04 December 2013 by HCM
The brown area chart tracks the evolution over the past three years of the aggregated daily market activity (1) for this set of 400 corporate CDS. The average volume has been circa 10BUSD per day, the activity has been more important in Q3-Q4 2013, circa 20BUSD per day. We explain this increase by an important portfolio compression activity from the major CDS dealers. The activity should drop by the end of December. It has systematically dropped every Christmas and New Year.
(1) The data are extracted from the CDS contracts central repository, DTCC/TIW. These data are available on a weekly basis. The daily volumes are computed from the weekly volumes on a pro rata basis depending on the number of trading day in the week. As the volumes are only provided on a name by name basis, the same volume is displayed for all the CDS standard maturities. As the data are provided with a three-day delay, a dashed line indicates the last data as uncertain.