Cemex Auction Results, 18 February 2010
IMPORTANT NOTICE: The Administrators were notified by a Participating Bidder that their Physical Settlement Request was incorrect. Under section 15 (b) of the Auction Settlement Terms, the Administrators updated the Net Open Interest to reflect the change.
The Net Open Interest was amended from 90.007 to 90.425 million to buy.
Final Results of the Cemex CDS Auction, 18 February 2010
On 18 February 2010, 13 dealers submitted inside markets, physical settlement requests and limit orders to the Cemex auction administered by Creditex and Markit to settle trades across the market referencing Cemex S.A.B. de C.V..
The Cemex Deliverable Obligations are denominated in USD, EUR .
| Relevant Currency |
|---|
| USD |
| Auction Currency Rates | |
|---|---|
| USD/EUR | 1.36545 |
| USD/USD | 1.00000 |
The inputs and results are detailed below.
Dealer Inside Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Banc of America Securities LLC | 89 | 94 | Banc of America Securities LLC |
| Barclays Bank PLC | 86 | 91 | Barclays Bank PLC |
| Citigroup Global Markets Inc. | 91 | 96 | Citigroup Global Markets Inc. |
| Credit Suisse International | 92 | 97 | Credit Suisse International |
| Deutsche Bank AG | 88 | 93 | Deutsche Bank AG |
| Goldman Sachs & Co. | 93.125 | 98.125 | Goldman Sachs & Co. |
| HSBC Bank USA, National Association | 89 | 94 | HSBC Bank USA, National Association |
| ING Bank N.V. | 91 | 96 | ING Bank N.V. |
| J.P. Morgan Securities, Inc. | 88.5 | 93.5 | J.P. Morgan Securities, Inc. |
| Morgan Stanley & Co. Incorporated | 89 | 94 | Morgan Stanley & Co. Incorporated |
| Nomura International PLC | 91 | 96 | Nomura International PLC |
| The Royal Bank of Scotland PLC | 88 | 93 | The Royal Bank of Scotland PLC |
| UBS Securities LLC | 89 | 94 | UBS Securities LLC |
Adjustment Amounts
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| Banc of America Securities LLC | Offer | 8 |
| Barclays Bank PLC | Offer | 60 |
| Credit Suisse International | Offer | 0 |
| Deutsche Bank AG | Offer | 0 |
| HSBC Bank USA, National Association | Offer | 0 |
| ING Bank N.V. | Offer | 0 |
| J.P. Morgan Securities, Inc. | Offer | 0 |
| Morgan Stanley & Co. Incorporated | Offer | 15.025 |
| The Royal Bank of Scotland PLC | Offer | 0 |
| Citigroup Global Markets Inc. | Bid | 17.45 |
| Goldman Sachs & Co. | Bid | 24 |
| Nomura International PLC | Bid | 2 |
| UBS Securities LLC | Bid | 130 |
| Sum of Buy Physical Requests | $173.450m |
| Sum of Sell Physical Requests | $83.025m |
| Sum of Physical Request Trades | $83.025m |
| Sum of Limit Order Trades | $90.425m |
Limit Orders
| Dealer | Offer | Size |
|---|---|---|
| Barclays Bank PLC** | 92* | 2 |
| The Royal Bank of Scotland PLC** | 93* | 2 |
| Deutsche Bank AG** | 93* | 2 |
| J.P. Morgan Securities, Inc.** | 93.5* | 2 |
| HSBC Bank USA, National Association** | 94* | 2 |
| Banc of America Securities LLC** | 94* | 2 |
| Morgan Stanley & Co. Incorporated** | 94* | 2 |
| UBS Securities LLC** | 94* | 2 |
| ING Bank N.V.** | 96* | 2 |
| Citigroup Global Markets Inc.** | 96* | 2 |
| Nomura International PLC** | 96* | 2 |
| The Royal Bank of Scotland PLC | 97^ | 90.425 |
| Credit Suisse International** | 97^ | 2 |
| Barclays Bank PLC | 97.75 | 18 |
| Barclays Bank PLC | 98 | 25 |
| Deutsche Bank AG | 98 | 10 |
| Goldman Sachs & Co.** | 98.125 | 2 |
| Barclays Bank PLC | 98.5 | 8 |
| Credit Suisse International | 98.5 | 6.81 |
| UBS Securities LLC | 99.5 | 90.425 |
| Barclays Bank PLC | 99.5 | 20 |
| J.P. Morgan Securities, Inc. | 100 | 60 |
| UBS Securities LLC | 100 | 25 |
** Limit Orders that were derived from inside markets.
* Limit Orders that were filled.
^ Limit Orders that were partially filled.
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