版本2013更新2b补遗5：：替换用以计算违约距离（DTD）的.pdfVIP

19 March 2014 – Addendum 5 to the CRI Technical Report (Version: 2013, Update 2b) This document updates the Technical Report (Version: 2013, Update 2b) and details (1) a revision to the balance sheet items used in distance-to-default (DTD). These changes have been implemented as of the probabilities of default (PD) released on 19th of March. I. Revision to balance sheet items used in distance-to-default (DTD) Due to our data provider moving to a more nuanced classification of balance sheet items for financial services firms, we have added a fourth Bloomberg field to the calculation of the current liability substitute used in our calculation of distance-to-default (DTD) for financial firms, the field BS_SEC_SOLD_REPO_AGRMNT. Thus, the current liability substitute becomes the sum of BS_ST_BOROW, BS_OTHER_ST_LIAB, BS_CUST_ACCPT_LIAB_CUSTDY_SEC (customers’ acceptance and liabilities/custody securities) and BS_SEC_SOLD_REPO_AGRMNT. If one, two or three of these fields are missing, zero is inserted for those fields, but at least one of the four fields is required. The net effect of this change is higher debt levels for financial firms with large stocks of repurchase agreements (“repos”) on their books, in particular global broker-dealers. The following example illustrates how this change will generally affect RMI PDs of banks with large repo books, using the data for a global broker-dealer currently covered by RMI’s PD model. The change is designed to avoid similar problems identified in the example. 1 Addendum 5 to the CRI Technical Report (Version: 2013, Update 2b) Figure 1: RMI distance-to-default (RMI DTD) inputs for a gl