Committee on the Global
Financial System
The role of ratings in
structured finance: issues
and implications
Report submitted by a Working Group established by the
Committee on the Global Financial System
January 2005
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The role of ratings in structured finance: issues and implications
iii
Contents
Executive summary ..................................................................................................................................1
1.
Introduction ....................................................................................................................................4
2.
Structured finance markets: structure and development ...............................................................4
2.1 Key characteristics of structured finance.............................................................................4
2.2 Market participants and their roles.......................................................................................5
2.3 Market size...........................................................................................................................7
2.4 Basic structured finance economics ....................................................................................8
2.5 Complexity and risk properties of structured finance instruments.....................................11
2.6 Mark