Tài liệu CGFS Papers No 35 Credit risk transfer statistics doc

Committee on the Global

Financial System

CGFS Papers

No 35

Credit risk transfer

statistics

Report submitted by a Working Group established by the

Committee on the Global Financial System

This Working Group was chaired by Jean-Marc Israël

of the European Central Bank

September 2009

JEL Classification numbers: C8, G10

Copies of publications are available from:

Bank for International Settlements

Communications

CH-4002 Basel, Switzerland

E-mail: [email protected]

Fax: +41 61 280 9100 and +41 61 280 8100

This publication is available on the BIS website (www.bis.org).

© Bank for International Settlements 2009. All rights reserved. Brief excerpts may be

reproduced or translated provided the source is cited.

ISBN 92-9131-804-3 (print)

ISBN 92-9197-804-3 (online)

Contents

Executive summary ..................................................................................................................1

1. Introduction......................................................................................................................3

2. Review of CDS statistics reporting ..................................................................................3

2.1 Geographical breakdown of CDS transactions ......................................................4

2.2 Counterparty breakdown........................................................................................6

2.3 Counterparty definition...........................................................................................6

2.4 Index CDS..............................................................................................................7

2.5 Asset-backed securities .........................................................................................8

2.6 Net market values ..................................................................................................9

2.7 Other credit derivatives ........................................................................................10

2.8 Timeliness and frequency ....................................................................................11

3. Linking BIS statistics with DTCC data ...........................................................................11

3.1 Comparison exercise between DTCC with BIS CDS data ...................................11

3.1.1 Preliminary..................................................................................................11

3.1.2 Results........................................................................................................12

3.2 Conclusions..........................................................................................................13

4. Other linkages ...............................................................................................................13

4.1 With the BIS consolidated banking statistics........................................................13

4.1.1 Credit derivatives in the consolidated banking statistics.............................13

4.1.2 Gauging risk transfer using consolidated statistics.....................................14

4.2 The Triennial Central Bank Survey ......................................................................15

5. Summary of recommendations .....................................................................................16

5.1 Proposed changes in the near term .....................................................................16

5.2 Longer-term amendments and outstanding issues ..............................................16

5.2.1 Extended CDS reporting template ..............................................................16

5.2.3 Other standing issues .................................................................................16

Annex 1: Mandate of the Working Group ...............................................................................18

Annex 2: Questionnaire for users ...........................................................................................19

Annex 3: Questionnaire for reporters......................................................................................22

Annex 4: Summary of responses to the questionnaires .........................................................25

Annex 5: DTCC data...............................................................................................................31

Members of the Working Group..............................................................................................32

CGFS – Credit risk transfer statistics iii