Derisking

Tyler Durden's picture

Latest DTCC CDS Update (Week Of July 31)





Due to popular demand, Zero Hedge is happy to bring back the weekly DTCC CDS gross/net open interest recap. The primary reason we dropped coverage of CDS data over the past month was/is our belief that both fundamental and technical analysis, in the face of a rapturous market is pointless, and the only thing that matters is the ticking sovereign debt timebomb, as indicated by various Federal Reserve disclosures such as the H.4.1, H.3, and Z.1. If you don't believe me, please call any fundamental analyst at either a sell or a buy side firm at 4:00:01 pm. Nine out of ten times you will get voicemail (which, all else equal, is better than a vibrating dildo). Nonetheless, for the sake of completeness, it is useful to see what this formerly very useful data point from the world of CDS indicates: so here is what the latest out of 55 Water street says.

 


Tyler Durden's picture

Daily Credit Summary: July 21 - Risk Off, Risk On!





Spreads were mostly tighter in the US with HY outperforming IG and only HVOL (dominated by CIT) wider close-to-close (although all the indices were wider open-to-close as the morning's derisking gave way to rerisking in ther afternoon). Indices generally outperformed intrinsics (as we suspect correlation desks were actively covering between index and single-name hedges and off-the-runs outperformed on-the-runs) with skews widening in general as IG's skew decompressed as the index beat intrinsics, HVOL outperformed but widened the skew, ExHVOL outperformed pushing the skew wider, XO underperformed but compressed the skew, and HY's skew widened as it underperformed (but HY made new contract tights below 900bps).

 


Tyler Durden's picture

Latest DTCC CDS Update (Week Of June 19)





The name of the game last week was the roll, with the expiration of the June contract leading to over $300 billion in Matured Transactions. New protection creation was delayed into the roll and this week will likely see a comparable pick up in new protection purchasing.

 


Tyler Durden's picture

Daily Credit Summary: June 22 - World Banked





Spreads were broadly wider in the US as all the indices deteriorated. Indices generally outperformed intrinsics (as post-roll derisking covered by index hedges seemed prevalent) with skews widening in general as IG's skew decompressed as the index beat intrinsics, HVOL outperformed but widened the skew, ExHVOL outperformed pushing the skew wider, XO's skew increased as the index outperformed, and HY outperformed but narrowed the skew.

 


Tyler Durden's picture

Latest DTCC CDS Update (Week Of June 19)





The name of the game last week was the roll, with the expiration of the June contract leading to over $300 billion in Matured Transactions. New protection creation was delayed into the roll and this week will likely see a comparable pick up in new protection purchasing. Approximately $200 billion in net notional exposure was removed from the system, however with $300 billion accounting solely to terminations, implies there was a net $100 billion purchasing offset that was not roll related.

 


Tyler Durden's picture

Latest DTCC CDS Update (Week Of June 19)





The name of the game last week was the roll, with the expiration of the June contract leading to over $300 billion in Matured Transactions. New protection creation was delayed into the roll and this week will likely see a comparable pick up in new protection purchasing. Approximately $200 billion in net notional exposure was removed from the system, however with $300 billion accounting solely to terminations, implies there was a net $100 billion purchasing offset that was not roll related.

 


Tyler Durden's picture

Daily Credit Summary: June 22 - World Banked





Spreads were broadly wider in the US as all the indices deteriorated. Indices generally outperformed intrinsics (as post-roll derisking covered by index hedges seemed prevalent) with skews widening in general as IG's skew decompressed as the index beat intrinsics, HVOL outperformed but widened the skew, ExHVOL outperformed pushing the skew wider, XO's skew increased as the index outperformed, and HY outperformed but narrowed the skew.

 


Tyler Durden's picture

Latest DTCC CDS Update (Week Of June 12)





After three very volatile weeks, it seems the CDS world tapered off modestly. While action was rather subdued, the bulk of activity was focused on insurance buying, with over $63 billion in net notional being purchased in over 3,400 contracts. Total cumulative CDS action since the beginning of April grew to over $400 billion, and virtually all sectors are now net derisked over the past 2 months, with the consumer leading the risk parade.

 


Tyler Durden's picture

Latest DTCC CDS Update (Week Of June 5)





After many weeks of cumulative derisking, the CDS market rerisked violently, most notably in the Consumer Goods and Consumer Service sectors, where a total of $169 billion in net notional open interest rerisking occurred. One explanation is that the big move is due to unwinding of new issue basis trades put on over the past month as horrendous companies issued all sorts of garbage debt.

 


Tyler Durden's picture

Latest DTCC CDS Update (Week Of May 29)





Credit is now officially done with the rally. While last week's unprecedented $215 billion in CDS purchased will likely be a record for a while, this week saw yet another substantial $120 billion in net notional increase, based on 5,770 contracts exchanged. Also, net cumulative notional CDS by sector has surpassed the half a trillion mark since early April.

 


Tyler Durden's picture

Latest DTCC CDS Update (Week Of May 29)





Credit is now officially done with the rally. While last week's unprecedented $215 billion in CDS purchased will likely be a record for a while, this week saw yet another substantial $120 billion in net notional increase, based on 5,770 contracts exchanged. Also, net cumulative notional CDS by sector has surpassed the half a trillion mark since early April.

 


Tyler Durden's picture

Latest DTCC CDS Update (Week Of May 22)





The latest data out of DTCC indicates that the volatility in the equity world is spreading to credit. Not only that, but last week the CDS market turned decidedly pessimistic, with over $215 billion in net CDS purchased, the highest amount in terms of net notional in over 2 months. Cumulative net CDS purchased since the start of April has ramped up to almost half a trillion dollars.

 


Tyler Durden's picture

Latest DTCC CDS Update (Week Of May 08)





"Buy CDS" - that was the overarching theme from last week as $141 billion of rerisking occurred across all major sectors. Absent some nominal CDS derisking in Oil & Gas and Tech/Telecom, every single space saw credit traders betting that risk will increase. Of course, absent some swooning on Monday of this week, irrational exuberance 2.0 still dominates the equity markets, once again implying that credit is either generally more pessimistic than equities, or that CDS traders are much faster to bail at the first whiff of the squeeze ending.

 


Tyler Durden's picture

Latest DTCC CDS Update (Week Of May 08)





"Buy CDS" - that was the overarching theme from last week as $141 billion of rerisking occurred across all major sectors. Absent some nominal CDS derisking in Oil & Gas and Tech/Telecom, every single space saw credit traders betting that risk will increase. Of course, absent some swooning on Monday of this week, irrational exuberance 2.0 still dominates the equity markets, once again implying that credit is either generally more pessimistic than equities, or that CDS traders are much faster to bail at the first whiff of the squeeze ending.

 


Tyler Durden's picture

Latest DTCC CDS Update (Week Of May 1)





Last week was relatively quiet in the CDS market, shadowing the complete lack of liquidity in equities. Notable traded sectors were consumer Services and Industrials which saw a net gross notional rerisking of $32 and $39 billion, on 7,127 and 3,888 contracts respectively. Aside from these two sectors, the only other sector that saw marginal rerisking was Tech/Telecom with $11 billion in notional traded. All other sectors saw a net rerisking, for a total tally in the prior week of a rerisking of $23 billion.

 


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