Wednesday, November 17, 2010

Only 11% of CDS positions were vis-à-vis a CCP (BIS)

The latest BIS seminannual OTC derivative survey introduced additional information on the importance of central counterparties (CCPs) in the CDS market:

At end-June 2010, about 11% of CDS positions were vis-à-vis a CCP. This relatively low share reflects the large amount of non-standard CDS contracts covered in the BIS survey, which are not easily traded with CCPs. In terms of market value, contracts with CCPs account for only 4% of the total value of CDS. The discrepancy between their shares of notional amounts and market values could reflect the fact that CDS indices, which are popular products cleared by CCPs, are often less volatile than other CDS, such as single-name CDS, because of the diversification benefits of the former. Approximately twice as many multi-names as single-name contracts are traded with CCPs.

For the graphics and tables, get the report here: www.bis.org/publ/otc_hy1011.pdf

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