JSC BTA Bank Auction Results, 10th June 2009
Final Results of the JSC BTA Bank CDS Auction, 10th June 2009
Final Price: 10.25
On 10th June 2009, 13 dealers submitted inside markets, physical settlement requests and limit orders to the JSC BTA Bank auction administered by Creditex and Markit to settle trades across the market referencing Joint Stock Company "BTA Bank" .
The JSC BTA Bank Deliverable Obligations are denominated in CHF, EUR, GBP, JPY and USD.
| Relevant Currency |
|---|
| USD |
| Auction Currency Rates | |
|---|---|
| USD/CHF | 0.92298 |
| USD/EUR | 1.40080 |
| USD/GBP | 1.60110 |
| USD/JPY | 0.01021 |
| USD/USD | 1.00000 |
The inputs and results are detailed below.
Dealer Inside Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Bank of America / Merrill Lynch | 11 | 13 | Bank of America / Merrill Lynch |
| Barclays | 21 | 23 | Barclays |
| BNP Paribas | 23.75 | 25.75 | BNP Paribas |
| Citibank | 28 | 30 | Citibank |
| Credit Suisse | 20.25 | 22.25 | Credit Suisse |
| Deutsche Bank AG | 23 | 25 | Deutsche Bank AG |
| Goldman Sachs | 22 | 24 | Goldman Sachs |
| HSBC Bank | 26 | 28 | HSBC Bank |
| JPMorgan Chase Bank, N.A. | 21 | 23 | JPMorgan Chase Bank, N.A. |
| Morgan Stanley | 21.5 | 23.5 | Morgan Stanley |
| Nomura International PLC | 20 | 22 | Nomura International PLC |
| The Royal Bank of Scotland | 21 | 23 | The Royal Bank of Scotland |
| UBS | 20 | 22 | UBS |
Inside Market Midpoint: 22.25
Adjustment Amounts
Citibank: $115,000
HSBC Bank: $75,000
BNP Paribas: $30,000
Deutsche Bank AG: $15,000
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| BNP Paribas | Offer | 0 |
| Credit Suisse | Offer | 475 |
| Nomura International PLC | Offer | 615 |
| Bank of America / Merrill Lynch | Bid | 17 |
| Barclays | Bid | 35 |
| Citibank | Bid | 20 |
| Deutsche Bank AG | Bid | 24 |
| Goldman Sachs | Bid | 99 |
| HSBC Bank | Bid | 10 |
| JPMorgan Chase Bank, N.A. | Bid | 55 |
| Morgan Stanley | Bid | 0 |
| The Royal Bank of Scotland | Bid | 7 |
| UBS | Bid | 14 |
Net Open Interest: $809 million to sell
| Sum of Buy Physical Requests | $281.0m |
| Sum of Sell Physical Requests | $1,090.0m |
| Sum of Physical Request Trades | $281.0m |
| Sum of Limit Order Trades | $809.0m |
Limit Orders
| Dealer | Bid | Size |
|---|---|---|
| Morgan Stanley | 23.25* | 12 |
| Nomura International PLC | 23.25* | 25 |
| Barclays | 23.25* | 10 |
| Citibank** | 22.25* | 2 |
| HSBC Bank** | 22.25* | 2 |
| BNP Paribas** | 22.25* | 2 |
| Deutsche Bank AG** | 22.25* | 2 |
| Citibank | 22.25* | 20 |
| Goldman Sachs** | 22* | 2 |
| Nomura International PLC | 22* | 25 |
| Morgan Stanley** | 21.5* | 2 |
| Barclays | 21.25* | 10 |
| The Royal Bank of Scotland** | 21* | 2 |
| Barclays** | 21* | 2 |
| JPMorgan Chase Bank, N.A.** | 21* | 2 |
| The Royal Bank of Scotland | 21* | 5 |
| Nomura International PLC | 21* | 25 |
| Credit Suisse** | 20.25* | 2 |
| Credit Suisse | 20.25* | 18 |
| UBS** | 20* | 2 |
| Nomura International PLC** | 20* | 2 |
| Nomura International PLC | 20* | 25 |
| Barclays | 19.25* | 10 |
| Nomura International PLC | 19* | 25 |
| Goldman Sachs | 19* | 10 |
| Deutsche Bank AG | 19* | 5 |
| Barclays | 18* | 22 |
| Nomura International PLC | 18* | 30 |
| Deutsche Bank AG | 17* | 2 |
| Morgan Stanley | 17* | 10 |
| Barclays | 17* | 7 |
| Morgan Stanley | 16* | 10 |
| Barclays | 16* | 8 |
| Nomura International PLC | 16* | 30 |
| Barclays | 15.125* | 52 |
| Nomura International PLC | 15* | 40 |
| Barclays | 15* | 10 |
| Deutsche Bank AG | 15* | 44 |
| HSBC Bank | 15* | 9 |
| Barclays | 15* | 10 |
| Morgan Stanley | 15* | 13 |
| Barclays | 14* | 4 |
| Nomura International PLC | 14* | 30 |
| Barclays | 13* | 20 |
| Nomura International PLC | 13* | 30 |
| Deutsche Bank AG | 12.5* | 3 |
| Barclays | 12* | 24 |
| Deutsche Bank AG | 12* | 4 |
| HSBC Bank | 12* | 12 |
| Goldman Sachs | 12* | 10 |
| Nomura International PLC | 12* | 45 |
| Bank of America / Merrill Lynch** | 11* | 2 |
| Nomura International PLC | 11* | 40 |
| Deutsche Bank AG | 11* | 5 |
| Barclays | 11* | 10 |
| Deutsche Bank AG | 10.5* | 5 |
| Barclays | 10.25^ | 61 |
| JPMorgan Chase Bank, N.A. | 10.125 | 25 |
| Deutsche Bank AG | 10 | 6 |
| Nomura International PLC | 10 | 50 |
| Deutsche Bank AG | 9.5 | 5 |
| JPMorgan Chase Bank, N.A. | 9.125 | 25 |
| HSBC Bank | 9 | 23 |
| Deutsche Bank AG | 9 | 5 |
| Barclays | 9 | 14 |
| Nomura International PLC | 9 | 50 |
| JPMorgan Chase Bank, N.A. | 8.125 | 25 |
| Nomura International PLC | 8 | 50 |
| Deutsche Bank AG | 8 | 5 |
| Barclays | 8 | 17 |
| JPMorgan Chase Bank, N.A. | 7.125 | 25 |
| Barclays | 7 | 22 |
| Deutsche Bank AG | 7 | 5 |
| Nomura International PLC | 7 | 60 |
| JPMorgan Chase Bank, N.A. | 6.125 | 50 |
| Barclays | 6 | 29 |
| Nomura International PLC | 6 | 60 |
| Deutsche Bank AG | 6 | 10 |
| UBS | 5.125 | 50 |
| Deutsche Bank AG | 5.125 | 10 |
| JPMorgan Chase Bank, N.A. | 5.125 | 50 |
| Barclays | 5 | 40 |
| Morgan Stanley | 5 | 20 |
| Bank of America / Merrill Lynch | 5 | 14 |
| HSBC Bank | 5 | 3 |
| JPMorgan Chase Bank, N.A. | 4.125 | 50 |
| Deutsche Bank AG | 4 | 20 |
| Barclays | 4 | 60 |
| JPMorgan Chase Bank, N.A. | 3.125 | 85 |
| UBS | 3.125 | 50 |
| UBS | 3.125 | 50 |
| Credit Suisse | 3 | 100 |
| Deutsche Bank AG | 3 | 20 |
| Bank of America / Merrill Lynch | 3 | 10 |
| Barclays | 3 | 100 |
| Nomura International PLC | 2.375 | 200 |
| UBS | 2.125 | 50 |
| UBS | 2.125 | 50 |
| JPMorgan Chase Bank, N.A. | 2.125 | 450 |
| Bank of America / Merrill Lynch | 2 | 15 |
| Barclays | 2 | 100 |
| Barclays | 2 | 200 |
| Deutsche Bank AG | 2 | 20 |
| JPMorgan Chase Bank, N.A. | 1.125 | 20 |
| Deutsche Bank AG | 1 | 20 |
| HSBC Bank | 1 | 10 |
| Bank of America / Merrill Lynch | 1 | 55 |
| Bank of America / Merrill Lynch | 0.5 | 50 |
| Deutsche Bank AG | 0.5 | 20 |
| HSBC Bank | 0.125 | 35 |
** Limit Orders that were derived from inside markets.
* Limit Orders that were filled.
^ Limit Orders that were partially filled.
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