Residential Cap LLC Auction Results, 06 June 2012
Final Results of the Residential Cap LLC CDS Auction, 06 June 2012
Final Price: 17.625
On 06 June 2012, 12 dealers submitted initial markets, physical settlement requests and limit orders to the Residential Cap LLC auction administered by Creditex and S&P Global to settle trades across the market referencing Residential Capital, LLC.
| Relevant Currency |
|---|
| USD |
| Auction Currency Rates | |
|---|---|
| USD/EUR | 0.80231 |
| USD/GBP | 0.65060 |
| 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 | 18.0 | 20.0 | BNP Paribas |
| Citigroup Global Markets Inc. | 17.0 | 19.0 | Citigroup Global Markets Inc. |
| Credit Suisse International | 17.5 | 19.5 | Credit Suisse International |
| Deutsche Bank AG | 17.0 | 19.0 | Deutsche Bank AG |
| Goldman Sachs & Co. | 19.0 | 21.0 | Goldman Sachs & Co. |
| JPMorgan Securities, LLC | 18.0 | 20.0 | JPMorgan Securities, LLC |
| Merrill Lynch Pierce, Fenner & Smith Inc. | 17.75 | 19.75 | Merrill Lynch Pierce, Fenner & Smith Inc. |
| Morgan Stanley & Co. LLC | 17.5 | 19.5 | Morgan Stanley & Co. LLC |
| Nomura International Plc | 17.25 | 19.25 | Nomura International Plc |
| Societe Generale | 18.625 | 20.625 | Societe Generale |
| UBS Securities LLC | 17.5 | 19.5 | UBS Securities LLC |
Initial Market Midpoint: 18.625
Adjustment Amounts
No Adjustment Amount
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| Citigroup Global Markets Inc. | Offer | 520.0 |
| UBS Securities LLC | Offer | 24.6 |
| Barclays Bank Plc | Bid | 9.0 |
| BNP Paribas | Bid | 12.5 |
| Credit Suisse International | Bid | 7.6 |
| Deutsche Bank AG | Bid | 35.097 |
| Goldman Sachs & Co. | Bid | 345.0 |
| JPMorgan Securities, LLC | Bid | 60.0 |
| Merrill Lynch Pierce, Fenner & Smith Inc. | Bid | 41.421 |
| Morgan Stanley & Co. LLC | Bid | 41.014 |
| Nomura International Plc | Bid | 20.0 |
| Societe Generale | Bid | 2.0 |
Net Open Interest: USD 29.032 million to buy
| Sum of Buy Physical Requests | 573.632m |
| Sum of Sell Physical Requests | 544.6m |
| Sum of Physical Request Trades | 544.6m |
| Sum of Limit Order Trades | 29.032m |
Limit Orders
| Dealer | Offer | Size |
|---|---|---|
| Citigroup Global Markets Inc. | 17.625* | 29.032 |
| Citigroup Global Markets Inc.** | 19.0 | 2.0 |
| Deutsche Bank AG** | 19.0 | 2.0 |
| Barclays Bank Plc** | 19.0 | 2.0 |
| Nomura International Plc** | 19.25 | 2.0 |
| UBS Securities LLC** | 19.5 | 2.0 |
| Morgan Stanley & Co. LLC** | 19.5 | 2.0 |
| Credit Suisse International** | 19.5 | 2.0 |
| Merrill Lynch Pierce, Fenner & Smith Inc.** | 19.75 | 2.0 |
| BNP Paribas** | 20.0 | 2.0 |
| JPMorgan Securities, LLC** | 20.0 | 2.0 |
| Societe Generale** | 20.625 | 2.0 |
| Goldman Sachs & Co.** | 21.0 | 2.0 |
| Goldman Sachs & Co. | 24.875 | 29.032 |
| JPMorgan Securities, LLC | 80.0 | 10.0 |
| JPMorgan Securities, LLC | 90.0 | 15.0 |
** Limit Orders that were derived from inside markets.
* Limit Orders that were filled.
^ Limit Orders that were partially filled.