Latest DTCC CDS Update (Week Of September 30)

A week after the roll into new indices (HY13 and IG13) there was quite notable action in CDS land. Net notional change across all sectors was substantially negative to the tune of $282 billion, which however consisted primarily of matured transactions accounting for $330 billion of this number, implying the adjusted number was around positive $50 billion and a notable derisking. There likely has been a corresponding netting out on the New Transaction side over the past month as accounts were rolling existing positions.

Total gross outstanding have been relatively flat over the past month at $26.7 trillion, with
$15.3 trillion in Single Names, $8.5 trillion in Indices and $2.8
trillion in Tranches, a material unwind from the beginning of the month when there was about $3.4 trillion in this category. This likely means a major index fund was unwinding tranches over the past month, likely leading to reverberations across all asset classes.

In single name action, the leader in the derisking category was Danone with $933 million in net change leaving last week (on $14.7 billion gross notional). Another notable name was Goldman Sachs at #4, with $175 million in net long CDS positions purchased. Some other notable deriskers were British American Tobacco, Ford Motor, Eastman Kodak, Safeway, FDC, Time Warner, VNU and Autozone.

In the rerisking category, the dominant names were as expected, financials, with DB, BNP GECC and AIG comprising the top 4. How long this optimism for financials will persist, especially if there is a major drop in equities, is as always the main question.

Comments

[pigpen]

Lizzie, why is oil moving higer? Inventories were building yet again. Is it all about dollar weakness.

Can we be swimming in oil and oil hold $80? If so every refiner is going out of business.

Another unintended consequence of QE and money printing.

Cheers,

Pigpen

[Silver Bullet]

I'm sure the "experts" will be citing tensions with the Iranians and the west as a reason for the oil price to rise in addition to a weak dollar.