Monday, 10 November 2008

How many ABX CDS are there?

Alea had a misleading note on the DTCC reporting of credit derivatives. I usually like Alea, but this post, suggesting there were only single digit numbers of contracts on many of the ABX subindices, gave the wrong impression. Turning to the DTCC itself, we find net notionals in most of the subindices in the single digit billions, with high hundreds or low thousands of contracts.



Blogger jck said...

with due respect, there is nothing misleading, the data is from the DTCC and clearly pertains to outstanding buyer of protection non-dealer/customer contracts taken from the top of table 4 (on the run/index...).
new data on weekly activity (table 12) confirms the lack of activity on these contracts, 1.5 contracts/per index average for the week isn't very impressive volume...
the data for off the run sub-indices is consolidated, i.e sum of all the off the run vintage.

6:35 am  
Blogger David Murphy said...

I'm sorry, but I don't agree. I do really like Alea so I don't want to generate animosity here, but I do honestly think that the original post suggests that these contracts are hugely illiquid when the reality is that there are very significant gross and net notionals at risk on the ABX. Yes things are slow at the moment, as they are in all kinds of ABS and related instruments, but at least there is some market activity. My experience is that if you needed to do a hundred million dollars of ABX 0702 AAA CDS, you could. There are not many things in ABS land at the moment that is true of.

9:01 am  

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