Credit Event Advisory - CME Clearing Credit Event Processing for AMR Corporation

CME Group - OTC

DATE:  December 1, 2011
SUBJECT:  Credit Event Advisory - CME Clearing Credit Event Processing for AMR Corporation

The ISDA Determinations Committee has announced that an auction, or series thereof, will be held in respect of AMR Corporation on December 15th 2011. See the following:
http://www.isda.org/credit/ 

AMR Corporation is referenced in the following CME cleared CDX North American High Yield Indices:

  • CDX.HY11V18.SR.XR.USD
  • CDX.HY12V9.SR.XR.USD
  • CDX.HY13V3.SR.XR.USD
  • CDX.HY14V2.SR.XR.USD
  • CDX.HY15V2.SR.XR.USD

The CME final processing date for this credit event will be the business day following the final price determination date. This means, if the auction is successful on December 15th, then the CME final processing day will be December 16th. 

The current version of the index will be tradable through the final price determination date. The new version of the index will be made available for trading start of day on the business day following the final price determination date.