Abitibi-Consolidated Inc. Senior Unsecured CDS. Credit Event Auction Summary
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1 Abitibi-Consolidated Inc. Senior Unsecured CDS Credit Event Auction Summary April 17, 2009
2 Credit Event Auction Summary - Abitibi-Consolidated Inc. CDS Abitibi-Consolidated Inc. CDS Final Price 3.25 Auction Date 17Apr09 Reference Data Deliverable Obligations RED 6 : 003CB6 US003924AB38 RED 9 : 003CB6AD7 US003924AC11 US003924AD93 Index Constituents of US003924AG25 *Markit CDX.NA.HY 8-11 US003924AH08 Markit CDX.NA.HY.B 8-10 USC00246AC92 Markit CDX.NA.HY.HB 8-11 US003669AF58 Markit Dow Jones CDX.NA.HY 2-7 US003669AL27 Markit Dow Jones CDX.NA.HY.B. 6-7 US003669AK44 Markit Dow Jones CDX.NA.HY.BB. 2-5 US003669AC28 Markit Dow Jones CDX.NA.HY.HB. 4-7 US003669AJ70 - RED Preferred Markit Dow Jones CDX.NA.XO. 5 US003669AG32 US003672AA09 Trade Information Warehouse (DTCC) Gross Notional : $9,841,740,243 Contracts : 2,091 Net Notional : $395,628,683 Date as of: 04/10/2009 Auction Details Default Date 03/18/2009 Inside Market Quotation Amount $ 2 MM EDD 03/27/2009 Bid-Offer Spread 2% Auction Date 04/17/2009 Participating Bidders 11 Cash Settlement Da04/24/2009 Adhering Parties 492 Event Failure To Pay Cap Amount 1% Accrual Calculation Method Normal Initial Bidding Results Inside Market Midpoint Net Open Interest 3.75 $ Million to Sell Price Inside Market Submissions Dealer pays adjustment amount Cap Amount: IMM: 3.75 Dealer pays adjustment amount Dealer Submission Number Adjustment Deutsche Bank AG Pays: $5,000 Bid Offer IMM Cap Sum of Buy Physical Requests Sum of Sell Physical Requests $ MM $ MM Bid Final Bidding Results Final Price : 3.25 Limit Orders Filled at Final Price of Dealer Submission Number Filled Partially Filled Not Filled * See Appendix V for details 1 of 7
3 Credit Event Auction Summary - Abitibi-Consolidated Inc. CDS CDS Upfronts Abitibi-Consolidated Inc. (ABY) - SNRFOR - MR - USD - 5Y 100% 90% 80% 70% 60% 50% 40% 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 Bond Prices EDD - 4 Days EDD - 3 Days EDD - 2 Days EDD - 1 Day * EDD stands for Event Determination Date 30.00% 25.00% 20.00% Bond Prices 15.00% 10.00% 5.00% 0.00% Auction day Days Auction day - 60 Days Auction day -10 Days Auction day - 8 Days Auction day - 6 Days Auction day - 4 Days Auction day - 2 Days ABY Apr28 ABY Aug30 ABY Aug29 ABY Aug10 2 of 7
4 Credit Event Auction Summary - Abitibi-Consolidated Inc. CDS Appendix 3 of 7
5 APPENDIX I Credit Event Auction Summary - Abitibi-Consolidated Inc. CDS Initial Bidding Results Inside Market Submissions Dealers BNP Paribas Deutsche Bank AG Physical settlement requests Dealers BNP Paribas Deutsche Bank AG Bid Offer Type Size O 9.8 O 5.8 O O 20 O 0 O 0 O 0 O O O 26 B 18 4 of 7
6 APPENDIX II Credit Event Auction Summary - Abitibi-Consolidated Inc. CDS Final Bidding Results Limit Orders Dealer Deutsche Bank AG Deutsche Bank AG** ** ** ** ** l** BNP Paribas** ** ** ** Deutsche Bank AG BNP Paribas ** ** Limit Orders that were derived from inside markets. * Limit Orders that were filled. ^ Limit Orders that were partially filled. Bid Size 4.75* * 25 4* 25 4* * * * * ^ of 7
7 APPENDIX III Credit Event Auction Summary - Abitibi-Consolidated Inc. CDS CDS Upfronts Date CDS Upfront EDD - 90 Days 11/21/ % EDD - 60 Days 01/02/ % EDD - 30 Days 02/13/ % EDD - 10 Days 03/13/ % EDD - 9 Days 03/16/ % EDD - 8 Days 03/17/ % EDD - 7 Days 03/18/ % EDD - 6 Days 03/19/ % EDD - 5 Days 03/20/ % EDD - 4 Days 03/23/ % EDD - 3 Days 03/24/ % EDD - 2 Days 03/25/ % EDD - 1 Day 03/26/ % CDS Recovery Rate Auction day Days 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 Date Rec. Rate 10/31/ % 12/12/ % 01/23/ % 03/06/ % 04/03/ % 04/06/ % 04/07/ % 04/08/ % 04/09/ % 04/10/ % 04/13/ % 04/14/ % 04/15/ % 04/16/ % APPENDIX IV Bond Details ISIN CUSIP Name Coupon Maturity Bond 1 US003924AB AB3 Abitibi 7.40% 04/01/2018 Bond 2 US003924AC AC1 Abitibi 7.50% 04/01/2028 Bond 3 US003924AD AD9 Abitibi 8.50% 08/01/2029 Bond 4 US003924AG AG2 Abitibi 8.55% 08/01/2010 Bond 5 US003924AH AH0 Abitibi 8.85% 08/01/1930 Bond 6 USC00246AC92 C00246AC9 Abitibi-Consolidated Company of Canada 13.75% 04/01/2011 Bond 7 US003669AF AF5 Abitibi-Consolidated Company of Canada 7.75% 06/15/2011 Bond 8 US003669AL AL2 Abitibi-Consolidated Company of Canada 13.75% 04/01/2011 Bond 9 US003669AK AK4 Abitibi-Consolidated Company of Canada 15.50% 07/15/2010 Bond 10 US003669AC AC2 Abitibi-Consolidated Company of Canada 6.00% 06/20/2013 Bond 11 US003669AJ AJ7 Abitibi-Consolidated Company of Canada 8.375% 04/01/2015 Bond 12 US003669AG AG3 Abitibi-Consolidated Company of Canada LIBOR % 06/15/2011 Bond 13 US003672AA AA0 Abitibi-Consolidated Company of Canada 7.875% 08/01/2009 Bond Prices Auction day Days 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 Date Prices US003924AH08 US003924AC11 US003924AG25 US003924AD93 10/31/ % 17.92% 26.17% 19.00% 12/12/ % 10.33% 16.00% 10.33% 01/23/ % 12.33% 17.20% 11.54% 03/06/ % 10.00% 8.50% 10.00% 04/03/ % 5.50% 5.92% 5.50% 04/06/ % 6.33% 5.94% 6.00% 04/07/ % 6.33% 5.94% 6.00% 04/08/ % 5.00% 5.35% 6.00% 04/09/ % 5.00% 5.35% 6.00% 04/10/ % 5.00% 5.35% 6.00% 04/13/ % 5.00% 5.45% 6.00% 04/14/ % 5.00% 5.45% 6.00% 04/15/ % 5.00% 5.45% 6.00% 04/16/ % 4.00% 4.35% 4.50% 6 of 7
8 Credit Event Auction Summary - Abitibi-Consolidated Inc. CDS APPENDIX V Indices Affected Old Index Name Old Version Old RED Code New Index Name New Version New RED Code Dow Jones CDX.NA.HY.2-V9 9 2I65BRCR9 Dow Jones CDX.NA.HY.2-V I65BREA4 Dow Jones CDX.NA.HY.3-V I65BRCS7 Dow Jones CDX.NA.HY.3-V I65BREC0 Dow Jones CDX.NA.HY.4-V I65BRCT5 Dow Jones CDX.NA.HY.4-V I65BREE6 Dow Jones CDX.NA.HY.5-V9 9 2I65BRCU2 Dow Jones CDX.NA.HY.5-V I65BREG1 Dow Jones CDX.NA.HY.6-V7 7 2I65BRCV0 Dow Jones CDX.NA.HY.6-V9 9 2I65BREI7 Dow Jones CDX.NA.HY.7-V6 6 2I65BRCW8 Dow Jones CDX.NA.HY.7-V8 8 2I65BREK2 CDX.NA.HY.8-V6 6 2I65BRCX6 CDX.NA.HY.8-V9 9 2I65BREM8 CDX.NA.HY.9-V7 7 2I65BRCY4 CDX.NA.HY.9-V I65BREP1 CDX.NA.HY.10-V6 6 2I65BRDD9 CDX.NA.HY.10-V9 9 2I65BRES5 CDX.NA.HY I65BRDE7 CDX.NA.HY I65BREV8 Dow Jones CDX.NA.HY.B.6-V4 4 2I65BSCV8 Dow Jones CDX.NA.HY.B.6-V5 5 2I65BSDE5 Dow Jones CDX.NA.HY.B.7-V3 3 2I65BSCW6 Dow Jones CDX.NA.HY.B.7-V4 4 2I65BSDF2 CDX.NA.HY.B.8-V4 4 2I65BSCX4 CDX.NA.HY.B.8-V5 5 2I65BSDG0 CDX.NA.HY.B.9-V5 5 2I65BSCY2 CDX.NA.HY.B.9-V6 6 2I65BSDH8 CDX.NA.HY.B.10-V3 3 2I65BSDB1 CDX.NA.HY.B.10-V4 4 2I65BSDI6 Dow Jones CDX.NA.HY.BB.2-V3 3 2I65BVAT8 Dow Jones CDX.NA.HY.BB.2-V4 4 2I65BVBH3 Dow Jones CDX.NA.HY.BB.3-V3 3 2I65BVAU5 Dow Jones CDX.NA.HY.BB.3-V4 4 2I65BVBI1 Dow Jones CDX.NA.HY.BB.4-V3 3 2I65BVAJ0 Dow Jones CDX.NA.HY.BB.4-V4 4 2I65BVBJ9 Dow Jones CDX.NA.HY.BB.5-V2 2 2I65BVAK7 Dow Jones CDX.NA.HY.BB.5-V3 3 2I65BVBK6 Dow Jones CDX.NA.HY.HB.4-V6 6 2I65BWAY5 Dow Jones CDX.NA.HY.HB.4-V8 8 2I65BWCT4 Dow Jones CDX.NA.HY.HB.5-V6 6 2I65BWBD0 Dow Jones CDX.NA.HY.HB.5-V8 8 2I65BWCD9 Dow Jones CDX.NA.HY.HB.6-V4 4 2I65BWBL2 Dow Jones CDX.NA.HY.HB.6-V6 6 2I65BWCF4 Dow Jones CDX.NA.HY.HB.7-V4 4 2I65BWBM0 Dow Jones CDX.NA.HY.HB.7-V6 6 2I65BWCH0 CDX.NA.HY.HB.8-V4 4 2I65BWBN8 CDX.NA.HY.HB.8-V6 6 2I65BWCJ6 CDX.NA.HY.HB.9-V4 4 2I65BWBF5 CDX.NA.HY.HB.9-V6 6 2I65BWCL1 CDX.NA.HY.HB.10-V3 3 2I65BWBJ7 CDX.NA.HY.HB.10-V6 6 2I65BWCN7 CDX.NA.HY.HB I65BWBO6 CDX.NA.HY.HB I65BWCQ0 Dow Jones CDX.NA.XO.5-V2 2 1D764IAB3 Dow Jones CDX.NA.XO.5-V3 3 1D764IAV9 7 of 7
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