Synthetic Cdo Market in Korea

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  • Topic: Lloyds Banking Group, HBOS, Lehman Brothers
  • Pages : 6 (796 words )
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  • Published : May 28, 2013
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Special Report

KIS Credit Monitor 2012.3.26

04 05

Special Report

2009.9

2010.9

2011.9

CDS TRS CLN Synthetic CDO

2,512 0 59 670 127 3,368

1,421 0 0 0 0 1,421 1,351 6 0 0 34 1,391 754 7 1,777 0 576 3,114 0 0 0 0 0 0 3,526 14 1,777

1,291 0 34 273 8 1,607 70 0 0 0 0 70 2,154 67 59 0 0 2,280 0 0 2,573 651 11 3,235 3,515 67 2,666

1,297 0 0 0 0 1,297 1,267 6 0 0 11 1,284 611 31 1,452 0 435 2,529 64 0 10 0 0 74 3,239 36 1,462

1,024 0 0 107 0 1,131 213 0 0 0 0 213 5,813 302 375 0 0 6,489 0 0 2,613 590 43 3,247 7,049 302 2,988

1,543 552 0 0 0 2,095 1,309 5 0 0 12 1,326 2,978 221 2,237 0 435 5,871 66 0 0 0 0 66 5,897 779 2,237

CDS TRS CLN Synthetic CDO

10 0 0 0 0 10

CDS TRS CLN Synthetic CDO

2,597 0 30 0 0 2,627

CDS TRS CLN Synthetic CDO

0 0 2,883 856 46 3,785

CDS TRS CLN

5,119 0 2,972

KIS Credit Monitor 2012.3.26

06 07

2009.9

2010.9

2011.9

Synthetic CDO

1,526 173 9,789

0 610 5,926 15,716

924 19 7,192

0 446 5,184 12,376

697 43 11,080

0 446 9,359 20,439

Special Report

KIS Credit Monitor 2012.3.26

08 09

Credit Risk Credit Exposure Credit Risk

ISDA(International Swaps and Derivatives Association)

CDS Premium

Special Report

KIS Credit Monitor 2012.3.26

10 11

Special Report

KIS Credit Monitor 2012.3.26

12 13

31 25 19 18 17 14 12 9 7 6 5 4 3 SK LG Macquarie Bank Limited GS

Credit Agricole S.A., Goldman Sachs Group, Inc., KT, SK China Development Bank, SK Bank of America Corporation, Morgan Stanley, Societe Generale Citigroup Inc., General Electric Capital

2

Corporation, KCC, Lloyds TSB Bank Plc, Royal Bank of Scotland N.V., SK, Sumitomo Mitsui Banking Corp., The Export-Import Bank of China

1

Barclays Bank PLC, ING Bank N.V., LG Corporate Bank, Ltd., Westpac Banking Corp.

, Metlife, Inc., Mizuho

Special Report

AAA KT SK AA+ AA AAA+ A ABBB ( ( A) CCC) ( A+) ( ( A-) A) ( AA-) ( AA) ( GS AAA) SK SK ( AA+) LG LG ( AAA)

Moody s

KIS Credit Monitor 2012.3.26

14 15

Special Report

KIS Credit Monitor 2012.3.26

16 17

Rating

Correlation Different Industry

Correlation Same Industry Different Region Global 20% 14% 8% 17% 11% 5% 15% 9% 3% 15% 17% 20% Same Industry Same Region

A2

8%

Semi-Local Local Global

Baa2

5%

Semi-Local Local Global

Ba1

3%

Semi-Local Local

Special Report

101 102 103 104 105 106 107 108 109 110 111 112 113 103 103 103 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135

Aerospace & Defense Automotive Banking Beverage, Food & Tobacco Capital Equipment Chemicals, Plastics, & Rubber Construction & Building Consumer goods: Durable Consumer goods: Non-durable Containers, Packaging & Glass Energy: Electricity Energy: Oil & Gas Environmental Industries FIRE: Finance FIRE: Insurance FIRE: Real Estate Forest Products & Paper Healthcare & Pharmaceuticals High Tech Industries Hotel, Gaming & Leisure Media: Advertising, Printing & Publishing Media: Broadcasting & Subscription Media: Diversified & Production Metals & Mining Retail Services: Business Services: Consumer Sovereign & Public Finance Telecommunications Transportation: Cargo Transportation: Consumer Utilities: Electric Utilities: Oil & Gas Utilities: Water Wholesale

Global Global Global Semi-Local Semi-Local Global Semi-Local Semi-Local Semi-Local Semi-Local Semi-Local Global Local Global Global Global Semi-Local Semi-Local Global Semi-Local Semi-Local Semi-Local Global Global Semi-Local Semi-Local Semi-Local Local Global Semi-Local Semi-Local Local Local Local Semi-Local

KIS Credit Monitor 2012.3.26

18 19

Special Report

1: 0.14 0.02 0.09 0.19 0.18 0.08 0.03 0.50

2: 0.05 0.02 -0.03 0.06 0.09 0.05 0.01 0.28 -0.02 0.11 -0.44 0.15

3: DRTM 0.15 0.27 -0.23 1.00

KIS Credit Monitor 2012.3.26

20 21

Special Report

KIS Credit Monitor 2012.3.26

22 23

(1) (1) (0) (-1) 4.22% 11.19% 1.96%

(0) 11.19%...
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