Credit risk transfer statistics

1
Credit risk transfer statistics gaps and
possible scope for improvement

• Presentation to the IMF-FSB Users Conference

Michael Chui
1
2
Plan

• Publicly available information on CDS markets
• Closing the data gaps
• Objectives and
• Data gaps and possible scope for improvement.

3
Publicly available information on CDS

1. BIS OTC derivatives statistics
2. International Swaps and Derivatives Association
   (ISDA)
3. Depository Trust Clearing Corporation (DTCC)
   and
4. BIS consolidated banking statistics.

Available information
Global market size
Transfer of credit risk
Improvement
4
BIS semiannual OTC derivatives markets statistics
(1)
Available information
Global market size
Transfer of credit risk
Improvement
5
BIS semiannual OTC derivatives markets statistics
(2)
Available information
Global market size
Transfer of credit risk
Improvement
6
DTCCs Trade Information Warehouse data
Available information
Global market size
Transfer of credit risk
Improvement
7
Closing the data gaps objectives

1. Improve understanding of the structural changes
   of global CDS markets
2. Obtain better information on the transfer and
   ultimate distribution of credit risk via CDS and
3. Monitor short-term CDS market developments.

Available information
Global market size
Transfer of credit risk
Improvement
8
Understanding the structural changes size of
global CDS markets
Survey participants end 2008
ISDA half-yearly, starting from H1 2001 BIS
half-yearly, starting from H2 2004 DTCC weekly,
starting November 2008.
Total number of reporters are in
brackets. Sources DTCC ISDA BIS.
Available information
Global market size
Transfer of credit risk
Improvement
9
Comparing DTCC with BIS CDS data (end-2008)

• Perfectly matched for between dealers
• Much larger BIS amounts outstanding in
  single-name instruments and
• BIS data show considerably larger on deals with
  non-dealer counterparties.

Available information
Global market size
Transfer of credit risk
Improvement
10
Information gaps on the transfer and distribution
of credit risk

1. Data quality consistent counterparty and
   sectoral definitions
2. New counterparty categories and instruments
3. Counterparty and reference entity geographical
   breakdowns
4. Market values and
5. Timeliness and frequency.

Available information
Global market size
Transfer of credit risk
Improvement
11
Data quality

1. Consistent definition eg, EU guideline on hedge
   funds
2. Insurance company

Available information
Global market size
Transfer of credit risk
Improvement
12
New counterparty and instrument and market
values

1. Central counterparties
2. Index products
3. Asset-backed securities and
4. Net market values.

Available information
Global market size
Transfer of credit risk
Improvement
13
Linking with other credit derivatives statistics

• Gauging a countrys derivatives exposures to
  foreign counterparties and
• Measuring the geographical distribution of a
  countrys credit risk exposures.

Available information
Global market size
Transfer of credit risk
Improvement
14
Possible improvement in the BIS OTC derivatives
statistics and hanging issues

• CGFS working group on credit risk transfer
  statistics recommendations and further work
• Extension of the current data reporting template
• Providing more consistent guidelines and
• Exploring the linkages with other statistical
  sources.

Available information
Global market size
Transfer of credit risk
Improvement