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The CDS market continues going from dead to deader. It seems the lack of liquidity is somehow spilling over into the CDS realm. Total notional barely moved up from $14.6 billion to $23.6 billion, however the number of contracts was half the prior weeks, at 9,909 total. Notable notional re-risking occurred in the basic materials ($10.7 billion) and financials ($14.5 billion) sectors, while sovereigns continued to see de-risking to the tune of $12.4 billion.

Gross outstandings week over week were again virtually unchanged at $28.2 trillion, consisting of $15.2 trillion in single-names and $13.0 trillion in index and index tranches, both metrics practically unchanged from a week ago.

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Top 20 single names saw some new interesting entrants and potential capital structure arbitrage plays. Most notably the Arcelor - Arcelor-Mittal Finance - Arcleor Finance triangle. While Arcelor-Mittal Corp (MT) saw over $1 trillion in net increase in the name, it was more than offset with a combined $1.5 trillion in net CDS reductions in Arcelor-Mittal Finance and Arcelor Finance.

Zero Hedge will investigate the attractiveness of this trade. Among other names, Russia made it back into the top 20 de-riskers, with other major de-risk names including Banc Of America (BAC), Greece, MBIA (MBI), Centex (CTX), SLM (SLM), Ingersoll Rand (IR) and the US of A.

On the re-risk side, most of the action was in sovereigns including Philippines, Norway, Spain, Colombia, Belgium, Argentina and the Ukraine. Some other curious names that were perceived as less risky include MBIA, XL Capital (XL), UBS (UBS) and Jones Apparel (JNY) (hell hath no fury like a Goldman retail CDS trader on tilt).

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Source: Notes on CDS Market, De-Risking and Re-Risking