Aiful Auction Results, 25 March 2010
Final Results of the Aiful CDS Auction, 25 March 2010
Final Price: 33.875
On 25 March 2010, 13 dealers submitted inside markets, physical settlement requests and limit orders to the Aiful auction administered by Creditex and S&P Global to settle trades across the market referencing Aiful Corporation.
The Aiful Deliverable Obligations are denominated in JPY and USD.
| Relevant Currency |
|---|
| JPY |
| Auction Currency Rates | |
|---|---|
| JPY/USD | 90.34000 |
| JPY/JPY | 1.00000 |
The inputs and results are detailed below.
Dealer Inside Markets
| Dealer | Bid | Offer | Dealer |
|---|---|---|---|
| Bank of America Securities LLC | 29 | 34 | Bank of America Securities LLC |
| Barclays Capital Japan Limited | 36 | 41 | Barclays Capital Japan Limited |
| BNP Paribas Securities (Japan) Limited, Tokyo Branch | 29 | 34 | BNP Paribas Securities (Japan) Limited, Tokyo Branch |
| Citigroup Global Markets Japan Inc. | 28.5 | 33.5 | Citigroup Global Markets Japan Inc. |
| Credit Suisse International | 34 | 39 | Credit Suisse International |
| Deutsche Bank AG | 25.875 | 30.875 | Deutsche Bank AG |
| Goldman Sachs International | 29.5 | 34.5 | Goldman Sachs International |
| JPM Securities Japan Co., Ltd. | 28 | 33 | JPM Securities Japan Co., Ltd. |
| Mizuho Securities Co., Ltd. | 30 | 35 | Mizuho Securities Co., Ltd. |
| Morgan Stanley Japan Securities Co., Ltd. | 28 | 33 | Morgan Stanley Japan Securities Co., Ltd. |
| Nomura Securities Co., Ltd. | 27.5 | 32.5 | Nomura Securities Co., Ltd. |
| The Royal Bank of Scotland PLC | 30.5 | 35.5 | The Royal Bank of Scotland PLC |
| UBS Securities Japan Ltd | 26 | 31 | UBS Securities Japan Ltd |
Inside Market Midpoint: 31.375
Adjustment Amounts
Barclays Capital Japan Limited: JPY 9,250,000
Credit Suisse International: JPY 5,250,000
Physical Settlement Requests
| Dealer | Bid/Offer | Size |
|---|---|---|
| BNP Paribas Securities (Japan) Limited, Tokyo Branch | Offer | 400.0 |
| Bank of America Securities LLC | Offer | 0.0 |
| Citigroup Global Markets Japan Inc. | Offer | 0.0 |
| Credit Suisse International | Offer | 0.0 |
| Deutsche Bank AG | Offer | 0.0 |
| Goldman Sachs International | Offer | 6,000.0 |
| JPM Securities Japan Co., Ltd. | Offer | 7,200.0 |
| Mizuho Securities Co., Ltd. | Offer | 3,000.0 |
| Nomura Securities Co., Ltd. | Offer | 0.0 |
| The Royal Bank of Scotland PLC | Offer | 0.0 |
| UBS Securities Japan Ltd | Offer | 7,100.0 |
| Barclays Capital Japan Limited | Bid | 5,769.4 |
| Morgan Stanley Japan Securities Co., Ltd. | Bid | 910.0 |
Net Open Interest: JPY 17,020.6 million to sell
| Sum of Buy Physical Requests | JPY 6,679.4m |
| Sum of Sell Physical Requests | JPY 23,700.0m |
| Sum of Physical Request Trades | JPY 6,679.4m |
| Sum of Limit Order Trades | JPY 17,020.6m |
Limit Orders
| Dealer | Bid | Size |
|---|---|---|
| Bank of America Securities LLC | 33.875^ | 13,000.0 |
| UBS Securities Japan Ltd | 33.875^ | 6,000.0 |
| UBS Securities Japan Ltd | 33.875^ | 4,600.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 33.875^ | 3,672.0 |
| BNP Paribas Securities (Japan) Limited, Tokyo Branch | 33.875^ | 400.0 |
| The Royal Bank of Scotland PLC | 33 | 5,000.0 |
| BNP Paribas Securities (Japan) Limited, Tokyo Branch | 32.375 | 5,000.0 |
| Bank of America Securities LLC | 32.125 | 500.0 |
| UBS Securities Japan Ltd | 32 | 1,500.0 |
| Citigroup Global Markets Japan Inc. | 31.625 | 1,000.0 |
| The Royal Bank of Scotland PLC | 31.5 | 12,000.0 |
| Barclays Capital Japan Limited | 31.375 | 1,280.6 |
| Nomura Securities Co., Ltd. | 31.375 | 500.0 |
| Nomura Securities Co., Ltd. | 31.375 | 500.0 |
| Credit Suisse International** | 31.375 | 200.0 |
| Barclays Capital Japan Limited** | 31.375 | 200.0 |
| Deutsche Bank AG | 31.25 | 2,000.0 |
| Bank of America Securities LLC | 31.125 | 500.0 |
| BNP Paribas Securities (Japan) Limited, Tokyo Branch | 31 | 5,000.0 |
| Citigroup Global Markets Japan Inc. | 30.625 | 5,000.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 30.625 | 1,836.0 |
| Citigroup Global Markets Japan Inc. | 30.625 | 1,000.0 |
| The Royal Bank of Scotland PLC** | 30.5 | 200.0 |
| UBS Securities Japan Ltd | 30.25 | 1,000.0 |
| Bank of America Securities LLC | 30.125 | 500.0 |
| The Royal Bank of Scotland PLC | 30 | 5,000.0 |
| Mizuho Securities Co., Ltd.** | 30 | 200.0 |
| Goldman Sachs International** | 29.5 | 200.0 |
| Deutsche Bank AG | 29.25 | 10,000.0 |
| Bank of America Securities LLC | 29.125 | 500.0 |
| Bank of America Securities LLC** | 29 | 200.0 |
| BNP Paribas Securities (Japan) Limited, Tokyo Branch** | 29 | 200.0 |
| JPM Securities Japan Co., Ltd. | 28.5 | 10,000.0 |
| Deutsche Bank AG | 28.5 | 2,000.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 28.5 | 1,218.0 |
| Citigroup Global Markets Japan Inc.** | 28.5 | 200.0 |
| Bank of America Securities LLC | 28.125 | 500.0 |
| Nomura Securities Co., Ltd. | 28.125 | 500.0 |
| Morgan Stanley Japan Securities Co., Ltd.** | 28 | 200.0 |
| JPM Securities Japan Co., Ltd.** | 28 | 200.0 |
| UBS Securities Japan Ltd | 27.75 | 10,000.0 |
| Citigroup Global Markets Japan Inc. | 27.625 | 800.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 27.5 | 10,000.0 |
| Nomura Securities Co., Ltd. | 27.5 | 300.0 |
| Nomura Securities Co., Ltd.** | 27.5 | 200.0 |
| Bank of America Securities LLC | 27.125 | 500.0 |
| Deutsche Bank AG | 27 | 3,000.0 |
| Goldman Sachs International | 27 | 3,000.0 |
| UBS Securities Japan Ltd | 26.5 | 2,000.0 |
| Bank of America Securities LLC | 26.125 | 500.0 |
| Deutsche Bank AG | 26.125 | 400.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 26 | 7,000.0 |
| Barclays Capital Japan Limited | 26 | 2,000.0 |
| UBS Securities Japan Ltd** | 26 | 200.0 |
| Deutsche Bank AG** | 25.875 | 200.0 |
| UBS Securities Japan Ltd | 25.75 | 6,000.0 |
| Citigroup Global Markets Japan Inc. | 25.625 | 2,000.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 25.625 | 1,836.0 |
| Citigroup Global Markets Japan Inc. | 25.625 | 1,000.0 |
| Barclays Capital Japan Limited | 25.5 | 500.0 |
| Bank of America Securities LLC | 25.125 | 500.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 25 | 12,418.0 |
| JPM Securities Japan Co., Ltd. | 24 | 2,000.0 |
| Deutsche Bank AG | 21.25 | 5,000.0 |
| Goldman Sachs International | 20.625 | 14,000.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 20.625 | 1,836.0 |
| Citigroup Global Markets Japan Inc. | 20.625 | 500.0 |
| JPM Securities Japan Co., Ltd. | 20.25 | 1,000.0 |
| Citigroup Global Markets Japan Inc. | 20.125 | 500.0 |
| Barclays Capital Japan Limited | 20 | 2,000.0 |
| Citigroup Global Markets Japan Inc. | 19.625 | 500.0 |
| Citigroup Global Markets Japan Inc. | 19.125 | 500.0 |
| Citigroup Global Markets Japan Inc. | 18.625 | 500.0 |
| Citigroup Global Markets Japan Inc. | 18.125 | 500.0 |
| Citigroup Global Markets Japan Inc. | 17.625 | 500.0 |
| Citigroup Global Markets Japan Inc. | 17.125 | 500.0 |
| Citigroup Global Markets Japan Inc. | 17 | 5,000.0 |
| Citigroup Global Markets Japan Inc. | 16.625 | 500.0 |
| Citigroup Global Markets Japan Inc. | 16.125 | 500.0 |
| Nomura Securities Co., Ltd. | 16 | 3,000.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 15.625 | 1,836.0 |
| Citigroup Global Markets Japan Inc. | 15.625 | 500.0 |
| JPM Securities Japan Co., Ltd. | 15 | 17,000.0 |
| BNP Paribas Securities (Japan) Limited, Tokyo Branch | 15 | 2,000.0 |
| UBS Securities Japan Ltd | 15 | 1,000.0 |
| Barclays Capital Japan Limited | 12 | 3,000.0 |
| Citigroup Global Markets Japan Inc. | 10 | 300.0 |
| Deutsche Bank AG | 5 | 10,000.0 |
| Morgan Stanley Japan Securities Co., Ltd. | 4.875 | 17,000.0 |
** Limit Orders that were derived from inside markets.
* Limit Orders that were filled.
^ Limit Orders that were partially filled.
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