Syncora Auction Results, 27th May 2009
Final Results of the Syncora CDS Auction, 27th May 2009
Final Price: 15
On 27th May 2009, 11 dealers submitted inside markets, physical settlement requests and limit orders to the Syncora auction administered by Creditex and S&P Global to settle trades across the market referencing Syncora Guarantee Inc..
The Syncora Deliverable Obligations are denominated in USD .
| Relevant Currency |
|---|
| USD |
| Auction Currency Rates | |
|---|---|
| USD/USD | 1.00000 |
The inputs and results are detailed below.
Dealer Inside Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Bank of America / Merrill Lynch | 12.25 | 15.25 | Bank of America / Merrill Lynch |
| Barclays | 9 | 11 | Barclays |
| BNP Paribas | 12 | 15 | BNP Paribas |
| Citibank | 6 | 9 | Citibank |
| Credit Suisse | 11 | 14 | Credit Suisse |
| Deutsche Bank AG | 11.5 | 13.5 | Deutsche Bank AG |
| Goldman Sachs | 9 | 12 | Goldman Sachs |
| JPMorgan Chase Bank, N.A. | 11 | 14 | JPMorgan Chase Bank, N.A. |
| Morgan Stanley | 13 | 16 | Morgan Stanley |
| The Royal Bank of Scotland | 14 | 17 | The Royal Bank of Scotland |
| UBS | 6 | 9 | UBS |
Inside Market Midpoint: 12.375
Adjustment Amounts
Citibank: $67,500
UBS: $67,500
Barclays: $27,500
Goldman Sachs: $7,500
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| BNP Paribas | Offer | 0 |
| Bank of America / Merrill Lynch | Offer | 0 |
| Barclays | Offer | 31.076 |
| Citibank | Offer | 100 |
| Credit Suisse | Offer | 0 |
| Goldman Sachs | Offer | 0 |
| Morgan Stanley | Offer | 0 |
| The Royal Bank of Scotland | Offer | 0 |
| Deutsche Bank AG | Bid | 134 |
| JPMorgan Chase Bank, N.A. | Bid | 92.5 |
| UBS | Bid | 139.5 |
Net Open Interest: $234.924 million to buy
| Sum of Buy Physical Requests | $366.000m |
| Sum of Sell Physical Requests | $131.076m |
| Sum of Physical Request Trades | $131.076m |
| Sum of Limit Order Trades | $234.924m |
Limit Orders
| Dealer | Bid | Size |
|---|---|---|
| Citibank | 11.375* | 73.771 |
| Barclays | 11.375* | 13.02 |
| Barclays | 11.375* | 0.002 |
| Credit Suisse | 11.375* | 3.097 |
| Citibank | 11.375* | 17.694 |
| Morgan Stanley | 12* | 0.72 |
| Barclays** | 12.375* | 2 |
| Citibank** | 12.375* | 2 |
| Goldman Sachs** | 12.375* | 2 |
| UBS** | 12.375* | 2 |
| Goldman Sachs | 13* | 0.167 |
| Citibank | 13.5* | 25 |
| Deutsche Bank AG** | 13.5* | 2 |
| Bank of America / Merrill Lynch | 13.875* | 30 |
| JPMorgan Chase Bank, N.A.** | 14* | 2 |
| Credit Suisse** | 14* | 2 |
| Bank of America / Merrill Lynch | 14.25* | 25 |
| Barclays | 14.25* | 6.819 |
| Citibank | 14.5* | 25 |
| Citibank | 15^ | 25 |
| BNP Paribas** | 15^ | 2 |
| Bank of America / Merrill Lynch** | 15.25 | 2 |
| Citibank | 15.5 | 25 |
| Morgan Stanley** | 16 | 2 |
| Citibank | 16 | 9.394 |
| Citibank | 16 | 5.068 |
| Citibank | 16 | 17.719 |
| Morgan Stanley | 16 | 1.265 |
| Citibank | 16 | 25.153 |
| Citibank | 16.5 | 9.958 |
| Morgan Stanley | 16.5 | 9.958 |
| The Royal Bank of Scotland** | 17 | 2 |
| Bank of America / Merrill Lynch | 18 | 50 |
| Bank of America / Merrill Lynch | 20 | 100 |
| Morgan Stanley | 21.5 | 7.552 |
| Barclays | 26 | 0.335 |
| Credit Suisse | 29 | 11.398 |
| Barclays | 30 | 11.452 |
| Credit Suisse | 34 | 28.596 |
| Credit Suisse | 37 | 13.942 |
| JPMorgan Chase Bank, N.A. | 50 | 10 |
| Barclays | 55 | 13.523 |
| JPMorgan Chase Bank, N.A. | 80 | 10 |
** Limit Orders that were derived from inside markets.
* Limit Orders that were filled.
^ Limit Orders that were partially filled.
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