RH Donnelley settles at 78.125

Dealers took part in an auction to settle credit derivative trades referencing RH Donnelley yesterday. The final price was determined at 78.125. The first phase of the auction saw an inside market midpoint of 77.125.

The bankrupt directories publisher therefore becomes the latest high yield credit to produce much higher recoveries for loans than bonds. Donnelley’s bonds were valued in an earlier credit default swap auction at just 4.875. This follows a similar disparity of outcomes for bond and loan holders in Visteon and General Motors.

The RH Donnelly auction was notable for being the LCDS auction in which the greatest number of dealers have submitted settlement requests – a reflection of how widely the loans are held and traded. Two dealers submitted buy requests (JP Morgan and Deutsche Bank) and four banks (Barclays, Credit Suisse, Morgan Stanley and RBS) wanted to sell assets in the second stage of the auction. The total amount of settlement requests at $69 million was the second highest in an LCDS auction after General Motors – see table.

LCDS auctions were also held yesterday for RH Donnelley subsidiaries Dex Media East and Dex Media West and produced recoveries of 77.25 and 82.88 respectively.

2009 LCDS auction results