Hellas II CDS Credit Event Auction Summary
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1 Hellas II CDS Credit Event Auction Summary December 15, 2009
2 Reference Data Hellas Telecommunications (Luxembourg) II SUBLT2 CDS Final Price Auction Date 15Dec09 Credit Event Auction Summary - Hellas Telecommunications (Luxembourg) II (Bankruptcy) CDS Deliverable Obligations RED 6 : LPAFGM XS RED 9 : LPAFGMAA0 XS USX9096RAA87 Index Constituents Markit itraxx Europe Crossover 7-9 US88706QAA22 Trade Information Warehouse (DTCC) Gross Notional : $8,245,989,689 Contracts : 1,338 Net Notional : $540,891,187 Date as of: 12/11/2009 Auction Details EDD 11/18/2009 Inside Market Quotation Amount 2 MM Default Date 11/17/2009 Bid-Offer Spread 2% Auction Date 12/15/2009 Participating Bidders 14 Cash Settlement D12/18/2009 Cap Amount 1% Event Bankruptcy Accrual Calculation Method Normal Relevant Currency EUR Auction Currency REUR/EUR = ** EUR/USD = ** ** The Hellas Telecom II Deliverable Obligations are denominated in EUR and USD. Inside Market Midpoint Net Open Interest Initial Bidding Results Million to Sell Inside Market Submissions Price Cap Amount: 2.25 Dealer pays adjustment amount IMM Dealer Submission Number Bid Offer IMM Cap Adjustment Amount: None Sum of Buy Physical Requests Sum of Sell Physical Requests mm mm Final Bidding Results Final Price : Limit Orders 1.6 Filled at Final Price of Bid Dealer Submission Number Partially Filled Not Filled Filled * See Appendix V for details 1 of 5
3 CDS Upfronts Hellas Telecom II (HELLAS-II)-SUBLT2-MM-EUR-5Y 100% 95% 90% 85% 80% 75% 70% 65% 60% 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 - 3 Days EDD - 2 Days EDD - 1 Day * EDD stands for Event Determination Date Bond Prices 35% 30% 25% 20% Bond Prices 15% 10% 5% 0% Auction day - 90 Days Auction day - 30 Days Auction day - 9 Days Auction day - 7 Days Auction day - 5 Days Auction day - 3 Days Auction day - 1 Day WINSPA-Hellas Frn 15Jan15 Float HELLAS-II Frn 15Jan15 Struc 2 of 5
4 Appendix 3 of 5
5 Initial Bidding Results Inside Market Submissions Dealers HSBC Bank PLC JPMorgan Chase Bank N.A. Morgan Stanley & Co. International PLC Nomura International PLC Société Générale UBS AG Physical settlement requests Dealers HSBC Bank PLC JPMorgan Chase Bank N.A. Morgan Stanley & Co. International PLC Nomura International PLC Société Générale UBS AG APPENDIX I Bid Offer Type Size O 5 O O 285 O 79 O 1 O Final Bidding Results Limit Orders APPENDIX II Dealer HSBC Bank PLC ** JPMorgan Chase Bank N.A.** ** HSBC Bank PLC** ** ** Nomura International PLC JPMorgan Chase Bank N.A. Nomura International PLC** ** ** ** ** UBS AG** Morgan Stanley & Co. International PLC** Société Générale** ** Limit Orders that were derived from inside markets. * Limit Orders that were filled. ^ Limit Orders that were partially filled. Bid Size 1.5* * ^ ^ of 5
6 APPENDIX III CDS Upfronts Date CDS Upfront EDD - 90 Days 7/15/ % EDD - 60 Days 8/26/ % EDD - 30 Days 10/7/ % EDD - 10 Days 11/4/ % EDD - 9 Days 11/5/ % EDD - 8 Days 11/6/ % EDD - 7 Days 11/9/ % EDD - 6 Days 11/10/ % EDD - 5 Days 11/11/ % EDD - 4 Days 11/12/ % EDD - 3 Days 11/13/ % EDD - 2 Days 11/16/ % EDD - 1 Day 11/17/ % 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 6/30/ % 8/11/ % 9/22/ % 11/3/ % 12/1/ % 12/2/ % 12/3/ % 12/4/ % 12/7/ % 12/8/ % 12/9/ % 12/10/ % 12/11/ % 12/14/ % APPENDIX IV Bond Details 1 2 ISIN XS (Regulation S) XS (Rule 144A) USX9096RAA87 (Regulation S) US88706QAA22 (Rule 144 A) Description EUR 960,000,000 USD 275,000,000 Denomination/ minimum transfer amount EUR 100,000 USD 100,000 Bond Prices 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 US88706QAA22 XS /11/ % 31.34% 9/22/ % 12.89% 11/3/ % 8.17% 12/1/ % 0.71% 12/2/ % 1.26% 12/3/ % 1.41% 12/4/ % 1.45% 12/7/ % 1.73% 12/8/ % 1.73% 12/9/ % 1.78% 12/10/ % 1.78% 12/11/ % 1.00% 12/14/ % 1.00% APPENDIX V Indices Affected Old Index Name Old Version Old RED Code New Index Name New Version New RED Code itraxx Europe Crossover Series 7 2 2I667KAR9 itraxx Europe Crossover Series 7 3 2I667KAY4 itraxx Europe Crossover Series 8 3 2I667KAT5 itraxx Europe Crossover Series 8 4 2I667KAZ1 itraxx Europe Crossover Series 9 3 2I667KAU2 itraxx Europe Crossover Series 9 4 2I667KBA5 5 of 5
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