Market Activity Analysis

Performed for ISDA Credit Steering Committee (CSC)

Most liquid (top 1,000 traded) single-name credit default swaps (CDS) with details
» Market Risk Activity Analysis (.xlsx) from December 21, 2009 through June 20, 2010

Note: As an extension to the previous Market Activity Analysis conducted by Depository Trust and Clearing Corporation (DTCC) on behalf of dealers, buy-side institutions and industry associations, DTCC has been asked to produce an additional transparency study on the most liquid (top 1,000 traded) single-name credit default swaps (CDS) with additional details including standard coupons and quarterly maturity buckets. View the complete explanation of this data.

Trade Information Warehouse Data

The data provided is divided into four sections. For detailed information, view the Explanation of Trade Information Warehouse Data.

Section I:

Data on all live positions in the Trade Information Warehouse
Section I (Tables 1 - 8) provides data on all live positions in the Warehouse as of specified date.

» Select data on all live positions in the Trade Information Warehouse, current and historical.

Section II:

Change in weekly activity for Trade Information Warehouse positions
Section II (Tables 9 - 16) provides information on the change in weekly activity for Trade Information Warehouse positions.

» Change in weekly activity as of specified date for Trade Information Warehouse positions.

Section III:

Weekly transaction activity in the Trade Information Warehouse
Section III (Tables 17 - 23) provides information on all transaction activity, such as new trades, assignments, and terminations that were confirmed within the specified week reflecting either an increase or decrease in overall positions. Section IV provides information on the top 1000 single name reference entities.

» Weekly transaction activity as of specified date for Trade Information Warehouse positions.

Section IV:

Weekly Market Risk Transaction Activity in the Trade Information Warehouse
Section IV provides weekly activity where market participants were engaging in market risk transfer activity. The transaction types include new trades between two parties, a termination of an existing transaction, or the new leg of an assignment representing the trade between the step-in party and the remaining party. Section IV excludes transactions which did not result in a change in the market risk position of the market participants, and are not market activity.

» Weekly market activity for top 1000 single name reference entities as of a specified date for Trade Information Warehouse positions.

Market-Activity Snapshot

Aggregated Transaction Data by Reference Entity of Single-Name Credit Default Swaps (CDS) from June 20, 2009 through March 19, 2010
» Market-activity snapshot June 20, 2009 through March 19, 2010 for all single-named credit default swap (CDS) reference entities.

Note: Provided at the request of market participants to assess which of the various single reference entities might have sufficient liquidity to be cleared through a central counterparty (CCP).