DTCC Connection

Aug 02, 2010 • DTCC Connection

DTCC Further Expands Public Release Of CDS Data

by Judy Inosanto


DTCC further expanded its public release of credit default swap (CDS) data, providing more detailed market segmentation information on the largest corporate and sovereign CDS (single-named reference entities) registered in its Trade Information Warehouse’s global repository.


More on This Topic

This extension of the data posted on DTCC’s website (www.dtcc.com) will enable the public to assess key characteristics of these CDS contracts more efficiently and is another step in DTCC’s ongoing efforts to bring greater transparency to the over-the-counter (OTC) derivatives market.


More on tables 6 and 14

DTCC now includes specific additional information to that already shown in tables 6 and 14 for the top 1,000 single-reference entities posted on its website.


This new information will cover the type of market (e.g., corporate, government), sector (e.g., financial services, sovereign) and the International Swaps and Derivatives Association (ISDA®) Determinations Committee Region (e.g., Americas, Europe, Japan, Asia Ex-Japan and Australia NZ) for each single-named reference entity.


– Stewart Macbeth, DTCC general manager, Trade Information Warehouse


New Section 4

DTCC is also posting a new table showing traded activity on a weekly basis initially for the top 1,000 single-named reference entities. This table, published in a new Section 4, is an extension of a report released last June and can be used to understand contract liquidity better.


Similar to the data issued in June, the table will show traded activity levels and exclude certain contractual booking events (e.g., rebooking for clearing and portfolio compression) that are not representative of price-making activity. Further enhancements will continue to be made to enrich the data for asset types, such as indices and tranches.


‘A better view’

“We have seen considerable interest among market observers in getting a better view on the types of contracts and sectors that make up the largest portions of the CDS market, and see continued interest in volume levels,” said Stewart Macbeth, DTCC general manager, Trade Information Warehouse. “Adding these specific classifications to the gross and net notional values and number of CDS contracts already published for these single-reference entities will enhance the ability of the market to assess these contracts as part of a sector group or region. Providing additional traded volume information will build on the one-off report published in June, originally designed to give regulators more liquidity information, as they look at clearing.”


Global regulators

Upon request, DTCC provides global regulators with specific counterparty information needed to fulfill their regulatory mission.


DTCC currently provides regular reporting to more than 30 regulators across the globe, including the Federal Reserve Bank, the Securities and Exchange Commission, the Commodity Futures Trading Commission, the European Central Bank, the Banque de France, the U.K. Financial Services Authority, the Bank of Japan and the Hong Kong Securities and Futures Commission.


It is one of DTCC’s bedrock principles that all interested regulators should have unfettered access to Warehouse information to help further their respective regulatory missions. DTCC has also called for comparable access to data for regulators interested in specific trading patterns regardless of location. The standards for release of CDS data maintained in the U.S. to non-U.S. regulators would be the same as those for release to U.S. regulators.


Collaboration across industry

Since launching the Warehouse in 2006, DTCC has worked closely with market participants and in consultation with regulators across the globe to build a robust central repository that provides an accurate snapshot of the CDS market from a central vantage point.


DTCC has also been collaborating with the OTC Derivatives Regulatory Forum, which is made up of more than 40 international financial regulators, to meet its objective of fostering a global framework for the sharing of data requested by regulators from the Warehouse. The Forum recently provided DTCC with new guidelines on the sharing of CDS data from its global CDS trade repository, helping bring greater clarity and building consensus on the process for responding to regulatory requests. @


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