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Information regarding activities, positions of participants in single-name credit default swap market

  • “The Division of Risk, Strategy, and Financial Innovation has completed an analysis of single-name credit default swap transaction and position activity. The first analysis is based on a sample of all new, risk transfer, dollar-adjusted, gold record transactions in both corporate and sovereign single-name credit default swaps (CDS) submitted to the Depository Trust and Clearing Corporation’s Trade Information Warehouse (DTCCTIW) between January 1, 2011 and December 31, 2011 (the sample period). The second analysis is based on monthly position data in single-name CDS over the same sample period and provided by DTCC-TIW. The analysis provides information that characterizes the level of trading activity and positions in the credit default swap market. It is intended to assist the Commission in the development of final rules that further define the terms “security-based swap dealer” and “major security-based swap participant” in connection with the implementation of the Dodd-Frank Act. In part, this information should help evaluate the impact of alternative approaches (1) to implementing the de minimis exception to the “security-based swap dealer” definition by quantifying, under certain assumptions, the number of persons who may be required to register as “security-based swap dealers” or “major security-based swap participants,” and (2) to evaluating the security-based swap activities and positions of such persons.”
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