Sunday, January 25, 2009

Weekly CDS Change Update Per DTCC

As CDS traders are aware, two months ago, or about the same time Chris Cox wanted to turn everyone that had even the remotest connection to trading CDS into soap, the DTCC started disclosing everything it knows (not all that much) about the CDS market on a weekly basis. At Zero Hedge, we are starting a weekly column that looks at the net additions and reductions, and ergo, net change in the CDS market, from both a notional and contractual point of view, based on DTCC data. The summary for this week: there has been net rerisking to the tune of $78 billion in notional, or 3,730 contracts. The most active sectors were industrials and tech/telecom, with $66 and $55 billion of notional reductions, respectively, while financials and consumer goods saw a net increase in notional outstanding of $12.2 billion and $11 billion, each.

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Anonymous said...

Hey ZeroHedge - looking at this analysis and I get different numbers to yours - or is this simply a week off? Anyway - check out the shifts in Consumer Services!!!! WTF!
Sorry about the formatting but drag it into excel and it tallies with yours:

Single-Name Reference Entity Type
Corporate: Basic Materials $(6,711,873,309) 938
Corporate: Consumer Goods $(9,956,949,176) 1,566
Corporate: Consumer Services $(113,258,106,654) -13,378
Corporate: Financials $538,205,850 3,460
Corporate: Health Care $(374,084,962) 231
Corporate: Industrials $90,480,388 2,053
Corporate: Oil & Gas $1,366,218,409 743
Corporate: Technology / Telecom $(7,191,711,322) 1,378
Corporate: Utilities $(4,954,614,241) 778
Corporate: Other $(2,308,078,415) -175
Sovereign / State Bodies $8,080,963,284 1,089
Residential Mortgage Backed Securities $538,665,768 118
Commercial Mortgage Backed Securities $114,813,400 12
CDS on Loans $541,391,548 153
Other $27,064,385 61
Total $(133,457,615,047) -973

Tyler Durden said...

will check it out later today

Anonymous said...

Looks like I used the latest stuff from Tuesday - Chatting around seems like the big drop in Consumer Services was huge portfolio compression effort. FYI - Markit is having its conference to discuss the fixed coupon/NoR CDS changes tomorrow in NYC - any thoughts...seems CDS will still be quoted on spread but I wonder how they will 'force' everyone to roll into new contracts...