED Code New Index Name New RED Code Dow Jones CDX.NA.HY.1-V6 2I65BRCA6 Dow Jones CDX.NA.HY.1-V7 2I65BRBY5 Dow Jones CDX.NA.HY.2-V7 2I65BRCB4 Dow Jones CDX.NA.HY.2-V8 2I65BRBZ2 Dow Jones CDX.NA.HY.3-V8 2I65BRCC2 Dow Jones CDX.NA.HY.3-V9 2I65BRCH1 Dow Jones CDX.NA.HY.4-V8 2I65BRCD0 Dow Jones CDX.NA.HY.4-V9 2I65BRCI9 Dow Jones CDX.NA.HY.5-V7 2I65BRCE8 Dow Jones CDX.NA.HY.5-V8 2I65BRCJ7 Dow Jones CDX.NA.HY.6-V5 2I65BRCF5 Dow Jones CDX.NA.HY.6-V6 2I65BRCK4 Dow Jones CDX.NA.HY.7-V4 2I65BRCG3 Dow Jones CDX.NA.HY.7-V5 2I65BRCL2 CDX.NA.HY.8-V4 2I65BRBR0 CDX.NA.HY.8-V5 2I65BRCM0 CDX.NA.HY.9-V5 2I65BRBX7 CDX.NA.HY.9-V6 2I65BRCN8 CDX.NA.HY.10-V2 2I65BRBV1 CDX.NA.HY.10-V3 2I65BRCO6 CDX.NA.HY.11-V2 2I65BRBW9 CDX.NA.HY.11-V3 2I65BRCP3 Dow Jones CDX.NA.HY.B.1-V4 2I65BSBI8 Dow Jones CDX.NA.HY.B.1-V5 2I65BSCH9 Dow Jones CDX.NA.HY.B.2-V4 2I65BSBJ6 Dow Jones CDX.NA.HY.B.2-V5 2I65BSCI7 Dow Jones CDX.NA.HY.B.3-V5 2I65BSBK3 Dow Jones CDX.NA.HY.B.3-V6 2I65BSCJ5 Dow Jones CDX.NA.HY.B.4-V3 2I65BSBL1 Dow Jones CDX.NA.HY.B.4-V4 2I65BSCK2 Dow Jones CDX.NA.HY.B.5-V3 2I65BSBM9 Dow Jones CDX.NA.HY.B.5-V4 2I65BSCL0 Dow Jones CDX.NA.HY.B.6-V2 2I65BSBN7 Dow Jones CDX.NA.HY.B.6-V3 2I65BSCM8 Dow Jones CDX.NA.HY.B.7-V1 2I65BSAL2 Dow Jones CDX.NA.HY.B.7-V2 2I65BSCN6 CDX.NA.HY.B.8-V2 2I65BSAR9 CDX.NA.HY.B.8-V3 2I65BSCO4 CDX.NA.HY.B.9-V3 2I65BSBH0 CDX.NA.HY.B.9-V4 2I65BSCP1 CDX.NA.HY.HB.10-V2 2I65BWBG3 CDX.NA.HY.HB.10-V3 2I65BWBJ7 CDX.NA.HY.HB.11-V2 2I65BWBH1 CDX.NA.HY.HB.11-V3 2I65BWBK4 8 of 8
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