Credit-default swaps traders set an initial value of 4.875 cents on the dollar for bonds of R.H. Donnelley Corp. to settle derivatives tied to the yellow-pages publisher, which filed for bankruptcy protection last month.
The price, which is the result of an initial round of bidding by 11 dealers including Barclays Plc and JPMorgan Chase & Co., means sellers of credit swaps on R.H. Donnelley would pay 95.125 cents on the dollar to the buyers of the contracts, according to data from auction administrators Markit Group Ltd. and broker Creditex Group Inc.
The final price will be announced at 2 p.m. after a second round of the auction. Dealers reported a net open interest of $143.9 million to sell the bonds.
Credit swaps sellers are required to pay the difference between the amount of debt the contract covers and the value of the debt determined during the auction.