Thursday, August 1, 2013

Credit Risk Transfer - March 2005 - Bank for International Settlements

Credit Risk Transfer - March 2005 - Bank for International SettlementsA later final paper on this topic has been published in July 2008. http://www.bis.org/publ/joint21.htm Basel Committee on Banking Supervision The Joint Forum Credit Risk Transfer March 2005 A later final paper on this topic has been published in July 2008.

Credit Risk Transfer March 2005 Credit Risk Transfer A later final paper on this topic has been published in July 2008. http://www.bis.org/publ/joint21.htm A later final paper on this topic has been published in July 2008. http://www.bis.org/publ/joint21.htm Table of contents Report on Credit Risk Transfer: Summary................................................................................1 Do the transactions accomplish a clean transfer of risk? ................................................2 Do participants understand the risks involved? ...............................................................3 Are undue concentrations of risk developing? ................................................................4 Financial Stability Implications ........................................................................................5 Recommendations ..........................................................................................................5 Issues Arising During the Consultation .........................................................................10 Report on Credit Risk Transfer ...............................................................................................13 1. Background ..........................................................................................................13 2. Trends and Market Developments .......................................................................14 3. Extent and Sources of Risk Transfer ...................................................................17 4. Risk Management Issues Associated with CRT Activity ......................................24 5. Outstanding issues...............................................................................................36 Annex 1: The risks of credit portfolio products........................................................................44 1. The mechanics, economics, and risks of CDOs ..................................................44 2. The recent evolution of credit portfolio products ..................................................51 Appendix: CDO payment waterfall..........................................................................................59 Annex 2: Disclosures on credit risk transfers..........................................................................62 1. Disclosure made by banks ...................................................................................62 2. Disclosure made by securities firms.....................................................................63 3. Disclosure made by insurance companies...........................................................64 Annex 3: The supervisory approaches for credit risk transfers...............................................66 1. Minimum capital requirements .............................................................................66 2. Regulatory restrictions and limits .........................................................................72 3. Reporting requirements, guidelines and supervisory oversight ...........................75 Annex 4: Questions for supervisors of CRT market participants to consider ........................80 Preface ..........................................................................................................................80 1. Qualitative questions ............................................................................................81 2. Quantitative questions..........................................................................................92 Annex 5: Members of the Working Group on Risk Assessment and Capital..........................97 Credit Risk Transfer A later final paper on this topic has been published in July 2008. http://www.bis.org/publ/joint21.htm A later final paper on this topic has been published in July 2008. http://www.bis.org/publ/joint21.htm Report on Credit Risk Transfer: Summary The attached report responds to a request...

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