![Risk.net](https://www.risk.net/sites/default/files/styles/print_logo/public/2018-09/print-logo.png?itok=1TpHrpuP)
Cesr joins calls for more derivatives trade reporting
The Committee of European Securities Regulators (Cesr) called this morning for post-trade reporting on several classes of derivatives, including asset-backed securities (ABS) and collateralised debt obligations (CDO).
Although lack of transparency had not been a major problem for the corporate bond market, Cesr also recommended post-trade reporting of bond deals, although with some limits - trades above a certain size could be reported without size details, or the report could be delayed, in order to avoid distorting the market.
Cesr commented that "current market-led initiatives have not provided a sufficient level of transparency in the structured finance product and credit derivatives markets", and suggested that the European Commission should introduce mandatory trade reporting, eventually extending to all standardised ABS and CDO. Like other proposed changes to the derivative market, notably the requirement for central clearing of credit default swaps, the Cesr proposal leaves open the question of which products would count as "standardised" - Cesr said that all CDS trades which were theoretically eligible for central clearing should also fall under post-trade transparency rules, even if there was no central counterparty actually offering to clear them. The new rules would form part of the planned revision of the Markets in Financial Instruments Directive, and would require the reporting of deal size, date, issuer name, volume, price, currency, maturity and rating.
Cesr admitted that the ABS and CDO markets were relatively illiquid, with most ABS originators holding the securities in order to use them as collateral for central bank loans - but transparent trading would still serve a useful function, it argued. It linked the lack of secondary market transparency to the development of the subprime crisis, arguing that it made price discovery and valuation more difficult - though it added that it is "generally not considered to be a leading cause of the market failure".
See also: EC looks to move standardised OTC derivatives onto exchanges
Risk Derivatives Summit: Transparency not a cure-all
Regulators identify weaknesses in OTC derivatives markets
Ratings redux
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Credit risk
Credit risk management solutions 2024: market update and vendor landscape
A Chartis report outlining the view of the market and vendor landscape for credit risk management solutions in the trading and banking books
Finding the investment management ‘one analytics view’
This paper outlines the benefits accruing to buy-side practitioners on the back of generating a single analytics view of their risk and performance metrics across funds, regions and asset classes
Revolutionising liquidity management: harnessing operational intelligence for real‑time insights and risk mitigation
Pierre Gaudin, head of business development at ActiveViam, explains the importance of fast, in-memory data analysis functions in allowing firms to consistently provide senior decision-makers with actionable insights
Sec-lending haircuts and indemnification pricing
A pricing method for borrowed securities that includes haircut and indemnification is introduced
XVAs and counterparty credit risk for energy markets: addressing the challenges and unravelling complexity
In this webinar, a panel of quantitative researchers and risk practitioners from banks, energy firms and a software vendor discuss practical challenges in the modelling and risk management of XVAs and CCR in the energy markets, and how to overcome them.
Credit risk & modelling – Special report 2021
This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.
The wild world of credit models
The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…
Driving greater value in credit risk and modelling
A forum of industry leaders discusses the challenges facing banks in measuring and mitigating credit risk in the current environment, and strategies to adapt to a more stringent regulatory framework in the future