DATE: Thursday, December 1, 2011
SUBJECT: Credit Event Advisory - Credit Event declared for AMR Corporation.
The ISDA Determinations Committee has determined that a Bankruptcy Credit Event occurred with respect to AMR Corporation. See the following:
The Event Determination Date is November 29, 2011.
The AMR Corporation is referenced in the following CME cleared CDX North American High Yield Indices:
The initial processing date for this credit event will be December 1, 2011.
Note: Since CME Clearing only offers index contracts there will be no single-name contract affected by this Credit Event, nor will there be a recovery swap made available for clearing on this single name.
Another advisory notice will be published detailing next steps in the settlement process and re-versioning of the affected indices.
Please contact firstname.lastname@example.org with any questions regarding this update.
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