Credit Event Advisory - Credit Event declared for AMR Corporation.

CME Group - OTC

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: 
http://www.isda.org/credit/
The Event Determination Date is November 29, 2011.

The 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 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 onboarding@cmegroup.com with any questions regarding this update.

Regards,
CME Clearing