Ambac Assurance Corp Auction Results, 04 June 2010
Final Results of the Ambac Assurance Corp CDS Auction, 04 June 2010
Final Price: 20
On 04 June 2010, 14 dealers submitted initial markets, physical settlement requests and limit orders to the Ambac Assurance Corp auction administered by Creditex and S&P Global to settle trades across the market referencing Ambac Assurance Corporation.
The Ambac Assurance Corp Deliverable Obligations are denominated in USD.
| Relevant Currency |
|---|
| USD |
| Auction Currency Rates | |
|---|---|
| USD / USD | 1.00000 |
The inputs and results are detailed below.
Dealer Initial Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Banc of America Securities LLC | 25.5 | 28.5 | Banc of America Securities LLC |
| Barclays Bank PLC | 24.0 | 27.0 | Barclays Bank PLC |
| BNP Paribas | 28.5 | 31.5 | BNP Paribas |
| Citigroup Global Markets Inc. | 25.0 | 28.0 | Citigroup Global Markets Inc. |
| Credit Suisse International | 25.5 | 28.5 | Credit Suisse International |
| Deutsche Bank AG | 26.75 | 29.75 | Deutsche Bank AG |
| Goldman Sachs & Co. | 25.0 | 28.0 | Goldman Sachs & Co. |
| HSBC Bank USA, National Association | 25.0 | 28.0 | HSBC Bank USA, National Association |
| J.P. Morgan Securities, Inc. | 26.5 | 29.5 | J.P. Morgan Securities, Inc. |
| Morgan Stanley & Co. Incorporated | 27.0 | 29.0 | Morgan Stanley & Co. Incorporated |
| Nomura International PLC | 27.5 | 30.5 | Nomura International PLC |
| Societe Generale | 26.25 | 29.25 | Societe Generale |
| The Royal Bank of Scotland PLC | 28.0 | 31.0 | The Royal Bank of Scotland PLC |
| UBS Securities LLC | 23.0 | 25.0 | UBS Securities LLC |
Initial Market Midpoint: 27.5
Adjustment Amounts
BNP Paribas
USD 20,000
The Royal Bank of Scotland PLC
USD 10,000
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| Barclays Bank PLC | Offer | 31.09 |
| Citigroup Global Markets Inc. | Offer | 452.716 |
| Credit Suisse International | Offer | 10.0 |
| Goldman Sachs & Co. | Offer | 9.548 |
| HSBC Bank USA, National Association | Offer | 0.0 |
| Morgan Stanley & Co. Incorporated | Offer | 5.0 |
| Societe Generale | Offer | 69.0 |
| The Royal Bank of Scotland PLC | Offer | 15.0 |
| UBS Securities LLC | Offer | 142.389 |
| Banc of America Securities LLC | Bid | 49.945 |
| BNP Paribas | Bid | 45.0 |
| Deutsche Bank AG | Bid | 42.0 |
| J.P. Morgan Securities, Inc. | Bid | 291.5 |
| Nomura International PLC | Bid | 6.2 |
Net Open Interest: USD 300.098 million to sell
| Sum of Buy Physical Requests | 434.645m |
| Sum of Sell Physical Requests | 734.743m |
| Sum of Physical Request Trades | 434.645m |
| Sum of Limit Order Trades | 300.098m |
Limit Orders
| Dealer | Bid | Size |
|---|---|---|
| Nomura International PLC | 28.5* | 2.8 |
| UBS Securities LLC | 28.125* | 20.907 |
| Citigroup Global Markets Inc. | 28.0* | 1.0 |
| Deutsche Bank AG | 27.5* | 40.0 |
| Nomura International PLC** | 27.5* | 2.0 |
| BNP Paribas** | 27.5* | 2.0 |
| The Royal Bank of Scotland PLC** | 27.5* | 2.0 |
| Deutsche Bank AG | 27.0* | 40.0 |
| Citigroup Global Markets Inc. | 27.0* | 4.0 |
| Morgan Stanley & Co. Incorporated** | 27.0* | 2.0 |
| Deutsche Bank AG** | 26.75* | 2.0 |
| Deutsche Bank AG | 26.5* | 38.0 |
| J.P. Morgan Securities, Inc.** | 26.5* | 2.0 |
| Societe Generale** | 26.25* | 2.0 |
| Citigroup Global Markets Inc. | 26.0* | 3.0 |
| Citigroup Global Markets Inc. | 26.0* | 0.992 |
| Banc of America Securities LLC** | 25.5* | 2.0 |
| Credit Suisse International** | 25.5* | 2.0 |
| Goldman Sachs & Co.** | 25.0* | 2.0 |
| HSBC Bank USA, National Association** | 25.0* | 2.0 |
| Citigroup Global Markets Inc.** | 25.0* | 2.0 |
| Barclays Bank PLC** | 24.0* | 2.0 |
| BNP Paribas | 23.0* | 10.0 |
| Citigroup Global Markets Inc. | 23.0* | 2.859 |
| UBS Securities LLC** | 23.0* | 2.0 |
| UBS Securities LLC | 22.625* | 43.663 |
| Citigroup Global Markets Inc. | 22.5* | 1.656 |
| Morgan Stanley & Co. Incorporated | 22.125* | 5.0 |
| UBS Securities LLC | 22.0* | 10.24 |
| Citigroup Global Markets Inc. | 22.0* | 0.86 |
| Morgan Stanley & Co. Incorporated | 21.125* | 10.0 |
| Citigroup Global Markets Inc. | 21.0* | 20.786 |
| Citigroup Global Markets Inc. | 20.25* | 5.747 |
| Morgan Stanley & Co. Incorporated | 20.125* | 10.0 |
| Citigroup Global Markets Inc. | 20.0^ | 22.346 |
| UBS Securities LLC | 20.0^ | 12.334 |
| BNP Paribas | 20.0^ | 10.0 |
| Citigroup Global Markets Inc. | 20.0^ | 4.5 |
| Citigroup Global Markets Inc. | 19.5 | 0.063 |
| Morgan Stanley & Co. Incorporated | 19.125 | 10.0 |
| Citigroup Global Markets Inc. | 19.0 | 20.0 |
| Morgan Stanley & Co. Incorporated | 18.125 | 10.0 |
| Citigroup Global Markets Inc. | 17.125 | 20.0 |
| Morgan Stanley & Co. Incorporated | 17.125 | 10.0 |
| Citigroup Global Markets Inc. | 17.0 | 27.751 |
| Citigroup Global Markets Inc. | 17.0 | 10.0 |
| Morgan Stanley & Co. Incorporated | 16.125 | 10.0 |
| Goldman Sachs & Co. | 16.0 | 100.0 |
| Citigroup Global Markets Inc. | 15.125 | 20.0 |
| Morgan Stanley & Co. Incorporated | 15.125 | 10.0 |
| Citigroup Global Markets Inc. | 15.0 | 33.0 |
| BNP Paribas | 15.0 | 10.0 |
| Citigroup Global Markets Inc. | 15.0 | 9.8 |
| UBS Securities LLC | 15.0 | 1.421 |
| Morgan Stanley & Co. Incorporated | 14.125 | 10.0 |
| Citigroup Global Markets Inc. | 14.0 | 47.0 |
| Citigroup Global Markets Inc. | 14.0 | 0.204 |
| Morgan Stanley & Co. Incorporated | 13.125 | 10.0 |
| Citigroup Global Markets Inc. | 13.0 | 2.5 |
| Morgan Stanley & Co. Incorporated | 12.125 | 10.0 |
| Citigroup Global Markets Inc. | 12.0 | 50.0 |
| The Royal Bank of Scotland PLC | 12.0 | 10.0 |
| Citigroup Global Markets Inc. | 12.0 | 8.5 |
| Morgan Stanley & Co. Incorporated | 11.125 | 10.0 |
| Morgan Stanley & Co. Incorporated | 10.125 | 10.0 |
| The Royal Bank of Scotland PLC | 6.0 | 290.0 |
| UBS Securities LLC | 5.125 | 100.0 |
| Barclays Bank PLC | 5.0 | 300.0 |
** Limit Orders that were derived from inside markets.
* Limit Orders that were filled.
^ Limit Orders that were partially filled.