Idearc Inc. Senior Secured LCDS. Credit Event Auction Summary

Transcription

1 Idearc Inc. Senior Secured LCDS Credit Event Auction Summary April 23, 2009

2 Credit Event Auction Summary - Idearc Inc. LCDS Reference Data Idearc Inc. LCDS Final Price 38.5 Auction Date 23Apr09 Deliverable Obligations RED 6 : 4J67C9 ML Red Prefered Index Constituents of : *Markit LCDX.NA 8,9,10 ML ML Auction Details Default Date 03/31/2009 Inside Market Quotation Amount $2 MM EDD 03/31/2009 Bid-Offer Spread 3% Auction Date 04/23/2009 Participating Bidders 10 Cash Settlement Date 05/01/2009 Cap Amount 1% Event Bankruptcy Accrual Calculation Method Normal Initial Bidding Results Inside Market Midpoint Net Open Interest 37.5 $ 10.0 Million to Sell Inside Market Submissions Dealer pays adjustment amount Cap Amount: 38.5 Price Dealer pays adjustment amount IMM: Dealer Submission Number Bid Offer IMM Cap Adjustment Amount : Citigroup Global Markets Inc pays $10,000 Sum of Buy Physical Requests $ 5.0 MM Sum of Sell Physical Requests $ 15.0 MM Final Bidding Results Final Price : Filled at Final Price of 38.5 Limit Orders Bid Dealer Submission Number Partly Filled Not Filled * See Appendix V for details 1 of 5

3 Credit Event Auction Summary - Idearc Inc. LCDS LCDS Spreads Idearc Inc. (IAR) - Lien 1 - XR - USD - NONCANCEL- 5Y 150% 130% 110% 90% 70% 50% 30% 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 stands for Event Determination Date EDD - 3 Days Loan Prices Loan 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 Revolving Credit Tranche A Term Loans Tranche B Term Loans 2 of 5

4 Credit Event Auction Summary - Idearc Inc. LCDS Appendix 3 of 5

5 APPENDIX I Credit Event Auction Summary - Idearc Inc. LCDS Initial Bidding Results Inside Market Submissions Dealers Bid Offer Bank of America, N.A Barclays Bank PLC Citigroup Global Markets Inc. Credit Suisse International Deutsche Bank AG Goldman Sachs Loan Partners J.P. Morgan Securities, Inc. Morgan Stanley Senior Funding, Inc. The Royal Bank of Scotland PLC UBS Securities LLC Physical settlement requests Dealers Type Size Bank of America, N.A. O 10 Barclays Bank PLC Citigroup Global Markets Inc. Credit Suisse International Deutsche Bank AG Goldman Sachs Loan Partners J.P. Morgan Securities, Inc. The Royal Bank of Scotland PLC UBS Securities LLC Morgan Stanley Senior Funding, Inc. APPENDIX II O 5 B 5 Final Bidding Results Limit Orders Dealer Bid Size Barclays Bank PLC 38.5^ 10 Morgan Stanley Senior 38.5^ 10 Morgan Stanley Senior Funding, Deutsche Bank AG Goldman Sachs Loan Partners Citigroup Global Markets Inc.** Barclays Bank PLC 37 5 Morgan Stanley Senior Funding, 37 2 Deutsche Bank AG** Bank of America, N.A Credit Suisse International** Bank of America, N.A Goldman Sachs Loan 36 2 Barclays Bank PLC 36 5 The Royal Bank of Scotland 36 2 Bank of America, N.A.** 36 2 J.P. Morgan Securities, Inc J.P. Morgan Securities, Inc.** Barclays Bank PLC** 35 2 Barclays Bank PLC UBS Securities LLC** 34 2 ** Limit Orders that were derived from inside markets. ^ Limit Orders that were partially filled 4 of 5

6 APPENDIX III Credit Event Auction Summary - Idearc Inc. LCDS LCDS Spreads Recovery Rate Date LCDS Spread EDD - 90 Days 11/25/ % EDD - 60 Days 01/06/ % EDD - 30 Days 02/17/ % EDD - 10 Days 03/17/ % EDD - 9 Days 03/18/2009 EDD - 8 Days 03/19/2009 EDD - 7 Days 03/20/ % EDD - 6 Days 03/23/ % EDD - 5 Days 03/24/ % EDD - 4 Days 03/25/ % EDD - 3 Days 03/26/ % 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 11/06/ % 12/18/ % 01/29/ % 03/12/ % 04/09/ % 04/10/ % 04/13/ % 04/14/ % 04/15/ % 04/16/ % 04/17/ % 04/20/ % 04/21/ % 04/22/ % APPENDIX IV Loan Details Loan Prices Loan Type Revolving Loans Facility Tranche A Term Loans Tranche B Term Loans 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 Initial Amount Maturity Spread MLID LXID $250 MM 11/17/2011 LIBOR bps ML LX $1,515 MM 11/17/2013 LIBOR bps ML LX $4,750 MM 11/17/2014 LIBOR bps ML LX Prices LX LX LX /06/ /18/ /29/ /12/ /09/ /10/ /13/ /14/ /15/ /16/ /17/ /20/ /21/ /22/ APPENDIX V Indices Affected Old Index Name Old RED Code New Index Name LCDX.NA Series 8 Version 14 5F199GBH9 LCDX.NA Series 8 Version 15 LCDX.NA Series 9 Version 10 5F199GBI7 LCDX.NA Series 9 Version 11 LCDX.NA Series 10 Version 11 5F199GBJ5 LCDX.NA Series 10 Version 12 New RED Code 5F199GBK2 5F199GBL0 5F199GBM8 5 of 5