HLI opco LCDS auction results in low recovery

Dealers yesterday took part in a credit event auction to settle loan-only credit default swaps referencing Hayes Lemmerz International operating company. The final price was determined at just 9.5, following an inside market midpoint of 9.625.

No physical settlement bids were forthcoming and only one participant, Morgan Stanley Senior Funding, made an offer. This left open interest of $7 million to sell. Citi, JP Morgan and Barclays wholly filled limit orders of $2 million each according to their inside markets, with Citi at 10.375. Goldman Sachs Lending Partners partially filled at the final price.