Rallye Auction Results, 27 June 2019
Final Results of the Rallye CDS Auction, 27 June 2019
Final Price: 12.5
On 27 June 2019, 9 dealers submitted initial markets, physical settlement requests and limit orders to the Rallye auction administered by Creditex and S&P Global to settle trades across the market referencing RALLYE.
| Relevant Currency |
|---|
| EUR |
| Auction Currency Rates | |
|---|---|
| EUR/CHF | 0.90319 |
| EUR/EUR | 1.00000 |
The inputs and results are detailed below.
Dealer Initial Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Barclays Bank PLC | 14.0 | 16.0 | Barclays Bank PLC |
| BNP Paribas | 15.0 | 17.0 | BNP Paribas |
| Citigroup Global Markets Limited | 12.75 | 14.75 | Citigroup Global Markets Limited |
| Credit Suisse International | 13.25 | 15.25 | Credit Suisse International |
| Deutsche Bank Aktiengesellschaft | 15.0 | 17.0 | Deutsche Bank Aktiengesellschaft |
| Goldman Sachs International | 13.5 | 15.5 | Goldman Sachs International |
| J.P. Morgan Securities PLC | 13.0 | 15.0 | J.P. Morgan Securities PLC |
| Merrill Lynch International | 14.25 | 16.25 | Merrill Lynch International |
| Morgan Stanley & Co. International PLC | 14.5 | 16.5 | Morgan Stanley & Co. International PLC |
Initial Market Midpoint: 14.875
Adjustment Amounts
BNP Paribas
EUR 2,500
Deutsche Bank Aktiengesellschaft
EUR 2,500
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| Barclays Bank PLC | Offer | 25.9 |
| BNP Paribas | Offer | 0.0 |
| Citigroup Global Markets Limited | Offer | 5.0 |
| Credit Suisse International | Offer | 136.25 |
| Deutsche Bank Aktiengesellschaft | Offer | 0.0 |
| Goldman Sachs International | Offer | 0.0 |
| J.P. Morgan Securities PLC | Offer | 0.0 |
| Merrill Lynch International | Offer | 0.0 |
| Morgan Stanley & Co. International PLC | Offer | 0.0 |
Net Open Interest: 167.15 million to sell
| Sum of Buy Physical Requests | 0.0m |
| Sum of Sell Physical Requests | 167.15m |
| Sum of Physical Request Trades | 0.0m |
| Sum of Limit Order Trades | 167.15m |
Limit Orders
| Dealer | Bid | Size |
|---|---|---|
| J.P. Morgan Securities PLC | 15.875* | 50.0 |
| Barclays Bank PLC | 15.875* | 25.0 |
| Goldman Sachs International | 15.875* | 3.9 |
| J.P. Morgan Securities PLC | 15.0* | 8.2 |
| Credit Suisse International | 14.875* | 2.0 |
| BNP Paribas** | 14.875* | 2.0 |
| Deutsche Bank Aktiengesellschaft** | 14.875* | 2.0 |
| Goldman Sachs International | 14.5* | 2.0 |
| Morgan Stanley & Co. International PLC** | 14.5* | 2.0 |
| Barclays Bank PLC | 14.25* | 10.0 |
| Merrill Lynch International** | 14.25* | 2.0 |
| Goldman Sachs International | 14.25* | 2.0 |
| Credit Suisse International | 14.125* | 5.0 |
| Goldman Sachs International | 14.0* | 2.0 |
| Barclays Bank PLC** | 14.0* | 2.0 |
| J.P. Morgan Securities PLC | 14.0* | 1.0 |
| Goldman Sachs International | 13.75* | 2.0 |
| Credit Suisse International | 13.625* | 5.0 |
| Goldman Sachs International | 13.5* | 5.0 |
| Goldman Sachs International** | 13.5* | 2.0 |
| Goldman Sachs International | 13.5* | 2.0 |
| Citigroup Global Markets Limited | 13.5* | 1.0 |
| Credit Suisse International** | 13.25* | 2.0 |
| Goldman Sachs International | 13.25* | 2.0 |
| Morgan Stanley & Co. International PLC | 13.125* | 10.0 |
| Credit Suisse International | 13.125* | 4.75 |
| Goldman Sachs International | 13.0* | 3.0 |
| J.P. Morgan Securities PLC** | 13.0* | 2.0 |
| Citigroup Global Markets Limited** | 12.75* | 2.0 |
| Credit Suisse International | 12.75* | 2.0 |
| Goldman Sachs International | 12.5^ | 5.0 |
| Goldman Sachs International | 12.5^ | 3.0 |
| Barclays Bank PLC | 12.25 | 10.0 |
| J.P. Morgan Securities PLC | 12.125 | 50.0 |
| Barclays Bank PLC | 12.125 | 5.0 |
| Credit Suisse International | 12.125 | 2.0 |
| Citigroup Global Markets Limited | 12.0 | 10.0 |
| Barclays Bank PLC | 12.0 | 5.0 |
| Goldman Sachs International | 12.0 | 1.5 |
| Goldman Sachs International | 12.0 | 1.0 |
| Credit Suisse International | 11.75 | 2.0 |
| Credit Suisse International | 11.625 | 3.0 |
| Barclays Bank PLC | 11.5 | 25.0 |
| Goldman Sachs International | 11.5 | 5.0 |
| Goldman Sachs International | 11.25 | 10.0 |
| Morgan Stanley & Co. International PLC | 11.125 | 40.0 |
| Credit Suisse International | 11.125 | 4.0 |
| Barclays Bank PLC | 11.0 | 25.0 |
| Goldman Sachs International | 11.0 | 25.0 |
| Goldman Sachs International | 11.0 | 5.0 |
| Goldman Sachs International | 11.0 | 2.5 |
| J.P. Morgan Securities PLC | 10.875 | 21.25 |
| Credit Suisse International | 10.75 | 2.0 |
| Credit Suisse International | 10.625 | 5.0 |
| Goldman Sachs International | 10.5 | 50.0 |
| Goldman Sachs International | 10.5 | 10.0 |
| Goldman Sachs International | 10.25 | 10.0 |
| Credit Suisse International | 10.25 | 2.0 |
| J.P. Morgan Securities PLC | 10.125 | 67.15 |
| Credit Suisse International | 10.125 | 20.0 |
| Goldman Sachs International | 10.125 | 15.0 |
| Credit Suisse International | 10.125 | 6.0 |
| J.P. Morgan Securities PLC | 10.125 | 5.0 |
| Credit Suisse International | 10.125 | 5.0 |
| Barclays Bank PLC | 10.125 | 5.0 |
| J.P. Morgan Securities PLC | 10.0 | 50.0 |
| Citigroup Global Markets Limited | 10.0 | 40.0 |
| Barclays Bank PLC | 10.0 | 20.0 |
| Goldman Sachs International | 10.0 | 10.0 |
| J.P. Morgan Securities PLC | 10.0 | 5.0 |
| Credit Suisse International | 10.0 | 3.0 |
| Goldman Sachs International | 10.0 | 3.0 |
| Credit Suisse International | 10.0 | 2.0 |
| J.P. Morgan Securities PLC | 10.0 | 2.0 |
| Credit Suisse International | 9.75 | 2.0 |
| Credit Suisse International | 9.625 | 8.0 |
| Goldman Sachs International | 9.5 | 10.0 |
| Credit Suisse International | 9.5 | 2.0 |
| Credit Suisse International | 9.25 | 2.0 |
| Morgan Stanley & Co. International PLC | 9.125 | 95.0 |
| Credit Suisse International | 9.125 | 10.0 |
| Goldman Sachs International | 9.0 | 15.0 |
| J.P. Morgan Securities PLC | 9.0 | 8.75 |
| Credit Suisse International | 9.0 | 2.0 |
| Goldman Sachs International | 9.0 | 1.0 |
| Credit Suisse International | 8.875 | 2.0 |
| Credit Suisse International | 8.75 | 2.0 |
| Credit Suisse International | 8.625 | 50.0 |
| Credit Suisse International | 8.625 | 14.0 |
| Credit Suisse International | 8.625 | 2.0 |
| Goldman Sachs International | 8.5 | 10.0 |
| Credit Suisse International | 8.5 | 2.0 |
| Credit Suisse International | 8.375 | 2.0 |
| Goldman Sachs International | 8.25 | 25.0 |
| Credit Suisse International | 8.25 | 25.0 |
| Credit Suisse International | 8.25 | 2.0 |
| Credit Suisse International | 8.125 | 18.0 |
| J.P. Morgan Securities PLC | 8.125 | 5.0 |
| Barclays Bank PLC | 8.125 | 5.0 |
| Credit Suisse International | 8.125 | 2.0 |
| Citigroup Global Markets Limited | 8.0 | 60.0 |
| J.P. Morgan Securities PLC | 8.0 | 50.0 |
| Goldman Sachs International | 8.0 | 25.0 |
| J.P. Morgan Securities PLC | 8.0 | 3.0 |
| Credit Suisse International | 8.0 | 2.0 |
| Credit Suisse International | 7.875 | 2.0 |
| Credit Suisse International | 7.75 | 2.0 |
| Credit Suisse International | 7.625 | 24.0 |
| Credit Suisse International | 7.625 | 2.0 |
| Credit Suisse International | 7.5 | 2.0 |
| Credit Suisse International | 7.375 | 2.0 |
| Credit Suisse International | 7.25 | 2.0 |
| Credit Suisse International | 7.125 | 30.0 |
| J.P. Morgan Securities PLC | 7.125 | 13.0 |
| Barclays Bank PLC | 7.125 | 5.0 |
| Credit Suisse International | 7.125 | 2.0 |
| Credit Suisse International | 7.0 | 2.0 |
| Credit Suisse International | 6.875 | 5.0 |
| Credit Suisse International | 6.75 | 5.0 |
| Credit Suisse International | 6.625 | 40.0 |
| Credit Suisse International | 5.125 | 20.0 |
| Citigroup Global Markets Limited | 5.0 | 80.0 |
| Goldman Sachs International | 5.0 | 25.0 |
| Credit Suisse International | 5.0 | 7.0 |
| Barclays Bank PLC | 4.625 | 167.15 |
| J.P. Morgan Securities PLC | 3.0 | 45.5 |
| Credit Suisse International | 2.125 | 167.15 |
| Citigroup Global Markets Limited | 1.0 | 150.0 |
| Credit Suisse International | 0.125 | 20.0 |
** Limit Orders that were derived from inside markets.
* Limit Orders that were filled.
^ Limit Orders that were partially filled.