Ambac Financial Group Auction Results, 10 December 2010
Final Results of the Ambac Financial Group CDS Auction, 10 December 2010
Final Price: 9.5
On 10 December 2010, 14 dealers submitted initial markets, physical settlement requests and limit orders to the Ambac Financial Group auction administered by Creditex and S&P Global to settle trades across the market referencing Ambac Financial 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 |
|---|---|---|---|
| Banc of America Securities LLC | 11.0 | 13.0 | Banc of America Securities LLC |
| Barclays Bank PLC | 11.0 | 13.0 | Barclays Bank PLC |
| BNP Paribas | 12.0 | 14.0 | BNP Paribas |
| Citigroup Global Markets Inc. | 11.5 | 13.5 | Citigroup Global Markets Inc. |
| Credit Suisse AG | 12.0 | 13.75 | Credit Suisse AG |
| Deutsche Bank AG | 10.0 | 12.0 | Deutsche Bank AG |
| Goldman Sachs & Co. | 10.0 | 12.0 | Goldman Sachs & Co. |
| HSBC Bank USA, National Association | 12.5 | 14.5 | HSBC Bank USA, National Association |
| J.P. Morgan Securities LLC | 11.75 | 13.75 | J.P. Morgan Securities LLC |
| Morgan Stanley & Co. Incorporated | 12.5 | 14.5 | Morgan Stanley & Co. Incorporated |
| Nomura International PLC | 13.0 | 15.0 | Nomura International PLC |
| Royal Bank of Scotland | 12.375 | 14.375 | Royal Bank of Scotland |
| Societe Generale | 12.75 | 14.75 | Societe Generale |
| UBS Securities LLC | 11.5 | 13.5 | UBS Securities LLC |
Initial Market Midpoint: 12.75
Adjustment Amounts
Nomura International PLC
USD 7,500
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| Banc of America Securities LLC | Offer | 0.0 |
| Citigroup Global Markets Inc. | Offer | 159.578 |
| Credit Suisse AG | Offer | 2.0 |
| Deutsche Bank AG | Offer | 145.763 |
| Goldman Sachs & Co. | Offer | 152.0 |
| HSBC Bank USA, National Association | Offer | 0.0 |
| J.P. Morgan Securities LLC | Offer | 0.0 |
| Nomura International PLC | Offer | 0.0 |
| Royal Bank of Scotland | Offer | 15.5 |
| UBS Securities LLC | Offer | 57.5 |
| Barclays Bank PLC | Bid | 23.436 |
| BNP Paribas | Bid | 9.0 |
| Morgan Stanley & Co. Incorporated | Bid | 90.0 |
| Societe Generale | Bid | 2.0 |
Net Open Interest: USD 407.905 million to sell
| Sum of Buy Physical Requests | 124.436m |
| Sum of Sell Physical Requests | 532.341m |
| Sum of Physical Request Trades | 124.436m |
| Sum of Limit Order Trades | 407.905m |
Limit Orders
| Dealer | Bid | Size |
|---|---|---|
| UBS Securities LLC | 13.75* | 60.0 |
| Citigroup Global Markets Inc. | 13.75* | 40.0 |
| J.P. Morgan Securities LLC | 13.75* | 5.0 |
| Goldman Sachs & Co. | 13.75* | 5.0 |
| Citigroup Global Markets Inc. | 13.5* | 4.0 |
| Citigroup Global Markets Inc. | 13.25* | 4.0 |
| Citigroup Global Markets Inc. | 13.0* | 4.0 |
| Citigroup Global Markets Inc. | 12.75* | 4.0 |
| Nomura International PLC** | 12.75* | 3.0 |
| Societe Generale** | 12.75* | 3.0 |
| Citigroup Global Markets Inc. | 12.5* | 4.0 |
| Morgan Stanley & Co. Incorporated** | 12.5* | 3.0 |
| HSBC Bank USA, National Association** | 12.5* | 3.0 |
| Banc of America Securities LLC | 12.5* | 2.0 |
| Royal Bank of Scotland** | 12.375* | 3.0 |
| Citigroup Global Markets Inc. | 12.25* | 4.0 |
| Citigroup Global Markets Inc. | 12.0* | 4.0 |
| BNP Paribas** | 12.0* | 3.0 |
| Credit Suisse AG** | 12.0* | 3.0 |
| Citigroup Global Markets Inc. | 11.75* | 4.0 |
| J.P. Morgan Securities LLC** | 11.75* | 3.0 |
| Citigroup Global Markets Inc. | 11.5* | 4.0 |
| UBS Securities LLC ** | 11.5* | 3.0 |
| Citigroup Global Markets Inc.** | 11.5* | 3.0 |
| Banc of America Securities LLC | 11.5* | 2.0 |
| Citigroup Global Markets Inc. | 11.25* | 4.0 |
| Barclays Bank PLC | 11.125* | 5.0 |
| Goldman Sachs & Co. | 11.125* | 5.0 |
| Citigroup Global Markets Inc. | 11.0* | 4.0 |
| Banc of America Securities LLC** | 11.0* | 3.0 |
| Barclays Bank PLC** | 11.0* | 3.0 |
| Citigroup Global Markets Inc. | 10.75* | 4.0 |
| Barclays Bank PLC | 10.625* | 5.0 |
| Goldman Sachs & Co. | 10.625* | 5.0 |
| Citigroup Global Markets Inc. | 10.5* | 4.0 |
| Barclays Bank PLC | 10.375* | 5.0 |
| Goldman Sachs & Co. | 10.375* | 5.0 |
| J.P. Morgan Securities LLC | 10.25* | 5.0 |
| Goldman Sachs & Co. | 10.25* | 5.0 |
| Citigroup Global Markets Inc. | 10.25* | 4.0 |
| UBS Securities LLC | 10.125* | 2.5 |
| Barclays Bank PLC | 10.125* | 2.5 |
| J.P. Morgan Securities LLC | 10.0* | 50.0 |
| Citigroup Global Markets Inc. | 10.0* | 4.0 |
| Goldman Sachs & Co.** | 10.0* | 3.0 |
| Deutsche Bank AG** | 10.0* | 3.0 |
| Goldman Sachs & Co. | 9.875* | 35.0 |
| Barclays Bank PLC | 9.875* | 1.0 |
| Goldman Sachs & Co. | 9.875* | 1.0 |
| Goldman Sachs & Co. | 9.75* | 15.0 |
| J.P. Morgan Securities LLC | 9.75* | 10.0 |
| Citigroup Global Markets Inc. | 9.75* | 4.0 |
| Barclays Bank PLC | 9.625* | 1.0 |
| Goldman Sachs & Co. | 9.625* | 1.0 |
| Goldman Sachs & Co. | 9.5^ | 50.0 |
| Citigroup Global Markets Inc. | 9.5^ | 4.0 |
| Citigroup Global Markets Inc. | 9.25 | 4.0 |
| Goldman Sachs & Co. | 9.125 | 1.0 |
| Barclays Bank PLC | 9.0 | 50.0 |
| Barclays Bank PLC | 9.0 | 20.0 |
| Deutsche Bank AG | 9.0 | 5.0 |
| Citigroup Global Markets Inc. | 9.0 | 4.0 |
| Citigroup Global Markets Inc. | 8.75 | 4.0 |
| Citigroup Global Markets Inc. | 8.5 | 4.0 |
| Banc of America Securities LLC | 8.5 | 2.0 |
| Goldman Sachs & Co. | 8.375 | 10.0 |
| J.P. Morgan Securities LLC | 8.375 | 10.0 |
| J.P. Morgan Securities LLC | 8.25 | 30.0 |
| Goldman Sachs & Co. | 8.25 | 25.0 |
| Credit Suisse AG | 8.25 | 10.0 |
| Citigroup Global Markets Inc. | 8.25 | 4.0 |
| Citigroup Global Markets Inc. | 8.125 | 40.0 |
| Goldman Sachs & Co. | 8.125 | 20.0 |
| Morgan Stanley & Co. Incorporated | 8.0 | 55.0 |
| Barclays Bank PLC | 8.0 | 20.0 |
| Deutsche Bank AG | 8.0 | 5.0 |
| Citigroup Global Markets Inc. | 8.0 | 4.0 |
| Citigroup Global Markets Inc. | 7.75 | 4.0 |
| J.P. Morgan Securities LLC | 7.5 | 55.0 |
| J.P. Morgan Securities LLC | 7.5 | 10.0 |
| Citigroup Global Markets Inc. | 7.5 | 4.0 |
| Goldman Sachs & Co. | 7.25 | 20.0 |
| Citigroup Global Markets Inc. | 7.25 | 4.0 |
| J.P. Morgan Securities LLC | 7.125 | 55.0 |
| J.P. Morgan Securities LLC | 7.125 | 55.0 |
| J.P. Morgan Securities LLC | 7.125 | 55.0 |
| Citigroup Global Markets Inc. | 7.125 | 25.0 |
| J.P. Morgan Securities LLC | 7.0 | 50.0 |
| Barclays Bank PLC | 7.0 | 50.0 |
| Barclays Bank PLC | 7.0 | 20.0 |
| Deutsche Bank AG | 7.0 | 5.0 |
| Citigroup Global Markets Inc. | 7.0 | 4.0 |
| Citigroup Global Markets Inc. | 6.75 | 4.0 |
| Citigroup Global Markets Inc. | 6.5 | 4.0 |
| Goldman Sachs & Co. | 6.25 | 80.0 |
| Citigroup Global Markets Inc. | 6.25 | 4.0 |
| Citigroup Global Markets Inc. | 6.125 | 25.0 |
| Barclays Bank PLC | 6.125 | 10.0 |
| J.P. Morgan Securities LLC | 6.0 | 100.0 |
| Barclays Bank PLC | 6.0 | 80.0 |
| Deutsche Bank AG | 6.0 | 25.0 |
| Citigroup Global Markets Inc. | 6.0 | 4.0 |
| Citigroup Global Markets Inc. | 5.75 | 4.0 |
| Citigroup Global Markets Inc. | 5.5 | 4.0 |
| Citigroup Global Markets Inc. | 5.25 | 110.0 |
| Goldman Sachs & Co. | 5.25 | 50.0 |
| J.P. Morgan Securities LLC | 5.25 | 50.0 |
| Credit Suisse AG | 5.25 | 20.0 |
| Citigroup Global Markets Inc. | 5.25 | 4.0 |
| Goldman Sachs & Co. | 5.125 | 50.0 |
| Citigroup Global Markets Inc. | 5.125 | 35.0 |
| Citigroup Global Markets Inc. | 5.125 | 4.0 |
| Deutsche Bank AG | 5.0 | 100.0 |
| Barclays Bank PLC | 5.0 | 100.0 |
| Goldman Sachs & Co. | 5.0 | 55.0 |
| Morgan Stanley & Co. Incorporated | 5.0 | 50.0 |
| Credit Suisse AG | 5.0 | 20.0 |
| Morgan Stanley & Co. Incorporated | 5.0 | 10.0 |
| Banc of America Securities LLC | 5.0 | 4.0 |
| Deutsche Bank AG | 4.0 | 100.0 |
| Morgan Stanley & Co. Incorporated | 4.0 | 10.0 |
| Deutsche Bank AG | 3.0 | 167.905 |
| Goldman Sachs & Co. | 3.0 | 50.0 |
| Barclays Bank PLC | 3.0 | 50.0 |
| Morgan Stanley & Co. Incorporated | 3.0 | 10.0 |
** Limit Orders that were derived from inside markets.
* Limit Orders that were filled.
^ Limit Orders that were partially filled.