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Quantitative Finance · Glosarium

Apa itu Auction final price?

Definition 23.8 Markets II: Rates, FX and Credit · Bab 23 — Credit Default Swaps

The auction final price of a credit event is the price per 100 of par of the entity’s deliverable debt, set by the settlement auction, at which every CDS covered by the auction is cash settled and every physical settlement request made in the auction is executed.

The first stage of the Lehman Brothers auction, 10 October 2008: each of the fourteen dealers’ bid and offer for USD 5 million of bonds. One pair crossed (a bid and an offer of 10); the average of the better half of the rest gave an inside market midpoint of 9.75. The open interest was USD 4.92 billion to sell, and the second stage set the final price at 8.625. Data: Helwege, Maurer, Sarkar and Wang, FRBNY Staff Report 372, Box 1.
Figure 23.4. The first stage of the Lehman Brothers auction, 10 October 2008: each of the fourteen dealers’ bid and offer for USD 5 million of bonds. One pair crossed (a bid and an offer of 10); the average of the better half of the rest gave an inside market midpoint of 9.75. The open interest was USD 4.92 billion to sell, and the second stage set the final price at 8.625. Data: Helwege, Maurer, Sarkar and Wang, FRBNY Staff Report 372, Box 1.

Contoh

Example 23.9 (Lehman Brothers)

In the first stage, the highest bid, 10, met an offer of 10 and both were removed; the better seven of the remaining thirteen bids and offers averaged 9.804, rounded to 9.75. Requests to sell bonds totalled USD 5.69 billion and to buy USD 0.77 billion: an open interest of USD 4.92 billion to sell, capping the final price at 10.75. The dealer whose bid of 10 crossed, above the midpoint while the open interest was to sell, paid 5 million×(10−9.75)%=USD 12 5005\,\text{million} \times (10 - 9.75)\% = \text{USD}~12\,500. In the second stage, 453 bids to buy were submitted, from 10.75 down to 0.125; bids at 8.625 or higher added up to the open interest, and the final price was 8.625 (Figure 23.4).

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