Dealers settle Ambac CDS

Dealers on Friday settled the final price of Ambac Assurance Corp credit default swaps at a relatively low 20 cents. The result fell from an initial inside market midpoint of 27.5. The net sum of open interest for physical settlement among the auction’s 14 participating dealers was just over $300 million to sell, with Citi offering $452.7 million.

The result was also impacted by dealers submitting a large number of small-sized limit orders, with over 30 wholly filled before Citi, UBS and BNP Paribas partially filled limit orders at the final price.