The Depository Trust & Clearing Corporation (DTCC) announced today that, in its ongoing efforts to enhance transparency in the market for over-the-counter (OTC) credit derivatives, it is expanding the data its DTCC Deriv/SERV unit publishes on credit default swaps (CDS) registered in its Trade Information Warehouse (Warehouse) to show additional detail on weekly transaction activity. The Warehouse is the market’s only central trade registry and industry-recognized infrastructure for credit derivatives trades.
Starting Tuesday, January 20, the contract data posted on DTCC’s website, at www.dtcc.com/derivserv, will include a new Section III covering weekly trading activity registered in the Warehouse—such as new trades, terminations and assignments—for the previous week, in terms of gross notional values as well as number of contracts. This data will be provided in the aggregate as well as for single-name reference entity sectors and for major indices.
DTCC began posting gross and net notional values and numbers of contracts for single-name reference entity sectors, indices and tranches on November 4, 2008. Section I (tables 1-8) shows the outstanding notional values and contract numbers at a given point in time (the end of each week). Table 1 reports the values and numbers of all credit contracts in the Warehouse by customer type and product type, while tables 2-8 break down the data by product, buyer and seller in various ways. Section II (tables 9-16) shows the weekly net changes to the data presented in Section I tables.
Supporting documentation that explains the data being published will also be posted on the website in conjunction with the release of the new data.
“By publishing CDS contract data each week from its Trade Information Warehouse, DTCC is delivering critical transparency to the credit default swaps market,” said Frank De Maria, DTCC managing director and chief operating officer, DTCC Deriv/SERV. “Users of the Warehouse, market analysts, journalists and regulators have found our data tables to be an invaluable resource in providing a global view of weekly market activity.”
The Trade Information Warehouse is a service offering of DTCC Deriv/SERV LLC, a wholly-owned subsidiary of DTCC, and is the market’s first and only central registry and automated trade database supporting the post-trade processing of over-the-counter derivatives contracts over their lifecycles, from confirmation through to final settlement. Established in November 2006, the Warehouse is the OTC derivatives industry’s electronic central registry for credit default swaps. With a client base that includes virtually all global derivatives dealers and more than 1,300 buy-side firms in 35 countries, DTCC’s Warehouse has registered the vast majority of all credit default swaps traded worldwide.