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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