Wednesday, February 25, 2009

Latest DTCC CDS Update (Week of Feb 20)

CDS Market Data Update
Derisking still in full force in most categories although with 30% subdued trading action, as shorts took significant profits in sovereigns and basic materials. Net notional change of $8.1 billion this week versus $83 billion last week, and net contracts exchanged hands were 9,535 versus 13,892 prior. Sectors where shorts poured into the most, were financials, consumer services and consumer goods.

Gross outstandings dropped by $1.1 trillion, adding to worries that CDS traders are little incentivized to get back into active CDS trading and are in fact withdrawing en masse. Gross single name notional was flat at $14.5 trillion, while indices and index tranches dropped from $14 trillion to $12.9 trillion, for total gross notional outstanding $27.4 trillion.

Technicals indicate that the equity market weakness is still surprisingly isolated from spilling widely into the IG and XO credit space.

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