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two reports about credit derivatives from FSF(financial stability forum)
Credit Risk Transfer --- 2005
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 --- 2008
Contents
Summary ..................................................................................................................................1
About this report .......................................................................................................................2
Part I: CRT market developments since 2005.......................................................................4
1. Selected developments in CRT products and participants................................4
2. Who bears the risk in CRT? ..............................................................................8
Part II: CRT in the current credit market turmoil ...................................................................12
3. Weaknesses in CRT markets in 2007 .............................................................12
4. Risk management challenges for banks and securities firms..........................15
Part III: CRT questions from the Financial Stability Forum and supervisors .........................19
5. Where are there information gaps in CRT?.....................................................19
6. What effect could CRT have on workouts? .....................................................20
7. Are there concerns about insider trading?.......................................................21
8. Are there concerns about market infrastructure? ............................................22
Part IV: Supervisors’ concerns and recommendations..........................................................24
9. Issues raised in Survey of Supervisors for Update of 2005 Paper ..................24
10. Recommendations...........................................................................................27
Appendix A: Developments in CRT products.........................................................................31
Appendix B Developments in CRT participants ....................................................................41
Appendix C: Understanding the credit risk of ABS CDOs ......................................................46
Appendix D: Constant proportion debt obligations: A case study of model risk in ratings
assignment ........................................................................................................60
Appendix E The recommendations from the 2005 Report ....................................................73
Appendix F List of members of the Working Group on Risk Assessment and Capital ........79
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