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 email@example.com with any questions regarding this update.
CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.