市場紀律與資產證券化組第二階段報告 doc

Size: px

Start display at page:

Download "市場紀律與資產證券化組第二階段報告 doc"

慰孥边
9 years ago
Views:

1 4-1

2 CP BIS CP2 11 BIS BIS IRB

3 CP Basel 4-3

4 QIS 3 Technical Guide Liquidity facility Implicit support clean-up call excess spread

5 4-5 User Test CP3 () ()

6 4-6 ( ) () () () ()

7 () user test 1999 CP CP3 BIS - IAS FASB BIS CP3 BIS CP3 4-7

8 4-8 CP3 () IAS

9 () () 13 IRB IRB

10 () () () () () () () ()

11 4-11 () () () BIS CP

12 () 84% () 65% () 55% () 35% BIS BIS BIS ()54 BIS 4-12

13 4-13 () () () BIS () () () () () AA A () ()

14 4-14 () IRB IRB IRB () ()

15 () () () () 4-15

16 4-16

17 4-17 User test

18 4-18 CP a. b. c. d. e

19 a. / b. c. d. e. f. g

20 2. a. b.irb c. 3.IRB a. IMA b.pd/lgd 4. a. b. 4-20

21 5. a. BIA b. SA c. AMA 6. a. b a. b. c

22 5. 6. a. b. c IRB 1. a. b. c. d. 4-22

23 2. 3.IRB 6 IRB 1. / 2. a. b. IRB c. d. 4-23

24 3. a. b. c. d. e. a. b. PD IRB LGD /EAD c. 4. EAD IRB 4-24

25 5. a. PD EAD b. IRB PD LGD c. IRB EAD a. b. EL EAD 6. LGDEAD 4-25

26 PD IRB LGD EAD 7 1. a. b a. b.

27 IRB 1. a. b. c. d. e. 4-27

28 2. IRB a. b. IRB 3. IRB 9 IRB 1. a. b. 2. a. b. c. d. 4-28

29 a. / b

30 2. a. b. c. d. 11 IMA 1. IMA 2.IMA a. b. c. / 3. 4.IMA a. VaR b. c. VaR 4-30

31 AMA AMA 3. AMA 13 Interest rate risk in the banking book IRRBB

32 CP3 16 materiality level IAS24 : OTC 4-32

34 () () () () () () () () () () () () () () 4-34

35 () () () () ( ) ( ) ( ) ( ) ( ) ()5 ()6 ()27 ()28 ()33 ()

36 () 1. off-balance sheet capital gain fee income disposal of non-core businesses 4. asset-liability mismatch

37 prepayment, default, etc. streamline () 1. CP3 Servicing Bank 2. () ()

38 4-38 () () () ~1994

39 % 20% %~6% 25% 25% % 4-39

40 () () mortgage () 1.

41 2. 3. Basel () IRB 4. () 1. Basel

42 Basel () CP22001 () ()CP3 ()

43 QIS 3 Technical Guide () sub-participation () credit derivatives credit-linked notes credit default swaps () () 4-43

44 () issuer SPV 3. (SPV) SPV issuer () Securitization Exposures 1. ABSMBS Cash Reserve Account 2. CP

45 4. () True Sale SPV Off-balance Sheet () Clean-up Call 1. 2.CP3 10%

46 4. () AssetLiability () 1. ()First & Second loss () () Cash Reserve 4-46

47 4-47 () Early Amortization () Excess spread Equity () () Liquidity facility 1988 Basel () 20% () 50% () ()

48 4-48 () first-loss risk () Retained repurchased senior mezzanine risk 1.

49 5%6% 2. () Retention of both first-loss and senior risk (Cash Reserve) (Excess Spread) (Overcollateralization) 4-49

50 4-50 (Senior / Subordination Tranche), (Guaranty) (L/C) Implicit support clean-up call excess spread () () 1. 2.

51 % () credit support 3. outstanding securities 4.

52 () % outstanding () 1. Basel II 10% 10% Basel II

53 2. 10% () Standardized Approach 1. credit risk 2. off-balance credit conversion factor, CCF AAA AA- 20% A+A- 50% BBB+BBB- 100% BB+BB- 350% B+ A1/P1 20% A2/P2 50% A3/P3 100% 3. originator liquidity facilities 4-53

54 revolving exposure 4. clean-up calls third party investors BB+ BB- 350% second loss position ABCP program 7. 1 Subordinated Trunche Cash Reserve 2 Basel II 4-54

55 3 Basel II 2006 Basel I 2006 Basel II 8. early amortisation

56 ()

57 4-57 Value at Risk, VaR () () 1. tranches 2. payment commitment

58 3. 4. project finance object finance commodities finance income-producing real estate high-volatility commercial real estate () transferor

59 4 transferee section II B

60 Basel FASB () 1. regulatory capital 2. Deduction Tier

61 1 50% Tier 2 50% future margin incomefmi 3. capitalized assets 4-61

62 (Debtor) (Arranger) (Underwriter / Placement Agent) / (Originator / Trustor) ( ) ( ) (Servicer & Backup Servicer) ( / / )

63 $ Clean-up Call Class A [twaaa] Class B [twa] Class C [twbbb] Class D Not-Rated

64 Entire notional amount of the reference portfolio is hedged cash flows Sponsoring Bank $ 1.5 billion Credit Portfolio $ 1.5 billion cash proceeds $ 1.5 billion of CLNs issued by Bank SPV Holds Portfolio of CLNs $ 1.5 billion cash proceeds Obligors in the reference portfolio Credit Linked Note (CLN) A security with an embedded credit default swap allowing the issuer to transfer a specific credit risk to credit investors. CLNs are created through a Special Purpose Company (SPC), or trust, which is collateralized with AAA-rated securities. Investors buy securities from a trust that pays a fixed or floating coupon during the life of the note. At maturity, the investors receive par unless the referenced credit defaults or declares bankruptcy, in which case they receive an amount equal to the recovery rate. The trust enters into a default swap with a deal arranger. In case of default, the trust pays the dealer par minus the recovery rate in exchange for an annual fee which is passed on to the investors in the form of a higher yield on the notes. $ 1.5 billion of Notes X year Notes Y year Notes

65 Use a combination of Credit Default Swap and Credit Linked Notes Sponsoring Bank $ 5 billion Credit Portfolio Obligors in the reference portfolio Default Payment and Pledge of Central Govt Securities Buy $ 5 billion credit default swap Pay Annual Fee SPV Holds $ 400 million of pledged govt securities Retained first-loss position Pay average default losses on all senior unsecured obligations of defaulted borrowers (Expected Losses) $ 400 million of CLN Senior Notes $ 400 million of cash Junior Notes

66 Bilateral Transactions Highly Rated Intermediary Institution (A) First to default payment (first loss) Credit Default Swap Fee cash flow (use CDS) Bank $ 5 billion Credit Reference Portfolio Highly Rated Intermediary Institution (B) Second to default payment Credit Default Swap Fee

67 Use an highly rated intermediary institution Highly Rated Intermediary Institution Credit Default Swap Fee Default payment & pledge of Treasuries SPV Holds $ 400 million of pledged Treasuries Credit Default Swap Fee Default payment & pledge of Treasuries equal to $ 400 million to cover losses above 1% of the reference assets Sponsoring Bank $ 5 billion Credit Portfolio Obligors in the reference portfolio $ 400 million of CLNs Senior Notes $ 400 million of cash Junior Notes

68 Amortising vs. Revolving Securitization Amortising: ( ) ( ) Revolving: Seller s Interest Principal Balance of Asset Pool = Principal Balance of Securities Po ol ba la nc (10) Mortgage life Revolving Period Amortization / Accumulation Period

新巴塞爾資本協定簡介

新巴塞爾資本協定簡介行政院所屬各機關因公出國人員出國報告書 ( 出國類別 : 實習 ) 參加東南亞國家中央銀行總裁聯合會 (SEACEN) 及金融穩定研究中心 (FSI) 共同舉辦之第九屆銀行監理人員區域性研討會報告服務機關 : 行政院金融監督管理委員會銀