DTCC to publish more CDS data

The Depository Trust and Clearing Corporation (DTCC), the largest derivatives clearing house in the US, is to expand the data it publishes on the credit derivatives market.

The DTCC already provides information on credit default swaps (CDS) registered in its Trade Information Warehouse central trade registry, but as of tomorrow it will expand this to show additional detail on weekly transaction activity.

The new information will include figures on the trading activity registered in the warehouse over the previous week, such as new trades, terminations and assignments, in terms of gross notional values as well as number of contracts. Information will be provided in aggregate, for single-name reference entity sectors and for major indexes.

"Some of the figures that made their way into the press last year were later proved to be inaccurate," explained Frank De Maria, DTCC's chief operating officer. "So this is an effort to provide more clear and defined transparency to the CDS market. We are supplying, as most stock exchanges do, comprehensive data on volumes traded."

On December 4 the DTCC released its first weekly snapshot of the credit derivatives market. It posted data on its website including gross and net notional values of outstanding CDS contracts registered in its warehouse for the top 1,000 single-name reference entities, as well as index and tranche trades. The data did not reflect current market prices of contracts, or include 'uncertain' or 'unconfirmed' trades however.

"Generally, what we've heard since we did the initial publication is that people are looking for more data points in our disclosure, to give them insight into how the market is trading as opposed to just a snapshot view of a point in time," said De Maria. "It was always our initial intent to show those gross changes by trade type. We just had to build the proper reporting algorithms to extract that information and ensure flawless integrity in those numbers."

As of January 9, the gross notional of all credit products confirmed through the warehouse stood at $29.1 trillion from 2.2 million contracts. Of that, $14.6 trillion are single-name CDS contracts; $11.2 trillion are credit default index trades and $3.4 trillion are credit default tranche trades, according to the DTCC.

See also: DTCC launches weekly CDS update