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A-Team Insight Blogs

DTCC Posts Data Industry Will Use to Increase Clearing of Credit Derivatives

The Depository Trust & Clearing Corporation (DTCC) announced today that it will post this evening on its website, www.dtcc.com, data compiled from CDS trades registered in DTCC’s Warehouse Trust Company LLC at the request of market participants who will use it to assess which of the various single reference entities might have sufficient liquidity to be cleared through a central counterparty (CCP). The information includes market activity from June 20, 2009 through March 19, 2010 for all single-named credit default swap (CDS) reference entities.

Market participants requested the data in keeping with the commitments they made (in their March 1, 2010 letter) to global regulators to continue strengthening the operational infrastructure and mitigating risk in OTC derivatives trading. As part of this commitment, the signatories (including representatives of all major dealers, several buy-side firms and industry trade associations) pledged to increase the range of products eligible for CCP clearing The requested data is being posted on DTCC’s public website to ensure that other market participants, interested parties and the public have equal access to the information.

While DTCC compiled and provided the basic data requested by industry firms, the analysis of the data and subsequent assessment of which reference entities might be best suited for clearing will be conducted by market participants, including various members of the Credit Derivatives Steering Committee of the International Swaps and Derivatives Association (ISDA), as well as the relevant CCPs.

DTCC’s Trade Information Warehouse is the centralised global repository and post-trade processing infrastructure for the worldwide OTC credit derivatives market. Virtually all CDS trades are registered in the Warehouse, which is operated by the Warehouse Trust Company LLC, a DTCC subsidiary regulated by the New York State Banking Department and a member of the Federal Reserve System. Warehouse customers include all major derivatives dealers and more than 1,700 buy-side firms and other market participants located in more than 50 countries. As of May 21, the total gross notional value of the approximately 2.3 million CDS contracts registered in the Warehouse was $25.1 trillion.

DTCC also publicly releases weekly aggregate information on OTC credit derivatives, including open interest and turnover information for the top 1,000 names traded worldwide and CDS indices, which is available on its website at www.dtcc.com/products/derivserv/data/index.php. This information is posted Tuesday evenings after 5:00 p.m.

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