Wednesday, April 15, 2009

Latest DTCC CDS Update (Week Of April 10)

The past week was virtually dead in CDS trading, with a mere $14.6 billion in notional changing hands, however consisting of surprisingly robust 18,776 contracts. The prior week derisking in sovereigns reversed, and last week saw a $24 billion derisking in the space. All other sectors were significantly unchanged, with the exception of consumer services where $11.2 billion in protection was unwound.

Gross outstandings week over week were unchanged at $28 trillion, consisting of $15.2 trillion in single-names and $12.8 trillion in index and index tranches, both metrics unchanged from a week ago.

In the top 20 single name category, some notable inversions were present: the Republic of Italy which in April 3 week saw over half a trillion in CDS purchases saw almost the entire amount unwound, with $496 billion in CDS rerisking. Among other notable flippers were Ford Motor Co., Volkswagen, Nordstrom, Macy's and the Republic of Ireland, while on the rerisking side the top names were Turkey, Greece, KB Home, UPM and IP, which the week before was in the top 10 deriskers and likely merits a closer look for purely fundamental reasons.

To new readers, we would refer to this data as a guidepost of technical shifts in highly liquid credit names, which could be used as a leading indicator of potential equity moves in the underlying names (for one reason or another). Sphere: Related Content
Print this post


Anonymous said...

as one would expect: hedging ain't cheap. but then in the "infinite/zero" world...does it matter; no beginning, no middle, no end//no hinges allowed///the virtual-alternative reality...full-spectrum-dominance has seized the omega point...illusion converges in Hell.

Anonymous said...


Please as a public service, would you conduct an in-depth analysis of the action on srs and iyr lately.

It makes absolutely no fucking sense and is driving me nuts. REITs are up on JPM earnings?? More than the banks?? What the fuck is going on.

Anonymous said...

Disclosure: Long GS CDS, Short GS equity, Long SRS.

Anonymous said...

China GDP +6.1%; beating 6.0% expectation.

Happy days! We're being lead out of the recession.

Foghat said...

Actually China missed estimates:

"GDP expanded 6.1 percent in the first quarter from a year earlier, after a 6.8 percent gain in the previous three months, the statistics bureau said in Beijing today. The figure compares with the 6.2 percent median estimate of 13 economists surveyed by Bloomberg News."

Regarding SRS it's a Goldman Sachs induced short squeeze via SPG 'conviction buy' this AM. They did that secondary and probably still have others in the works. Hmmm...'conviction', huh? I'd LOVE to see some convictions.

Anonymous said...


According to "13 economists surveyed by Bloomberg News."

Any other amazing facts for us?