Enhanced BIS statistics on credit risk transfer

BIS Quarterly Review  |  December 2011  | 
12 December 2011
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From June 2011, the BIS credit derivatives statistics provide more granular information on the types of risks transferred through credit default swaps by different groups of counterparties. The new data suggest that reporting dealers have used some hard-to-value credit derivatives to transfer credit risk to shadow banks, possibly exposing these counterparty groups to valuation risks. The data also show that some financial counterparties have sold protection against defaults in the same sector on a net basis.

JEL classification: C82, G18