4-1
5 5 5 5 6 6 7 7 7 CP3 8 9 9 10 11 BIS CP2 11 BIS 54 12 BIS 12 12 13 13 13 14 IRB 14 4-2
14 14 14 15 15 15 15 16 16 16 16 16 16 17 17 17 17 17 CP3 13. 18 35 37 36 36 36 37 37 40 Basel 4-3
41 42 42 QIS 3 Technical Guide 43 43... 44.. 46 46 46 47 Liquidity facility. 47 47. 47 48.. 49 Implicit support clean-up call excess spread. 50.. 53 56 62 63 64 65 66 67 68 4-4
4-5 User Test CP3 () ()
4-6 ( ) () () () ()
() user test 1999 CP1 2003 CP3 BIS - IAS FASB BIS CP3 BIS CP3 4-7
4-8 CP3 () IAS 24 27 31 32 39 1. 2. 3. 4. 5. 6. - 7. 2005 1.
4-9 2. () 1. 2. 3. 4. () 13 IRB IRB
() () () () () () () () 1. 2. 3. 4-10
4-11 () () () 1. 2. BIS CP2 12 104 54 1. 2. 3. 4. 5. 6. 7. 8. 9. 10.
11. 12. 1999 2001 () 84% () 65% () 55% () 35% BIS 54 12 BIS BIS 100 80 60 40 20 0... 200154......... 1999 2001 12 ()54 BIS 4-12
4-13 () () () BIS () () () () () AA A () ()
4-14 () IRB IRB IRB () ()
() () () () 4-15
4-16
4-17 User test
4-18 CP3 13 1 1. 2. a. b. c. d. e. 3. 4. 5. 6.
2 1. 2. a. / b. c. d. e. f. g. 3. 4. 5. 3 1. 4-19
2. a. b.irb c. 3.IRB a. IMA b.pd/lgd 4. a. b. 4-20
5. a. BIA b. SA c. AMA 6. a. b. 4 1. a. b. c. 2. 3. 4. 4-21
5. 6. a. b. c. 7. 8. 5 IRB 1. a. b. c. d. 4-22
2. 3.IRB 6 IRB 1. / 2. a. b. IRB c. d. 4-23
3. a. b. c. d. e. a. b. PD IRB LGD /EAD c. 4. EAD IRB 4-24
5. a. PD EAD b. IRB PD LGD c. IRB EAD a. b. EL EAD 6. LGDEAD 4-25
4-26 7. PD IRB LGD EAD 7 1. a. b. 2. 3. a. b.
4. 5. 6. 8 IRB 1. a. b. c. d. e. 4-27
2. IRB a. b. IRB 3. IRB 9 IRB 1. a. b. 2. a. b. c. d. 4-28
3. 4. 5. a. / b. 6. 7. 8. 9. 10 1. 4-29
2. a. b. c. d. 11 IMA 1. IMA 2.IMA a. b. c. / 3. 4.IMA a. VaR b. c. VaR 4-30
12 1. 2. AMA AMA 3. AMA 13 Interest rate risk in the banking book IRRBB 1. 2. 4-31
CP3 16 materiality level IAS24 : 6-92.08.07 92.08.07 92.08.07 OTC 4-32
002924 91.05.13 0926000305 4-33
() 89.11.0133 5 49 () 90.11.12369 1 12 () 91.06.1214 36 36 1 () 89.12.139 () 90.07.094 5 6 7 47 48 () 91.07.245 6 17 () 92.04.3021 59 67 () 91.12.10 18 19 30 31 () 90.10.30 () () 89.12. () 90.10.16 () 92.06.02 () 4-34
() 90.10.31 () 91.12.30 () 90.10.31 () 90.12.18 ( ) 90.10.25 ( ) 90.12.20 ( ) 85.11.05 ( ) 91.09.20 ( ) 88.02.23 ()5 ()6 ()27 ()28 ()33 ()34 4-35
() 1. off-balance sheet capital gain fee income 2. 3. disposal of non-core businesses 4. asset-liability mismatch 5. 4-36
4-37 6. 7. prepayment, default, etc. streamline () 1. CP3 Servicing Bank 2. () ()
4-38 () () 1. 2. () 1. 1993~1994
2.100 80 20 20 20% 20% 3. 100 80 5%~6% 25% 25% 1929 25% 4-39
4-40 1987 2000 () 1. 2. () mortgage () 1.
2. 3. Basel () 1. 2. 3. IRB 4. () 1. Basel 2. 4-41
4-42 3. 4. Basel () CP22001 () ()CP3 ()
QIS 3 Technical Guide () sub-participation () credit derivatives credit-linked notes credit default swaps () () 4-43
() 1. 2. issuer SPV 3. (SPV) SPV issuer () Securitization Exposures 1. ABSMBS Cash Reserve Account 2. CP3 3. 4-44
4. () True Sale 1. 2. SPV 3. 4. 5. Off-balance Sheet () Clean-up Call 1. 2.CP3 10% 3. 4-45
4. () 1. 2. AssetLiability () 1. ()First & Second loss () () Cash Reserve 4-46
4-47 () Early Amortization () Excess spread Equity () () Liquidity facility 1988 Basel () 20% () 50% () ()
4-48 () first-loss risk 1. 2. 3. () Retained repurchased senior mezzanine risk 1.
5%6% 2. () Retention of both first-loss and senior risk (Cash Reserve) (Excess Spread) (Overcollateralization) 4-49
4-50 (Senior / Subordination Tranche), (Guaranty) (L/C) Implicit support clean-up call excess spread () 1. 2. () 1. 2.
4-51 3. 4. 10% () 1. 2. credit support 3. outstanding securities 4.
4-52 1 2 3 () 506 1. 2. 10% outstanding () 1. Basel II 10% 10% Basel II
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
revolving exposure 4. clean-up calls 506 511 5. 1 third party investors BB+ BB- 350% 2 6. 1 2 second loss position ABCP program 7. 1 Subordinated Trunche Cash Reserve 2 Basel II 4-54
3 Basel II 2006 Basel I 2006 Basel II 8. early amortisation 1 2 3 9. 4-55
4-56 1 2 546 3 547 557 4 5 ()
4-57 Value at Risk, VaR () 1. 2. () 1. tranches 2. payment commitment
3. 4. project finance object finance commodities finance income-producing real estate high-volatility commercial real estate () 1. 504 1 2 transferor 3 4-58
4 transferee 5 6 506-511 2. 505 1 section II B 71 2 108 109 3 159 4 5 6 3. 4-59
4-60 1 2 1 2 Basel FASB () 1. regulatory capital 2. Deduction Tier
1 50% Tier 2 50% future margin incomefmi 3. capitalized assets 4-61
(Debtor) (Arranger) (Underwriter / Placement Agent) / (Originator / Trustor) ( ) ( ) (Servicer & Backup Servicer) ( / / ) 4-63 4-62
$ Clean-up Call Class A [twaaa] Class B [twa] Class C [twbbb] Class D Not-Rated 4-64 4-63
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 4-65 4-64
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 4-66 4-65
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 4-67 4-66 4-66
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 4-68 4-67
Amortising vs. Revolving Securitization Amortising: ( ) ( ) Revolving: 5.48 50 Seller s Interest 40 30 20 10 Principal Balance of Asset Pool = Principal Balance of Securities Po ol ba la nc 0 1 25 49 73 97 121 145 169 193 217 241 (10) Mortgage life Revolving Period Amortization / Accumulation Period 4-69 4-68