All hail the Depository Trust and Clearing Corporation
The DTCC has provided an updated and more in depth version of its market “snapshot” of CDS trade — six-month data for the top 1,000 CDS single-named reference entities. It’s aimed at “informing” market participants and regulators which names might have sufficient liquidity to be cleared through a central counterparty.
The new info covers December 21, 2009 to June 20, 2010, and comes with a breakdown of figures on standard and non-standard coupons as well as quarterly maturity levels.
And in case you’re wondering, and since we were on the subject of Spanish CDS earlier, Alea has helpfully put together the below graphic of the most actively traded sovereign CDS. Spain comes up on top, averaging 29 trades a day across all maturities, in standard and non-standard contracts:
For reference, Brazil, Mexico, Greece, Spain and Russia were the most actively traded CDS last time the DTCC’s (nine-month) snapshot was published, in June, with a respective average of 37, 33, 27, 26 and 25 trades a day. That info covered the period June 20, 2009 to March 10, 2010.
Full (new and updated) data available here. An explainer here.
Related links:
800,000 CDS trades – FT Alphaville
CDS are not ready for prime time – Alea
Global derivatives disclosure to rise - FT