ABENGOA SA Auction Results, 14 January 2016
Final Results of the ABENGOA SA CDS Auction, 14 January 2016
Final Price: 4.625
On 14 January 2016, 12 dealers submitted initial markets, physical settlement requests and limit orders to the ABENGOA SA auction administered by Creditex and Markit to settle trades across the market referencing ABENGOA, S.A..
| Relevant Currency |
|---|
| EUR |
| Auction Currency Rates | |
|---|---|
| EUR/EUR | 1.00000 |
| USD/EUR | 1.08260 |
The inputs and results are detailed below.
Dealer Initial Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Bank of America, N.A. | 5.5 | 7.5 | Bank of America, N.A. |
| Barclays Bank PLC | 7.0 | 9.0 | Barclays Bank PLC |
| BNP Paribas | 9.0 | 11.0 | BNP Paribas |
| Citigroup Global Markets Limited | 4.0 | 6.0 | Citigroup Global Markets Limited |
| Credit Suisse International | 5.0 | 7.0 | Credit Suisse International |
| Deutsche Bank AG, London | 10.0 | 12.0 | Deutsche Bank AG, London |
| Goldman Sachs International | 5.0 | 7.0 | Goldman Sachs International |
| JPMorgan Chase Bank, N.A. | 4.5 | 6.5 | JPMorgan Chase Bank, N.A. |
| Morgan Stanley & Co. International plc | 5.75 | 7.75 | Morgan Stanley & Co. International plc |
| Nomura International PLC | 5.5 | 7.5 | Nomura International PLC |
| Societe Generale | 11.0 | 13.0 | Societe Generale |
| UBS AG | 2.25 | 4.25 | UBS AG |
Initial Market Midpoint: 6.5
Adjustment Amounts
Societe Generale
EUR 45,000
Deutsche Bank AG, London
EUR 35,000
BNP Paribas
EUR 25,000
Barclays Bank PLC
EUR 5,000
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| Bank of America, N.A. | Offer | 0.85 |
| Citigroup Global Markets Limited | Offer | 0.0 |
| Goldman Sachs International | Offer | 4.25 |
| Nomura International PLC | Offer | 0.0 |
| UBS AG | Offer | 354.7 |
| Barclays Bank PLC | Bid | 8.5 |
| BNP Paribas | Bid | 0.15 |
| Credit Suisse International | Bid | 12.0 |
| Deutsche Bank AG, London | Bid | 2.2 |
| JPMorgan Chase Bank, N.A. | Bid | 3.0 |
| Morgan Stanley & Co. International plc | Bid | 2.05 |
| Societe Generale | Bid | 2.5 |
Net Open Interest: EUR 329.4 million to sell
| Sum of Buy Physical Requests | 30.4m |
| Sum of Sell Physical Requests | 359.8m |
| Sum of Physical Request Trades | 30.4m |
| Sum of Limit Order Trades | 329.4m |
Limit Orders
| Dealer | Bid | Size |
|---|---|---|
| Goldman Sachs International | 7.5* | 9.95 |
| Morgan Stanley & Co. International plc | 6.75* | 30.0 |
| Societe Generale** | 6.5* | 1.0 |
| Deutsche Bank AG, London** | 6.5* | 1.0 |
| BNP Paribas** | 6.5* | 1.0 |
| Barclays Bank PLC** | 6.5* | 1.0 |
| Morgan Stanley & Co. International plc | 6.125* | 70.0 |
| Morgan Stanley & Co. International plc | 6.0* | 20.0 |
| Barclays Bank PLC | 6.0* | 10.0 |
| UBS AG | 6.0* | 3.0 |
| UBS AG | 6.0* | 2.0 |
| UBS AG | 6.0* | 0.5 |
| UBS AG | 5.875* | 2.8 |
| UBS AG | 5.875* | 2.2 |
| Morgan Stanley & Co. International plc** | 5.75* | 1.0 |
| Morgan Stanley & Co. International plc | 5.625* | 30.0 |
| Nomura International PLC** | 5.5* | 1.0 |
| Bank of America, N.A.** | 5.5* | 1.0 |
| Citigroup Global Markets Limited | 5.125* | 70.0 |
| Barclays Bank PLC | 5.0* | 10.0 |
| Goldman Sachs International** | 5.0* | 1.0 |
| Credit Suisse International** | 5.0* | 1.0 |
| Citigroup Global Markets Limited | 4.625^ | 127.0 |
| JPMorgan Chase Bank, N.A.** | 4.5 | 1.0 |
| Citigroup Global Markets Limited | 4.125 | 25.0 |
| Barclays Bank PLC | 4.0 | 15.0 |
| Citigroup Global Markets Limited | 4.0 | 5.0 |
| Citigroup Global Markets Limited** | 4.0 | 1.0 |
| Credit Suisse International | 4.0 | 1.0 |
| Credit Suisse International | 3.625 | 1.0 |
| Citigroup Global Markets Limited | 3.5 | 5.0 |
| Barclays Bank PLC | 3.375 | 3.0 |
| Deutsche Bank AG, London | 3.125 | 150.0 |
| Citigroup Global Markets Limited | 3.125 | 80.0 |
| Barclays Bank PLC | 3.125 | 50.0 |
| Goldman Sachs International | 3.125 | 50.0 |
| Goldman Sachs International | 3.125 | 25.0 |
| UBS AG | 3.125 | 20.0 |
| Morgan Stanley & Co. International plc | 3.0 | 50.0 |
| Citigroup Global Markets Limited | 3.0 | 30.0 |
| Morgan Stanley & Co. International plc | 3.0 | 25.0 |
| Bank of America, N.A. | 3.0 | 15.0 |
| Barclays Bank PLC | 3.0 | 15.0 |
| UBS AG | 2.75 | 10.0 |
| Bank of America, N.A. | 2.625 | 10.0 |
| Credit Suisse International | 2.625 | 1.0 |
| Morgan Stanley & Co. International plc | 2.5 | 50.0 |
| Morgan Stanley & Co. International plc | 2.5 | 25.0 |
| Barclays Bank PLC | 2.375 | 185.0 |
| Goldman Sachs International | 2.375 | 50.0 |
| Bank of America, N.A. | 2.375 | 10.0 |
| Deutsche Bank AG, London | 2.25 | 200.0 |
| Citigroup Global Markets Limited | 2.25 | 100.0 |
| Goldman Sachs International | 2.25 | 50.0 |
| Goldman Sachs International | 2.25 | 25.0 |
| Goldman Sachs International | 2.25 | 10.0 |
| UBS AG** | 2.25 | 1.0 |
| Citigroup Global Markets Limited | 2.125 | 165.0 |
| Barclays Bank PLC | 2.125 | 75.0 |
| Credit Suisse International | 2.125 | 20.0 |
| Bank of America, N.A. | 2.125 | 10.0 |
| Barclays Bank PLC | 2.0 | 25.0 |
| Goldman Sachs International | 2.0 | 20.0 |
| Citigroup Global Markets Limited | 2.0 | 15.0 |
| Citigroup Global Markets Limited | 2.0 | 5.0 |
| Nomura International PLC | 2.0 | 5.0 |
| Bank of America, N.A. | 1.75 | 30.0 |
| Citigroup Global Markets Limited | 1.75 | 3.0 |
| UBS AG | 1.5 | 10.0 |
| Nomura International PLC | 1.5 | 5.0 |
| Citigroup Global Markets Limited | 1.5 | 3.0 |
| Barclays Bank PLC | 1.375 | 10.0 |
| Bank of America, N.A. | 1.25 | 75.0 |
| UBS AG | 1.25 | 50.0 |
| Morgan Stanley & Co. International plc | 1.25 | 50.0 |
| Citigroup Global Markets Limited | 1.25 | 3.0 |
| Citigroup Global Markets Limited | 1.125 | 329.4 |
| Morgan Stanley & Co. International plc | 1.125 | 100.0 |
| Credit Suisse International | 1.125 | 100.0 |
| Barclays Bank PLC | 1.125 | 100.0 |
| Credit Suisse International | 1.125 | 3.0 |
| Morgan Stanley & Co. International plc | 1.0 | 208.0 |
| Citigroup Global Markets Limited | 1.0 | 80.0 |
| UBS AG | 1.0 | 50.0 |
| Goldman Sachs International | 1.0 | 10.0 |
| Citigroup Global Markets Limited | 1.0 | 6.0 |
| Nomura International PLC | 1.0 | 5.0 |
| Goldman Sachs International | 0.75 | 10.0 |
| Citigroup Global Markets Limited | 0.75 | 8.0 |
| JPMorgan Chase Bank, N.A. | 0.625 | 100.0 |
| Bank of America, N.A. | 0.625 | 80.0 |
| Barclays Bank PLC | 0.625 | 25.0 |
| Citigroup Global Markets Limited | 0.5 | 229.0 |
| Credit Suisse International | 0.5 | 150.0 |
| Goldman Sachs International | 0.5 | 100.0 |
| Credit Suisse International | 0.5 | 40.0 |
| Citigroup Global Markets Limited | 0.5 | 20.0 |
| Citigroup Global Markets Limited | 0.5 | 20.0 |
| Nomura International PLC | 0.5 | 5.0 |
| Citigroup Global Markets Limited | 0.375 | 329.0 |
| Credit Suisse International | 0.375 | 250.0 |
| JPMorgan Chase Bank, N.A. | 0.375 | 220.0 |
| Bank of America, N.A. | 0.375 | 98.0 |
| Credit Suisse International | 0.25 | 325.0 |
| Citigroup Global Markets Limited | 0.25 | 52.0 |
| Goldman Sachs International | 0.25 | 20.0 |
| Credit Suisse International | 0.125 | 325.0 |
** Limit Orders that were derived from inside markets.
* Limit Orders that were filled.
^ Limit Orders that were partially filled.