Northern Rock (Asset Management) plc Auction Results, 02 February 2012
For Bucket 1 the Auction Final Price was determined to be greater than 100 percent. Therefore, for purposes of settling the Auction Covered Transactions only, the Auction Final Price will be deemed to be 100 percent pursuant to Section 12(f) of the Auction Settlement Terms. For purposes of settling Representative Auction-Settled Transactions, the Auction Final Price will be 104.25.
Northern Rock (Asset Management) plc CDS Bucket 1
Northern Rock (Asset Management) plc CDS Bucket 2
Final Results of the Northern Rock (Asset Management) plc CDS Auction, 02 February 2012
On 02 February 2012, 13 dealers submitted initial markets, physical settlement requests and limit orders to the Northern Rock (Asset Management) plc auction administered by Creditex and S&P Global to settle trades across the market referencing NORTHERN ROCK (ASSET MANAGEMENT) PLC.
The Northern Rock (Asset Management) plc Deliverable Obligations are denominated in EUR,GBP,USD.
| Relevant Currency |
|---|
| EUR |
| Auction Currency Rates | |
|---|---|
| EUR/EUR | 1.00000 |
| EUR/GBP | 1.20550 |
| EUR/USD | 0.76391 |
The inputs and results are detailed below.
Dealer Initial Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Bank of America N.A. | 97.125 | 100.125 | Bank of America N.A. |
| Barclays Bank PLC | 103.0 | 106.0 | Barclays Bank PLC |
| BNP Paribas | 98.0 | 101.0 | BNP Paribas |
| Citigroup Global Markets Limited | 97.0 | 100.0 | Citigroup Global Markets Limited |
| Credit Suisse International | 99.5 | 102.5 | Credit Suisse International |
| Deutsche Bank AG | 97.0 | 100.0 | Deutsche Bank AG |
| Goldman Sachs International | 98.0 | 101.0 | Goldman Sachs International |
| JPMorgan Chase Bank N.A. | 96.0 | 99.0 | JPMorgan Chase Bank N.A. |
| Morgan Stanley & Co. International PLC | 97.0 | 100.0 | Morgan Stanley & Co. International PLC |
| Nomura International PLC | 102.0 | 105.0 | Nomura International PLC |
| Société Générale | 97.5 | 100.5 | Société Générale |
| The Royal Bank of Scotland PLC | 97.0 | 100.0 | The Royal Bank of Scotland PLC |
| UBS AG | 99.0 | 102.0 | UBS AG |
Adjustment Amounts
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| Bank of America N.A. | Offer | 0.0 |
| Barclays Bank PLC | Offer | 0.0 |
| BNP Paribas | Offer | 0.0 |
| Citigroup Global Markets Limited | Offer | 0.0 |
| Deutsche Bank AG | Offer | 0.0 |
| Goldman Sachs International | Offer | 0.0 |
| JPMorgan Chase Bank N.A. | Offer | 0.0 |
| Morgan Stanley & Co. International PLC | Offer | 0.0 |
| Nomura International PLC | Offer | 0.0 |
| Société Générale | Offer | 0.0 |
| The Royal Bank of Scotland PLC | Offer | 0.0 |
| UBS AG | Offer | 0.0 |
| Credit Suisse International | Bid | 17.5 |
| Sum of Buy Physical Requests | 17.5m |
| Sum of Sell Physical Requests | 0.0m |
| Sum of Physical Request Trades | 0.0m |
| Sum of Limit Order Trades | 17.5m |
Limit Orders
| Dealer | Offer | Size |
|---|---|---|
| JPMorgan Chase Bank N.A.** | 99.25* | 1.0 |
| Citigroup Global Markets Limited** | 100.0* | 1.0 |
| The Royal Bank of Scotland PLC** | 100.0* | 1.0 |
| Deutsche Bank AG** | 100.0* | 1.0 |
| Morgan Stanley & Co. International PLC** | 100.0* | 1.0 |
| Bank of America N.A.** | 100.125* | 1.0 |
| Société Générale** | 100.5* | 1.0 |
| Goldman Sachs International** | 101.0* | 1.0 |
| BNP Paribas** | 101.0* | 1.0 |
| UBS AG** | 102.0* | 1.0 |
| Credit Suisse International** | 102.5* | 1.0 |
| JPMorgan Chase Bank N.A. | 104.25^ | 10.0 |
| Nomura International PLC** | 105.0 | 1.0 |
| Barclays Bank PLC** | 106.0 | 1.0 |
** Limit Orders that were derived from inside markets.
* Limit Orders that were filled.
^ Limit Orders that were partially filled.
topFinal Results of the Northern Rock (Asset Management) plc CDS Auction, 02 February 2012
On 02 February 2012, 13 dealers submitted initial markets, physical settlement requests and limit orders to the Northern Rock (Asset Management) plc auction administered by Creditex and S&P Global to settle trades across the market referencing NORTHERN ROCK (ASSET MANAGEMENT) PLC.
The Northern Rock (Asset Management) plc Deliverable Obligations are denominated in EUR,GBP,USD.
| Relevant Currency |
|---|
| EUR |
| Auction Currency Rates | |
|---|---|
| EUR/EUR | 1.00000 |
| EUR/GBP | 1.20550 |
| EUR/USD | 0.76391 |
The inputs and results are detailed below.
Dealer Initial Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Bank of America N.A. | 96.5 | 99.5 | Bank of America N.A. |
| Barclays Bank PLC | 102.5 | 105.5 | Barclays Bank PLC |
| BNP Paribas | 97.0 | 100.0 | BNP Paribas |
| Citigroup Global Markets Limited | 97.0 | 100.0 | Citigroup Global Markets Limited |
| Credit Suisse International | 96.0 | 99.0 | Credit Suisse International |
| Deutsche Bank AG | 97.0 | 100.0 | Deutsche Bank AG |
| Goldman Sachs International | 98.0 | 101.0 | Goldman Sachs International |
| JPMorgan Chase Bank N.A. | 96.0 | 99.0 | JPMorgan Chase Bank N.A. |
| Morgan Stanley & Co. International PLC | 94.0 | 97.0 | Morgan Stanley & Co. International PLC |
| Nomura International PLC | 102.0 | 105.0 | Nomura International PLC |
| Société Générale | 97.5 | 100.5 | Société Générale |
| The Royal Bank of Scotland PLC | 96.0 | 99.0 | The Royal Bank of Scotland PLC |
| UBS AG | 98.0 | 101.0 | UBS AG |
Adjustment Amounts
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| Barclays Bank PLC | Offer | 0.0 |
| BNP Paribas | Offer | 0.0 |
| Citigroup Global Markets Limited | Offer | 0.0 |
| Credit Suisse International | Offer | 0.0 |
| Deutsche Bank AG | Offer | 0.0 |
| Goldman Sachs International | Offer | 0.0 |
| JPMorgan Chase Bank N.A. | Offer | 0.0 |
| Morgan Stanley & Co. International PLC | Offer | 0.0 |
| Nomura International PLC | Offer | 0.0 |
| Société Générale | Offer | 0.0 |
| The Royal Bank of Scotland PLC | Offer | 0.0 |
| UBS AG | Offer | 0.0 |
| Bank of America N.A. | Bid | 11.0 |
| Sum of Buy Physical Requests | 11.0m |
| Sum of Sell Physical Requests | 0.0m |
| Sum of Physical Request Trades | 0.0m |
| Sum of Limit Order Trades | 11.0m |
Limit Orders
| Dealer | Offer | Size |
|---|---|---|
| Morgan Stanley & Co. International PLC** | 98.5* | 1.0 |
| JPMorgan Chase Bank N.A.** | 99.0* | 1.0 |
| Credit Suisse International** | 99.0* | 1.0 |
| The Royal Bank of Scotland PLC** | 99.0* | 1.0 |
| Credit Suisse International | 99.125^ | 9.0 |
| Bank of America N.A. | 99.5 | 10.0 |
| Bank of America N.A.** | 99.5 | 1.0 |
| Citigroup Global Markets Limited** | 100.0 | 1.0 |
| Deutsche Bank AG** | 100.0 | 1.0 |
| BNP Paribas** | 100.0 | 1.0 |
| Société Générale** | 100.5 | 1.0 |
| UBS AG** | 101.0 | 1.0 |
| Goldman Sachs International** | 101.0 | 1.0 |
| Nomura International PLC** | 105.0 | 1.0 |
| Barclays Bank PLC** | 105.5 | 1.0 |
** Limit Orders that were derived from inside markets.
* Limit Orders that were filled.
^ Limit Orders that were partially filled.
top