By Donald van Deventer on
1/11/2012 9:40 AM
On January 9, we reviewed trading volume in credit default swaps for 1,090 reference names reported by the Depository Trust & Clearing Corporation and found that only one reference name in the world had averaged more than 10 non-dealer trades per day in the 77 weeks ended on December 30, 2011. In today’s blog, the fourth in the CDS trading volume series, we look at weekly credit default swap trading volume for sub-sovereigns and municipals among those 1,090 reference names. We find, unfortunately, that (in the words of Gertrude Stein) “there is no there there.”
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By Donald van Deventer on
1/10/2012 8:52 AM
On December 28, Prof. Scott Richard published an article in the Financial Times advocating the use of credit default swap spreads in setting of deposit insurance rates. This letter to the editor explains why such an idea, attractive in theory, would be extremely dangerous in practice.
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By Donald van Deventer on
1/9/2012 11:34 AM
On January 4, we showed that on average 81.68% of trades in credit default swaps in the trade warehouse of the Depository Trust & Clearing Corporation were trades between dealers. In today’s blog, the second in the series, we look at weekly CDS trade data since the week ended July 16, 2010 for 1,090 reference names and find minimal “end user” trade volume for the overwhelming majority of those reference names.
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By Donald van Deventer on
1/6/2012 12:43 PM
Today’s forecast for U.S. Treasury yields is based on the January 5, 2012 constant maturity Treasury yields that were reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release at 4:15 p.m. Eastern Standard Time January 6, 2012. The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com.
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By Donald van Deventer on
1/4/2012 11:18 AM
We first looked at the trading volume in single name corporate and sovereign credit default swaps in three blog entries in May and June 2010, immediately after the Depository Trust and Clearing Corporation began releasing volume information. In today’s blog, the first of four in the series, we look at weekly data since the week ended July 16, 2010 to measure how much of existing single name CDS trading is the exchange of positions among a small group of dealers and how much is true “end user” trading.
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