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DTCC Continues Expansion of Public Data on OTC Credit Derivatives

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The Depository Trust & Clearing Corporation (DTCC) expanded its public release of data in the Trade Information Warehouse’s global repository to include a breakout of outstanding credit default swap (CDS) contract values in their currencies of denomination. This added information is expected to help provide greater transparency into the risk exposure of a particular currency to the CDS market.

The Warehouse is the only comprehensive global repository for the OTC credit derivatives market. DTCC gathers and stores in this global repository information on OTC credit derivatives and performs critical post-trade processing functions such as automated calculation, netting and central settlement of payment obligations, as well as settlement of credit events such as bankruptcies. It is operated through DTCC’s Warehouse Trust Company LLC subsidiary, which is regulated by the New York State Banking Department and a member of the Federal Reserve System.

“Because nearly all credit derivatives transactions are maintained centrally in the Warehouse’s global repository, the industry and regulators worldwide are able to get a consolidated view of risk in the market place, which is critical especially in times of crisis,” Stewart Macbeth, DTCC managing director and head of the Trade Information Warehouse, said. “The breakout of the data by currency was a request from the OTC Derivatives Regulators Forum, a group that is globally coordinating requirements for regulatory and public data.”

On March 23, Warehouse Trust released a media statement advising that it had amended its policy related to the release of data to regulators upon request to include counterparty names “in both aggregate and trade-level information provided by the Warehouse if the requesting regulator or other governmental entity affirms that it has a material interest in that information in furtherance of its regulatory or governmental responsibilities.” Prior to the establishment of this policy, such information was provided to requesting global regulators upon consent from Warehouse customers.

Beginning today, Table 1a will appear in Section I of the weekly reports published by DTCC on its website www.dtcc.com/products/derivserv/data. While DTCC has previously provided the aggregated gross notional value of the total CDS contracts in the warehouse in US dollar equivalent values, this will be the first time it has published a breakdown of the aggregate total data by currency.

The Warehouse also publishes new weekly and historical data on CDS trades. The data population includes all electronically confirmed trades both cleared and uncleared. Currently, there are four active central counterparties (CCP’s) utilising the Warehouse services.

While the Warehouse also has basic, non-legal records of highly customised trades (“copper records”), that data is not included in its weekly updates. These “copper” records, comprising more bespoke contract submissions not confirmable on an automated electronic platform, represent less than 6% of total contract volume held in the repository.

The total gross notional of the 2.3 million legally confirmed CDS contracts held in DTCC’s Warehouse as of April 30 was $25.1 trillion.

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