Alea

DTCC to Publish CDS Data

DTCC announced that it will begin to publish aggregate market data from its Trade Information Warehouse (Warehouse), the worldwide central trade registry it maintains on credit derivatives. Starting Tuesday, November 4 and continuing weekly.

To be posted:

Outstanding gross and net notional values (”stock” values) of credit default swap (CDS) contracts registered in the Warehouse for the top 1,000 underlying single-name reference entities and all indices, as well as certain aggregates of this data on a gross notional basis only. The data is intended to address market concerns about transparency.

The data will be shown in two sections. Section 1 will show the outstanding notional values at a given point in time (the end of each week). Section 2 will show data relating to the weekly confirmed trade volume, or “turnover,” with respect to the same underlying reference entities and indices, as well as similar aggregations of such data. Section 2 data will be published beginning the week after the initial publication of outstanding notional values.

Email This

Posted by jck at 9:20 am ET on October 31st, 2008 |

5 Responses to “ DTCC to Publish CDS Data ”

# 1 acc Says:
October 31st, 2008 at 4:26 pm

Looking over the docs submitted to NYFed I notice that “CDS on ABS remains the primary product that is electronically confirmed but not settled through” the DTCC. They plan to bring CDS on ABS on board sometime in 2009.

While it is obviously a great achievement that synthetic and supersenior corporate CDOs will be processed through this mechanism, does the fact that CDS on ABS (i.e. the ones that have been connected to collapsing CDO values lately) are not yet ready to go concern you? How far are we from LSS CDOs hitting triggers and blowing up? Will there be a system in place before this happens?

# 2 jck Says:
October 31st, 2008 at 5:01 pm

Not concerned, CDS on ABS are a very small part of the market, for the LSS I suspect most of them have already blown up last year,again LSS is a small market, the big bloodbath was with plain vanilla super senior swap, look at UBS, Merrill Citi, AIG…

# 3 barry Says:
November 3rd, 2008 at 3:13 pm

jck,

what do you tihnk was the economic cost of the tear-up

# 4 jck Says:
November 3rd, 2008 at 3:52 pm

barry:
nothing other than some fees, it makes life simpler just like a clearing house would, there are only benefits to the “tear-ups” a better word is portfolio compression, basically dealers put the part of their book they want to “tear up” through an algorithm that will leave the risk profile intact while reducing the number of contracts, for ex if you bought n thousands CDS on XYZ, and sold n+1 on same you can reduce reduce your position to a risky annuity for the n notional on one piece of paper and left with one short ACDS on XYZ, it’s bit more complicated than that but basically you concretise the benefits of netting on a few pieces of paper instead of 1000s.
I should add that there is a bit of war in the compression business, most is done by tri-optima, but markit got involved recently.

# 5 Rich Says:
November 4th, 2008 at 7:06 pm

The data is out now.