Aiful Auction Results, 25 March 2010
Final Results of the Aiful CDS Auction, 25 March 2010
Final Price: 33.875
On 25 March 2010, 13 dealers submitted inside markets, physical settlement requests and limit orders to the Aiful auction administered by Creditex and Markit to settle trades across the market referencing Aiful Corporation.
The Aiful Deliverable Obligations are denominated in JPY and USD.
| Relevant Currency |
|---|
| JPY |
| Auction Currency Rates | |
|---|---|
| JPY/USD | 90.34000 |
| JPY/JPY | 1.00000 |
The inputs and results are detailed below.
Dealer Inside Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Bank of America Securities LLC | 29 | 34 | Bank of America Securities LLC |
| Barclays Capital Japan Limited | 36 | 41 | Barclays Capital Japan Limited |
| BNP Paribas Securities (Japan) Limited, Tokyo Branch | 29 | 34 | BNP Paribas Securities (Japan) Limited, Tokyo Branch |
| Citigroup Global Markets Japan Inc. | 28.5 | 33.5 | Citigroup Global Markets Japan Inc. |
| Credit Suisse International | 34 | 39 | Credit Suisse International |
| Deutsche Bank AG | 25.875 | 30.875 | Deutsche Bank AG |
| Goldman Sachs International | 29.5 | 34.5 | Goldman Sachs International |
| JPM Securities Japan Co., Ltd. | 28 | 33 | JPM Securities Japan Co., Ltd. |
| Mizuho Securities Co., Ltd. | 30 | 35 | Mizuho Securities Co., Ltd. |
| Morgan Stanley Japan Securities Co., Ltd. | 28 | 33 | Morgan Stanley Japan Securities Co., Ltd. |
| Nomura Securities Co., Ltd. | 27.5 | 32.5 | Nomura Securities Co., Ltd. |
| The Royal Bank of Scotland PLC | 30.5 | 35.5 | The Royal Bank of Scotland PLC |
| UBS Securities Japan Ltd | 26 | 31 | UBS Securities Japan Ltd |
Inside Market Midpoint: 31.375
Adjustment Amounts
Barclays Capital Japan Limited: JPY 9,250,000
Credit Suisse International: JPY 5,250,000
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| BNP Paribas Securities (Japan) Limited, Tokyo Branch | Offer | 400.0 |
| Bank of America Securities LLC | Offer | 0.0 |
| Citigroup Global Markets Japan Inc. | Offer | 0.0 |
| Credit Suisse International | Offer | 0.0 |
| Deutsche Bank AG | Offer | 0.0 |
| Goldman Sachs International | Offer | 6,000.0 |
| JPM Securities Japan Co., Ltd. | Offer | 7,200.0 |
| Mizuho Securities Co., Ltd. | Offer | 3,000.0 |
| Nomura Securities Co., Ltd. | Offer | 0.0 |
| The Royal Bank of Scotland PLC | Offer | 0.0 |
| UBS Securities Japan Ltd | Offer | 7,100.0 |
| Barclays Capital Japan Limited | Bid | 5,769.4 |
| Morgan Stanley Japan Securities Co., Ltd. | Bid | 910.0 |
Net Open Interest: JPY 17,020.6 million to sell
| Sum of Buy Physical Requests | JPY 6,679.4m |
| Sum of Sell Physical Requests | JPY 23,700.0m |
| Sum of Physical Request Trades | JPY 6,679.4m |
| Sum of Limit Order Trades | JPY 17,020.6m |
Limit Orders
| Dealer | Bid | Size |
|---|---|---|
| Bank of America Securities LLC | 33.875^ | 13,000.0 |
| UBS Securities Japan Ltd | 33.875^ | 6,000.0 |
| UBS Securities Japan Ltd | 33.875^ | 4,600.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 33.875^ | 3,672.0 |
| BNP Paribas Securities (Japan) Limited, Tokyo Branch | 33.875^ | 400.0 |
| The Royal Bank of Scotland PLC | 33 | 5,000.0 |
| BNP Paribas Securities (Japan) Limited, Tokyo Branch | 32.375 | 5,000.0 |
| Bank of America Securities LLC | 32.125 | 500.0 |
| UBS Securities Japan Ltd | 32 | 1,500.0 |
| Citigroup Global Markets Japan Inc. | 31.625 | 1,000.0 |
| The Royal Bank of Scotland PLC | 31.5 | 12,000.0 |
| Barclays Capital Japan Limited | 31.375 | 1,280.6 |
| Nomura Securities Co., Ltd. | 31.375 | 500.0 |
| Nomura Securities Co., Ltd. | 31.375 | 500.0 |
| Credit Suisse International** | 31.375 | 200.0 |
| Barclays Capital Japan Limited** | 31.375 | 200.0 |
| Deutsche Bank AG | 31.25 | 2,000.0 |
| Bank of America Securities LLC | 31.125 | 500.0 |
| BNP Paribas Securities (Japan) Limited, Tokyo Branch | 31 | 5,000.0 |
| Citigroup Global Markets Japan Inc. | 30.625 | 5,000.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 30.625 | 1,836.0 |
| Citigroup Global Markets Japan Inc. | 30.625 | 1,000.0 |
| The Royal Bank of Scotland PLC** | 30.5 | 200.0 |
| UBS Securities Japan Ltd | 30.25 | 1,000.0 |
| Bank of America Securities LLC | 30.125 | 500.0 |
| The Royal Bank of Scotland PLC | 30 | 5,000.0 |
| Mizuho Securities Co., Ltd.** | 30 | 200.0 |
| Goldman Sachs International** | 29.5 | 200.0 |
| Deutsche Bank AG | 29.25 | 10,000.0 |
| Bank of America Securities LLC | 29.125 | 500.0 |
| Bank of America Securities LLC** | 29 | 200.0 |
| BNP Paribas Securities (Japan) Limited, Tokyo Branch** | 29 | 200.0 |
| JPM Securities Japan Co., Ltd. | 28.5 | 10,000.0 |
| Deutsche Bank AG | 28.5 | 2,000.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 28.5 | 1,218.0 |
| Citigroup Global Markets Japan Inc.** | 28.5 | 200.0 |
| Bank of America Securities LLC | 28.125 | 500.0 |
| Nomura Securities Co., Ltd. | 28.125 | 500.0 |
| Morgan Stanley Japan Securities Co., Ltd.** | 28 | 200.0 |
| JPM Securities Japan Co., Ltd.** | 28 | 200.0 |
| UBS Securities Japan Ltd | 27.75 | 10,000.0 |
| Citigroup Global Markets Japan Inc. | 27.625 | 800.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 27.5 | 10,000.0 |
| Nomura Securities Co., Ltd. | 27.5 | 300.0 |
| Nomura Securities Co., Ltd.** | 27.5 | 200.0 |
| Bank of America Securities LLC | 27.125 | 500.0 |
| Deutsche Bank AG | 27 | 3,000.0 |
| Goldman Sachs International | 27 | 3,000.0 |
| UBS Securities Japan Ltd | 26.5 | 2,000.0 |
| Bank of America Securities LLC | 26.125 | 500.0 |
| Deutsche Bank AG | 26.125 | 400.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 26 | 7,000.0 |
| Barclays Capital Japan Limited | 26 | 2,000.0 |
| UBS Securities Japan Ltd** | 26 | 200.0 |
| Deutsche Bank AG** | 25.875 | 200.0 |
| UBS Securities Japan Ltd | 25.75 | 6,000.0 |
| Citigroup Global Markets Japan Inc. | 25.625 | 2,000.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 25.625 | 1,836.0 |
| Citigroup Global Markets Japan Inc. | 25.625 | 1,000.0 |
| Barclays Capital Japan Limited | 25.5 | 500.0 |
| Bank of America Securities LLC | 25.125 | 500.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 25 | 12,418.0 |
| JPM Securities Japan Co., Ltd. | 24 | 2,000.0 |
| Deutsche Bank AG | 21.25 | 5,000.0 |
| Goldman Sachs International | 20.625 | 14,000.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 20.625 | 1,836.0 |
| Citigroup Global Markets Japan Inc. | 20.625 | 500.0 |
| JPM Securities Japan Co., Ltd. | 20.25 | 1,000.0 |
| Citigroup Global Markets Japan Inc. | 20.125 | 500.0 |
| Barclays Capital Japan Limited | 20 | 2,000.0 |
| Citigroup Global Markets Japan Inc. | 19.625 | 500.0 |
| Citigroup Global Markets Japan Inc. | 19.125 | 500.0 |
| Citigroup Global Markets Japan Inc. | 18.625 | 500.0 |
| Citigroup Global Markets Japan Inc. | 18.125 | 500.0 |
| Citigroup Global Markets Japan Inc. | 17.625 | 500.0 |
| Citigroup Global Markets Japan Inc. | 17.125 | 500.0 |
| Citigroup Global Markets Japan Inc. | 17 | 5,000.0 |
| Citigroup Global Markets Japan Inc. | 16.625 | 500.0 |
| Citigroup Global Markets Japan Inc. | 16.125 | 500.0 |
| Nomura Securities Co., Ltd. | 16 | 3,000.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 15.625 | 1,836.0 |
| Citigroup Global Markets Japan Inc. | 15.625 | 500.0 |
| JPM Securities Japan Co., Ltd. | 15 | 17,000.0 |
| BNP Paribas Securities (Japan) Limited, Tokyo Branch | 15 | 2,000.0 |
| UBS Securities Japan Ltd | 15 | 1,000.0 |
| Barclays Capital Japan Limited | 12 | 3,000.0 |
| Citigroup Global Markets Japan Inc. | 10 | 300.0 |
| Deutsche Bank AG | 5 | 10,000.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 4.875 | 17,000.0 |
** Limit Orders that were derived from inside markets.
* Limit Orders that were filled.
^ Limit Orders that were partially filled.
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