DTCC Connection

Sep 01, 2010 • DTCC Connection

DTCC Posts 6-Month Snapshot On CDS Market

DTCC has posted on its website, www.dtcc.com, information reflecting 6-month activity in the credit default swap (CDS) market based on data compiled from CDS trades registered in DTCC's subsidiary, the Warehouse Trust Company LLC.


The report, published August 27, provides greater depth to updated information to be used by market participants to assess liquidity for the largest corporate and sovereign CDS (single-named reference entities) positions and brings an added level of transparency to the marketplace.


The data informs market participants and regulators about trading volumes and the structure of the market to assist in their determination of which single reference entities might have sufficient liquidity to be cleared through a central counterparty (CCP). This effort is in keeping with commitments made by members of the over-the-counter (OTC) derivatives community (in their March 1, 2010, letter) to global regulators to increase the range of products eligible for clearing. View of the report


As of August 20, the total gross notional value of the approximately 2.3 million CDS contracts registered in the Warehouse Trust was roughly $25 trillion.


The information provided in the new public posting includes market activity from December 21, 2009, through June 20, 2010, for the top 1,000 CDS single-named reference entities. The report follows an earlier nine-month market activity snapshot released on June 1, 2010, covering the period June 20, 2009, to March 19, 2010, and has been expanded to include a breakdown of figures on standard and non-standard coupons as well as quarterly maturity levels for these counterparty transactions.


The information is being posted on DTCC's public website to ensure that other market participants, interested parties and the public have equal access to the information.


OTC derivatives infrastructure

DTCC operates the centralized global repository and post-trade processing infrastructure for the worldwide OTC credit derivatives market through the Warehouse Trust, a New York limited-liability trust company regulated by the New York State Banking Department and a member of the Federal Reserve System. Virtually all CDS trades in the global market are registered in this repository. Its customers include all major derivatives dealers and more than 1,700 buyside firms and other market participants located in more than 50 countries.


In August, DTCC received approval from the U.K. Financial Services Authority to establish DTCC Derivatives Repository Ltd, which operates the OTC equity derivatives market's global reporting repository (EDRR). This new European subsidiary will also maintain global CDS data identical to that maintained in the U.S.-based Warehouse Trust.


DTCC publicly releases weekly aggregate information on OTC credit derivatives, including open interest and turnover information for the top 1,000 names traded worldwide and CDS indices. This information is posted Tuesday evenings after 5:00 p.m. @


dtccdotcom