General Motors Corporation CDS. Credit Event Auction Summary
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1 General Motors Corporation CDS Credit Event Auction Summary June 12, 2009
2 Reference Data General Motors Corporation CDS Final Price 12.5 Auction Date 12June09 Deliverable Obligations RED 6 : 3A7486 RED 9 : 3A7486AD0 US370442BW46 US US370442AV71 US370442BB09 Index Constituents of US370442AR69 US37045EAS72 *Markit CDX.NA.HY 5-12 US370442AZ85 XS Markit CDX.NA.HY.B 6, 8, 9,10 US US370442BS34 - RED Preferred Markit CDX.NA.HY.BB 5 US XS Markit CDX.NA.HY.HB 5-12 XS US370442AU98 US370442BT17 US370442AJ44 US US370442AN55 US370442AT26 US37045EAG35 XS Trade Information Warehouse (DTCC) Gross Notional : $35,555,639,032 Contracts : 4,903 Net Notional : $2,378,230,711 Date as of: 06/05/2009 Auction Details Default Date 06/01/2009 Inside Market Quotation Amount $ 5 MM EDD 06/01/2009 Bid-Offer Spread 2% Auction Date 06/12/2009 Participating Bidders 13 Cash Settlement Date 06/18/2009 Cap Amount 1% Event Bankruptcy Accrual Calculation Method Normal Relevant Currency USD Auction Currency Rate USD/EUR = ** USD/GBP = ** USD/USD = ** ** The General Motors Deliverable Obligations are denominated in EUR, GBP and USD. Inside Market Midpoint Net Open Interest Initial Bidding Results 11 $ Million to Buy Price Inside Market Submissions Dealer pays adjustment amount IMM: 11 Dealer pays adjustment amount Cap Amount: Dealer Submission Number Bid Offer IMM Cap Adjustment Amount: pays $25,000 pays $12,500 Sum of Buy Physical Requests Sum of Sell Physical Requests $ MM $ MM Final Bidding Results Final Price : Limit Orders Filled at Final Price of 12.5 Offer Dealer Submission Number Filled Partially Filled Not Filled * See Appendix V for details 1 of 6
3 CDS Upfronts General Motors Corporation (GM) - SNRFOR - XR - USD- 5Y 100% 95% 90% 85% 80% EDD - 90 Days EDD - 60 Days EDD - 30 Days EDD - 10 Days EDD - 9 Days EDD - 8 Days EDD - 7 Days EDD - 6 Days Bond Prices EDD - 5 Days EDD - 4 Days EDD - 3 Days EDD - 2 Days EDD - 1 Day * EDD stands for Event Determination Date 25.00% 20.00% 15.00% Bond Prices 10.00% 5.00% 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 GM May28 GM Jan11 GM Jul13 GM Jul33 GM Jul13 GM Apr16 2 of 6
4 Appendix 3 of 6
5 APPENDIX I Initial Bidding Results Inside Market Submissions Dealers BNP Paribas HSBC Bank The Royal Bank of Scotland Societe Generale UBS Dealers HSBC Bank UBS BNP Paribas The Royal Bank of Scotland Societe Generale Bid Offer Type Size O 407 O 0 O 18 O 40 B 9.9 B B B 126 B B B B 240 B 20 APPENDIX II Final Bidding Results Limit Orders Dealer ** ** BNP Paribas ** ** ** ** ** ** Societe Generale** UBS** BNP Paribas** HSBC Bank** The Royal Bank of Scotland** Offer Size 10* 1 11* * * * 25 12* 60 12* 5 12* 5 12* 25 12* 50 12* * * * * * * * ^ ^ ^ of 6
6 The Royal Bank of Scotland Societe Generale ** Limit Orders that were derived from inside markets. * Limit Orders that were filled. ^ Limit Orders that were partially filled APPENDIX III CDS Upfronts Date CDS Upfront EDD - 90 Days 01/26/ % EDD - 60 Days 03/09/ % EDD - 30 Days 04/20/ % EDD - 10 Days 05/18/ % EDD - 9 Days 05/19/ % EDD - 8 Days 05/20/ % EDD - 7 Days 05/21/ % EDD - 6 Days 05/22/ % EDD - 5 Days 05/25/ % EDD - 4 Days 05/26/ % EDD - 3 Days 05/27/ % EDD - 2 Days 05/28/ % EDD - 1 Day 05/29/ % CDS Recovery Rate Date 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 Rec. Rate 12/26/ % 02/06/ % 03/20/ % 05/01/ % 05/29/ % 06/01/ % 06/02/ % 06/03/ % 06/04/ % 06/05/ % 06/08/ % 06/09/ % 06/10/ % 06/11/ % 5 of 6
7 APPENDIX IV Bond Details ISIN CUSIP Name Coupon Maturity Currency Bond 1 US General Motors 1.500% 06/01/09 USD Bond 2 US370442BB BB General Motors 7.200% 01/15/11 USD Bond 3 US37045EAS EAS General Motors 9.450% 11/01/11 USD Bond 4 XS General Motors 7.250% 07/03/13 EUR Bond 5 US370442BS BS General Motors 7.125% 07/15/13 USD Bond 6 XS General Motors Nova Scotia Finance 8.375% 12/07/15 GBP Bond 7 US370442AU AU General Motors 7.700% 04/15/16 USD Bond 8 US370442AJ AJ General Motors 8.800% 03/01/21 USD Bond 9 US370442AN AN General Motors 9.400% 07/15/21 USD Bond 10 US37045EAG EAG General Motors 9.400% 07/15/21 USD Bond 11 XS General Motors Nova Scotia Finance 8.875% 07/10/23 GBP Bond 12 US370442BW BW General Motors 8.250% 07/15/23 USD Bond 13 US370442AV AV General Motors 8.100% 06/15/24 USD Bond 14 US370442AR AR General Motors 7.400% 09/01/25 USD Bond 15 US370442AZ AZ General Motors 6.750% 05/01/28 USD Bond 16 US General Motors 4.500% 03/06/32 USD Bond 17 US General Motors 5.250% 03/06/32 USD Bond 18 XS General Motors 8.375% 07/05/33 EUR Bond 19 US370442BT BT General Motors 8.375% 07/15/33 USD Bond 20 US General Motors 6.250% 07/15/33 USD Bond 21 US370442AT AT General Motors 0%/7.75% 03/15/36 USD Bond Prices Prices Date US370442AU98 US370442AZ85 US370442BB09 US370442BS34 US370442BT17 Auction day Days 12/26/ % 11.25% 19.25% 16.58% 13.75% Auction day - 90 Days 02/06/ % 12.59% 18.90% 16.00% 15.50% Auction day - 60 Days 03/20/ % 13.02% 23.19% 19.08% 17.00% Auction day - 30 Days 05/01/ % 9.50% 9.36% 9.00% 9.19% Auction day -10 Days 05/29/ % 10.50% 8.25% 8.50% 9.37% Auction day - 9 Days 06/01/ % 14.15% 14.00% 14.00% 14.25% Auction day - 8 Days 06/02/ % 13.06% 13.00% 13.00% 13.45% Auction day - 7 Days 06/03/ % 12.06% 11.88% 11.75% 12.50% Auction day - 6 Days 06/04/ % 11.75% 11.00% 11.00% 11.65% Auction day - 5 Days 06/05/ % 12.50% 11.76% 11.38% 11.45% Auction day - 4 Days 06/08/ % 11.83% 11.83% 11.90% 10.89% Auction day - 3 Days 06/09/ % 10.17% 10.63% 10.63% 11.17% Auction day - 2 Days 06/10/ % 11.00% 11.00% 11.00% 11.50% Auction day - 1 Day 06/11/ % 10.67% 11.00% 11.00% 12.05% XS XS % 17.31% 27.92% 15.57% 26.48% 17.51% 9.10% 7.71% 3.19% 2.65% 14.00% 13.67% 12.90% 11.25% 12.75% 11.13% 12.50% 11.30% 12.12% 11.00% 11.95% 10.41% 11.45% 10.85% 12.05% 11.00% 12.65% 11.18% 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.5-V I65BRFD7 Dow Jones CDX.NA.HY.5-V I65BRFW5 Dow Jones CDX.NA.HY.6-V I65BRFE5 Dow Jones CDX.NA.HY.6-V I65BRFX3 Dow Jones CDX.NA.HY.7-V I65BRFH8 Dow Jones CDX.NA.HY.7-V I65BRFY1 CDX.NA.HY.8-V I65BRFI6 CDX.NA.HY.8-V I65BRFZ8 CDX.NA.HY.9-V I65BRFJ4 CDX.NA.HY.9-V I65BRGA2 CDX.NA.HY.10-V I65BRFK1 CDX.NA.HY.10-V I65BRGB0 CDX.NA.HY I65BRFL9 CDX.NA.HY I65BRGC8 CDX.NA.HY I65BRFM7 CDX.NA.HY I65BRGD6 Dow Jones CDX.NA.HY.B.6-V6 6 2I65BSDN5 Dow Jones CDX.NA.HY.B.6-V8 8 2I65BSDW5 CDX.NA.HY.B.8-V7 7 2I65BSDP0 CDX.NA.HY.B.8-V8 8 2I65BSDX3 CDX.NA.HY.B.9-V8 8 2I65BSDQ8 CDX.NA.HY.B.9-V9 9 2I65BSDY1 CDX.NA.HY.B.10-V6 6 2I65BSDR6 CDX.NA.HY.B.10-V7 7 2I65BSDZ8 Dow Jones CDX.NA.HY.BB.5-V4 4 2I65BVBP5 Dow Jones CDX.NA.HY.BB.5-V5 5 2I65BVBR1 Dow Jones CDX.NA.HY.HB.5-V9 9 2I65BWCE7 Dow Jones CDX.NA.HY.HB.5-V I65BWDG1 Dow Jones CDX.NA.HY.HB.6-V7 7 2I65BWCG2 Dow Jones CDX.NA.HY.HB.6-V9 9 2I65BWDH9 Dow Jones CDX.NA.HY.HB.7-V7 7 2I65BWCI8 Dow Jones CDX.NA.HY.HB.7-V9 9 2I65BWDI7 CDX.NA.HY.HB.8-V7 7 2I65BWCK3 CDX.NA.HY.HB.8-V9 9 2I65BWDJ5 CDX.NA.HY.HB.9-V7 7 2I65BWCM9 CDX.NA.HY.HB.9-V9 9 2I65BWDK2 CDX.NA.HY.HB.10-V9 9 2I65BWCU1 CDX.NA.HY.HB.10-V I65BWDL0 CDX.NA.HY.HB I65BWCV9 CDX.NA.HY.HB I65BWDM8 CDX.NA.HY.HB I65BWCW7 CDX.NA.HY.HB I65BWDN6 6 of 6
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