PMI Group Auction Results, 13 December 2011
Final Results of the PMI Group CDS Auction, 13 December 2011
Final Price: 16.5
On 13 December 2011, 13 dealers submitted initial markets, physical settlement requests and limit orders to the PMI Group auction administered by Creditex and S&P Global to settle trades across the market referencing The PMI Group, Inc..
| 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 | 17.0 | 19.0 | Barclays Bank Plc |
| BNP Paribas | 17.875 | 18.875 | BNP Paribas |
| Citigroup Global Markets Inc. | 17.0 | 19.0 | Citigroup Global Markets Inc. |
| Credit Suisse International | 17.0 | 19.0 | Credit Suisse International |
| Deutsche Bank AG | 18.0 | 20.0 | Deutsche Bank AG |
| Goldman, Sachs & Co. | 15.0 | 17.0 | Goldman, Sachs & Co. |
| J.P. Morgan Securities LLC. | 16.75 | 18.75 | J.P. Morgan Securities LLC. |
| Merrill Lynch Pierce, Fenner & Smith Incorporated | 17.0 | 19.0 | Merrill Lynch Pierce, Fenner & Smith Incorporated |
| Morgan Stanley & Co. LLC | 18.0 | 20.0 | Morgan Stanley & Co. LLC |
| Nomura International Plc | 17.75 | 19.75 | Nomura International Plc |
| Société Générale | 16.0 | 18.0 | Société Générale |
| The Royal Bank of Scotland Plc | 16.5 | 18.5 | The Royal Bank of Scotland Plc |
| UBS Securities LLC | 18.0 | 20.0 | UBS Securities LLC |
Initial Market Midpoint: 18.125
Adjustment Amounts
No Adjustment Amount
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| Barclays Bank Plc | Offer | 5.0 |
| Citigroup Global Markets Inc. | Offer | 240.338 |
| Credit Suisse International | Offer | 0.0 |
| Deutsche Bank AG | Offer | 70.0 |
| Goldman, Sachs & Co. | Offer | 125.0 |
| Merrill Lynch Pierce, Fenner & Smith Incorporated | Offer | 0.0 |
| The Royal Bank of Scotland Plc | Offer | 12.0 |
| UBS Securities LLC | Offer | 44.75 |
| BNP Paribas | Bid | 13.0 |
| J.P. Morgan Securities LLC. | Bid | 43.7 |
| Morgan Stanley & Co. LLC | Bid | 27.8 |
| Nomura International Plc | Bid | 33.0 |
| Société Générale | Bid | 4.0 |
Net Open Interest: USD 375.588 million to sell
| Sum of Buy Physical Requests | 121.5m |
| Sum of Sell Physical Requests | 497.088m |
| Sum of Physical Request Trades | 121.5m |
| Sum of Limit Order Trades | 375.588m |
Limit Orders
| Dealer | Bid | Size |
|---|---|---|
| Deutsche Bank AG | 18.25* | 87.0 |
| Deutsche Bank AG | 18.125* | 13.0 |
| UBS Securities LLC | 18.125* | 10.0 |
| Barclays Bank Plc | 18.0* | 10.0 |
| Deutsche Bank AG** | 18.0* | 3.0 |
| Morgan Stanley & Co. LLC** | 18.0* | 3.0 |
| UBS Securities LLC** | 18.0* | 3.0 |
| Nomura International Plc | 17.875* | 5.0 |
| BNP Paribas** | 17.875* | 3.0 |
| Nomura International Plc** | 17.75* | 3.0 |
| J.P. Morgan Securities LLC. | 17.625* | 5.0 |
| Deutsche Bank AG | 17.5* | 100.0 |
| Merrill Lynch Pierce, Fenner & Smith Incorporated | 17.0* | 15.0 |
| Citigroup Global Markets Inc. | 17.0* | 10.0 |
| Morgan Stanley & Co. LLC | 17.0* | 8.0 |
| Barclays Bank Plc | 17.0* | 5.0 |
| Citigroup Global Markets Inc.** | 17.0* | 3.0 |
| Credit Suisse International** | 17.0* | 3.0 |
| Barclays Bank Plc** | 17.0* | 3.0 |
| Merrill Lynch Pierce, Fenner & Smith Incorporated** | 17.0* | 3.0 |
| J.P. Morgan Securities LLC.** | 16.75* | 3.0 |
| Deutsche Bank AG | 16.5^ | 375.0 |
| Citigroup Global Markets Inc. | 16.5^ | 5.0 |
| Morgan Stanley & Co. LLC | 16.5^ | 5.0 |
| Barclays Bank Plc | 16.5^ | 4.0 |
| The Royal Bank of Scotland Plc** | 16.5^ | 3.0 |
| Barclays Bank Plc | 16.25 | 30.0 |
| Citigroup Global Markets Inc. | 16.125 | 40.0 |
| UBS Securities LLC | 16.0 | 25.0 |
| Goldman, Sachs & Co. | 16.0 | 25.0 |
| Citigroup Global Markets Inc. | 16.0 | 15.0 |
| Merrill Lynch Pierce, Fenner & Smith Incorporated | 16.0 | 15.0 |
| Morgan Stanley & Co. LLC | 16.0 | 5.0 |
| Citigroup Global Markets Inc. | 16.0 | 5.0 |
| Barclays Bank Plc | 16.0 | 4.0 |
| Société Générale** | 16.0 | 3.0 |
| BNP Paribas | 16.0 | 1.0 |
| Barclays Bank Plc | 15.75 | 4.0 |
| J.P. Morgan Securities LLC. | 15.625 | 25.0 |
| Morgan Stanley & Co. LLC | 15.5 | 10.0 |
| Citigroup Global Markets Inc. | 15.5 | 10.0 |
| Barclays Bank Plc | 15.375 | 4.0 |
| Morgan Stanley & Co. LLC | 15.25 | 80.0 |
| J.P. Morgan Securities LLC. | 15.25 | 20.0 |
| Citigroup Global Markets Inc. | 15.125 | 60.0 |
| Goldman, Sachs & Co. | 15.125 | 33.0 |
| Goldman, Sachs & Co. | 15.125 | 30.0 |
| J.P. Morgan Securities LLC. | 15.125 | 25.0 |
| Merrill Lynch Pierce, Fenner & Smith Incorporated | 15.0 | 48.0 |
| Goldman, Sachs & Co. | 15.0 | 33.0 |
| Morgan Stanley & Co. LLC | 15.0 | 25.0 |
| Goldman, Sachs & Co. | 15.0 | 25.0 |
| Barclays Bank Plc | 15.0 | 25.0 |
| Goldman, Sachs & Co. | 15.0 | 25.0 |
| Goldman, Sachs & Co. | 15.0 | 25.0 |
| Citigroup Global Markets Inc. | 15.0 | 10.0 |
| Citigroup Global Markets Inc. | 15.0 | 10.0 |
| Goldman, Sachs & Co. | 15.0 | 8.0 |
| Goldman, Sachs & Co.** | 15.0 | 3.0 |
| Barclays Bank Plc | 14.75 | 4.0 |
| J.P. Morgan Securities LLC. | 14.625 | 25.0 |
| Morgan Stanley & Co. LLC | 14.5 | 40.0 |
| Citigroup Global Markets Inc. | 14.5 | 10.0 |
| Barclays Bank Plc | 14.25 | 25.0 |
| Barclays Bank Plc | 14.25 | 4.0 |
| Citigroup Global Markets Inc. | 14.125 | 25.0 |
| J.P. Morgan Securities LLC. | 14.125 | 25.0 |
| The Royal Bank of Scotland Plc | 14.125 | 20.0 |
| The Royal Bank of Scotland Plc | 14.125 | 15.0 |
| Merrill Lynch Pierce, Fenner & Smith Incorporated | 14.0 | 105.0 |
| Morgan Stanley & Co. LLC | 14.0 | 80.0 |
| Morgan Stanley & Co. LLC | 14.0 | 50.0 |
| Goldman, Sachs & Co. | 14.0 | 50.0 |
| Goldman, Sachs & Co. | 14.0 | 33.0 |
| Barclays Bank Plc | 14.0 | 25.0 |
| UBS Securities LLC | 14.0 | 25.0 |
| Citigroup Global Markets Inc. | 14.0 | 10.0 |
| Barclays Bank Plc | 13.75 | 4.0 |
| J.P. Morgan Securities LLC. | 13.625 | 25.0 |
| Citigroup Global Markets Inc. | 13.5 | 10.0 |
| Barclays Bank Plc | 13.25 | 4.0 |
| J.P. Morgan Securities LLC. | 13.125 | 50.0 |
| Citigroup Global Markets Inc. | 13.125 | 20.0 |
| Deutsche Bank AG | 13.125 | 10.0 |
| The Royal Bank of Scotland Plc | 13.125 | 10.0 |
| Merrill Lynch Pierce, Fenner & Smith Incorporated | 13.0 | 105.0 |
| Morgan Stanley & Co. LLC | 13.0 | 100.0 |
| Barclays Bank Plc | 13.0 | 50.0 |
| Goldman, Sachs & Co. | 13.0 | 50.0 |
| The Royal Bank of Scotland Plc | 13.0 | 30.0 |
| J.P. Morgan Securities LLC. | 12.625 | 95.0 |
| Goldman, Sachs & Co. | 12.5 | 30.0 |
| Deutsche Bank AG | 12.5 | 10.0 |
| Barclays Bank Plc | 12.25 | 15.0 |
| J.P. Morgan Securities LLC. | 12.125 | 100.0 |
| Goldman, Sachs & Co. | 12.125 | 50.0 |
| The Royal Bank of Scotland Plc | 12.125 | 25.0 |
| Morgan Stanley & Co. LLC | 12.125 | 25.0 |
| The Royal Bank of Scotland Plc | 12.125 | 15.0 |
| The Royal Bank of Scotland Plc | 12.125 | 10.0 |
| Merrill Lynch Pierce, Fenner & Smith Incorporated | 12.0 | 165.0 |
| The Royal Bank of Scotland Plc | 12.0 | 100.0 |
| Goldman, Sachs & Co. | 12.0 | 75.0 |
| Barclays Bank Plc | 12.0 | 75.0 |
| Barclays Bank Plc | 12.0 | 50.0 |
| Morgan Stanley & Co. LLC | 12.0 | 50.0 |
| Barclays Bank Plc | 12.0 | 50.0 |
| Citigroup Global Markets Inc. | 12.0 | 25.0 |
| Barclays Bank Plc | 12.0 | 20.0 |
| UBS Securities LLC | 12.0 | 10.0 |
| The Royal Bank of Scotland Plc | 12.0 | 3.0 |
| BNP Paribas | 12.0 | 1.0 |
| The Royal Bank of Scotland Plc | 11.0 | 50.0 |
| Merrill Lynch Pierce, Fenner & Smith Incorporated | 11.0 | 40.0 |
| Citigroup Global Markets Inc. | 10.75 | 25.0 |
| The Royal Bank of Scotland Plc | 10.5 | 50.0 |
| Citigroup Global Markets Inc. | 10.5 | 25.0 |
| Morgan Stanley & Co. LLC | 10.25 | 50.0 |
| Barclays Bank Plc | 10.25 | 25.0 |
| Citigroup Global Markets Inc. | 10.25 | 5.0 |
| The Royal Bank of Scotland Plc | 10.125 | 10.0 |
| Merrill Lynch Pierce, Fenner & Smith Incorporated | 10.0 | 40.0 |
| Citigroup Global Markets Inc. | 10.0 | 30.0 |
| The Royal Bank of Scotland Plc | 10.0 | 30.0 |
| UBS Securities LLC | 10.0 | 25.0 |
| Credit Suisse International | 10.0 | 15.0 |
| The Royal Bank of Scotland Plc | 10.0 | 10.0 |
| UBS Securities LLC | 10.0 | 10.0 |
| J.P. Morgan Securities LLC. | 10.0 | 10.0 |
| Goldman, Sachs & Co. | 10.0 | 3.0 |
| Citigroup Global Markets Inc. | 9.5 | 50.0 |
| The Royal Bank of Scotland Plc | 9.5 | 25.0 |
| Barclays Bank Plc | 9.25 | 20.0 |
| Credit Suisse International | 9.0 | 10.0 |
| Goldman, Sachs & Co. | 8.5 | 150.0 |
| Barclays Bank Plc | 8.25 | 20.0 |
| UBS Securities LLC | 8.0 | 100.0 |
| Credit Suisse International | 8.0 | 25.0 |
| UBS Securities LLC | 8.0 | 10.0 |
| Goldman, Sachs & Co. | 8.0 | 3.0 |
| Goldman, Sachs & Co. | 7.0 | 15.0 |
| UBS Securities LLC | 5.375 | 20.0 |
| Credit Suisse International | 5.0 | 40.0 |
| Nomura International Plc | 5.0 | 7.0 |
| UBS Securities LLC | 2.375 | 50.0 |
| UBS Securities LLC | 0.625 | 300.0 |
** Limit Orders that were derived from inside markets.
* Limit Orders that were filled.
^ Limit Orders that were partially filled.