1. Issues in Market Transparency for Credit Derivatives: Price, Volume, and Exposure Information Presented to the IMF-FSB Users Conference 8 July 2009 Christopher Tsuboi Federal Reserve Bank of New York

2. Motivations and policy objectives Supervisory efforts in OTC derivatives to 2008 – Operational efficiency – Centralized infrastructure – Standardization – Automation 2008: Significant market events – Volatility and drop in trading liquidity -> uncertainty in pricing – Opacity and complexity of bilateral positions and collateralization -> uncertainty in bilateral exposures – “Market transparency” as an explicit policy objective – Greatest focus on credit derivatives

3. Dimensions of market transparency: defining terms to describe information of interest Scope of transparency – Market participants – Regulators – The public Types of transparency – Pre-trade transparency – Post-trade transparency Transaction transparency Position transparency Technical determinants of transparency – Standardization – Automation – Centralized infrastructure

4. The state of market transparency in credit derivatives: What information is currently available? Macro statistics – BIS – ISDA Position information – DTCC Trade Information Warehouse – Central counterparty clearing platforms (CCPs) Price information – Market maker consensus prices – CCP end-of-day settlement prices Transaction information – Generally unavailable Credit event information – ISDA – Creditex – DTCC

5. Some challenges Universal coverage of position/exposure data Improving the richness and utility of position/exposure data – Counterparty and reference entity representation – Breakdowns: (e.g. sector, geography, product type) Discrete, near real-time transaction reporting Global regulatory coordination – CCP Regulators’ Workshop – BIS CGFS Working Group in Credit Risk Transfer Statistics

6. Next steps Continue to drive standardization, automation, and use of centralized infrastructure Expand and enrich credit derivative position data in the DTCC TIW Continue to develop cross-jurisdictional data reporting frameworks

7. Questions?