TAILIEUCHUNG - CGFS Papers No 35 Credit risk transfer statistics

Given the variation in credit scoring methodologies, raw credit scores possess no intrinsic meaning, and comparing raw scores across companies is of limited value. Normalized or “standardized” results afford more meaningful comparisons. Averaged across all companies, the spread in standardized scores between “no minority” and “all minority”2 ZIP Codes was percentiles—a very considerable gap. 3 For more than half of the companies, the average scores of individuals residing in minority ZIP Codes fell into the bottom one-tenth of scores (that is, at or lower than the 10th percentile). The average score of individuals residing in. | 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 Israel 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 publications@ Fax 41 61 280 9100 and 41 61 280 8100 This publication is available on the BIS website . 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 1. 2. Review of CDS statistics Geographical breakdown of CDS Counterparty Counterparty Index Asset-backed Net market Other credit Timeliness and 3. Linking BIS statistics with DTCC Comparison exercise between DTCC with BIS CDS 4. Other With the BIS consolidated banking Credit derivatives in the consolidated banking Gauging risk transfer using consolidated The Triennial Central Bank Survey .15 5. Summary of recommendations .16 Proposed changes in the near term .16 Longer-term amendments and outstanding Extended CDS reporting template .16 Other standing issues .16 Annex 1 Mandate of the Working Annex 2 Questionnaire for Annex 3 Questionnaire for Annex 4 Summary of responses to the Annex 5 DTCC Members of the Working CGFS - Credit risk transfer statistics .

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