AMR Corp Auction Results, 15 December 2011
Final Results of the AMR Corp CDS Auction, 15 December 2011
Final Price: 23.5
On 15 December 2011, 13 dealers submitted initial markets, physical settlement requests and limit orders to the AMR Corp auction administered by Creditex and S&P Global to settle trades across the market referencing AMR Corporation.
| Relevant Currency |
|---|
| USD |
| Auction Currency Rates | |
|---|---|
| USD/USD | 1.00000 |
The inputs and results are detailed below.
Dealer Initial Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Barclays Bank Plc | 21.0 | 23.0 | Barclays Bank Plc |
| BNP Paribas | 20.375 | 22.375 | BNP Paribas |
| Citigroup Global Markets Inc. | 22.0 | 24.0 | Citigroup Global Markets Inc. |
| Credit Suisse International | 20.5 | 22.5 | Credit Suisse International |
| Deutsche Bank AG | 21.0 | 23.0 | Deutsche Bank AG |
| Goldman, Sachs & Co. | 22.0 | 24.0 | Goldman, Sachs & Co. |
| J.P. Morgan Securities LLC. | 21.5 | 23.5 | J.P. Morgan Securities LLC. |
| Merrill Lynch Pierce, Fenner & Smith Incorporated | 21.0 | 23.0 | Merrill Lynch Pierce, Fenner & Smith Incorporated |
| Morgan Stanley & Co. LLC | 20.0 | 22.0 | Morgan Stanley & Co. LLC |
| Nomura International Plc | 21.5 | 23.5 | Nomura International Plc |
| Société Générale | 21.0 | 23.0 | Société Générale |
| The Royal Bank of Scotland Plc | 19.875 | 21.875 | The Royal Bank of Scotland Plc |
| UBS Securities LLC | 21.75 | 23.75 | UBS Securities LLC |
Initial Market Midpoint: 22
Adjustment Amounts
The Royal Bank of Scotland Plc
USD 3,750
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| BNP Paribas | Offer | 0.0 |
| Credit Suisse International | Offer | 2.565 |
| Merrill Lynch Pierce, Fenner & Smith Incorporated | Offer | 0.0 |
| Nomura International Plc | Offer | 0.0 |
| Société Générale | Offer | 0.0 |
| The Royal Bank of Scotland Plc | Offer | 0.0 |
| UBS Securities LLC | Offer | 0.0 |
| Barclays Bank Plc | Bid | 2.0 |
| Citigroup Global Markets Inc. | Bid | 79.05 |
| Deutsche Bank AG | Bid | 2.0 |
| Goldman, Sachs & Co. | Bid | 3.0 |
| J.P. Morgan Securities LLC | Bid | 22.0 |
| Morgan Stanley & Co. LLC | Bid | 14.0 |
Net Open Interest: USD 119.485 million to buy
| Sum of Buy Physical Requests | 122.05m |
| Sum of Sell Physical Requests | 2.565m |
| Sum of Physical Request Trades | 2.565m |
| Sum of Limit Order Trades | 119.485m |
Limit Orders
| Dealer | Offer | Size |
|---|---|---|
| Merrill Lynch Pierce, Fenner & Smith Incorporated | 21.0* | 5.0 |
| Barclays Bank Plc | 21.0* | 2.25 |
| Barclays Bank Plc | 21.0* | 1.75 |
| Barclays Bank Plc | 21.0* | 0.8 |
| Morgan Stanley & Co. LLC ** | 22.0* | 3.0 |
| The Royal Bank of Scotland Plc** | 22.0* | 3.0 |
| J.P. Morgan Securities LLC | 22.375* | 3.0 |
| BNP Paribas** | 22.375* | 3.0 |
| Credit Suisse International** | 22.5* | 3.0 |
| Goldman, Sachs & Co. | 22.5* | 1.6 |
| Citigroup Global Markets Inc. | 23.0* | 22.0 |
| J.P. Morgan Securities LLC | 23.0* | 20.0 |
| Merrill Lynch Pierce, Fenner & Smith Incorporated** | 23.0* | 3.0 |
| Barclays Bank Plc** | 23.0* | 3.0 |
| Deutsche Bank AG** | 23.0* | 3.0 |
| Société Générale** | 23.0* | 3.0 |
| Deutsche Bank AG | 23.0* | 2.0 |
| Deutsche Bank AG | 23.375* | 10.0 |
| J.P. Morgan Securities LLC | 23.375* | 5.0 |
| J.P. Morgan Securities LLC | 23.5^ | 11.983 |
| Morgan Stanley & Co. LLC | 23.5^ | 5.0 |
| J.P. Morgan Securities LLC.** | 23.5^ | 3.0 |
| Nomura International Plc** | 23.5^ | 3.0 |
| Deutsche Bank AG | 23.5^ | 2.407 |
| Deutsche Bank AG | 23.75 | 10.0 |
| UBS Securities LLC** | 23.75 | 3.0 |
| Goldman, Sachs & Co.** | 24.0 | 3.0 |
| Citigroup Global Markets Inc.** | 24.0 | 3.0 |
| Deutsche Bank AG | 24.125 | 10.0 |
| J.P. Morgan Securities LLC | 24.375 | 5.0 |
| Citigroup Global Markets Inc. | 24.5 | 12.5 |
| Goldman, Sachs & Co. | 24.5 | 10.0 |
| J.P. Morgan Securities LLC | 24.5 | 9.5 |
| J.P. Morgan Securities LLC | 24.5 | 2.55 |
| J.P. Morgan Securities LLC | 24.5 | 0.25 |
| J.P. Morgan Securities LLC | 24.875 | 5.0 |
| Merrill Lynch Pierce, Fenner & Smith Incorporated | 25.0 | 10.0 |
| Citigroup Global Markets Inc. | 25.0 | 5.0 |
| Deutsche Bank AG | 25.0 | 3.0 |
| UBS Securities LLC | 25.0 | 2.0 |
| J.P. Morgan Securities LLC | 25.375 | 5.0 |
| J.P. Morgan Securities LLC | 25.5 | 10.0 |
| UBS Securities LLC | 25.5 | 2.0 |
| J.P. Morgan Securities LLC | 25.875 | 5.0 |
| Citigroup Global Markets Inc. | 26.0 | 15.0 |
| Goldman, Sachs & Co. | 26.0 | 5.0 |
| J.P. Morgan Securities LLC | 26.375 | 5.0 |
| UBS Securities LLC | 26.5 | 2.0 |
| J.P. Morgan Securities LLC | 26.875 | 5.0 |
| Goldman, Sachs & Co. | 27.0 | 10.0 |
| Credit Suisse International | 27.0 | 5.0 |
| J.P. Morgan Securities LLC | 27.0 | 5.0 |
| J.P. Morgan Securities LLC | 27.75 | 5.0 |
| Citigroup Global Markets Inc. | 28.0 | 20.0 |
| Morgan Stanley & Co. LLC | 28.0 | 5.0 |
| J.P. Morgan Securities LLC | 28.5 | 5.0 |
| Credit Suisse International | 29.0 | 3.0 |
| J.P. Morgan Securities LLC | 29.25 | 5.0 |
| J.P. Morgan Securities LLC | 29.375 | 5.0 |
| Citigroup Global Markets Inc. | 29.5 | 20.0 |
| J.P. Morgan Securities LLC | 29.625 | 5.0 |
| J.P. Morgan Securities LLC | 29.875 | 10.0 |
| Goldman, Sachs & Co. | 30.0 | 20.0 |
| Goldman, Sachs & Co. | 30.0 | 5.0 |
| J.P. Morgan Securities LLC | 30.125 | 20.0 |
| Credit Suisse International | 35.0 | 5.0 |
| Credit Suisse International | 37.0 | 2.0 |
| Goldman, Sachs & Co. | 40.0 | 50.0 |
** Limit Orders that were derived from inside markets.
* Limit Orders that were filled.
^ Limit Orders that were partially filled.