CIBC - Case Study

Financial Services
SAS Global Forum 2009
Paper 131-2009
Case Study
Rick Miller
Vice-President, Credit Risk Data Solutions

Risk Management, CIBC
CIBC 2009 All Rights Reserved
Risk Management:
Using the SAS Platform at CIBC
For what matters.
Financial Services
Disclaimer
Any views, opinions, advice, statements, or other information or content
expressed or implied in the following presentation are solely those of the
presenter and do not necessarily state or reflect the views, positions, or
opinion of Canadian Imperial Bank of Commerce (CIBC) or any of its
subsidiaries or affiliates.
For what matters.
Financial Services
Key Data Challenges

The Journey Ahead
Increased Spotlight on Credit Risk Data
A Brief Overview of the Basel II Framework
Todays Discussion
For what matters.
Financial Services
About CIBC
All amounts in C$
Canadian Imperial Bank of Commerce (CIBC) is a leading

North American Financial institution
we offer a full range of products and services to almost

11 million individuals and small businesses, corporate and
institutional clients
At year-end (October 31, 2008):

Market capitalization was $20.8 billion
Tier 1 capital ratio was 10.5%
employed nearly 40,000 employees worldwide
had 1,050 branches in Canada and more than 3,700 ABMs
constituent of the Dow Jones Sustainability Index (DJSI)

for seven consecutive years (one of 25 banks worldwide)
For what matters.
Financial Services
The Basel II Framework Goals
a global framework issued by Bank of International

Settlements (BIS) and managed by national supervisors
Credit Risk
Operational Risk
Market Risk
developed over the period 1999 2005 with broad

impact studies
consultation globally
with
Pillar III
Pillar I along
Pillar
II quantitative
Calculation of
SelfDisclosure
Minimum
Assessment
and
Capital
and
The Basel IIRequirements

Committee Goals
were: Market
Supervisory
Discipline
Review
to enhance risk sensitivity
of capital
requirements
greater emphasis on banks own assessment of risk
improve transparency for market discipline
Basel II was implemented November 1, 2007 by CIBC and

other major banks in Canada
For what matters.
Financial Services
Pillar I
Pillar II
Disclosure
and
Market
Discipline
Pillar III
Calculation of
Minimum
Capital
Requirements
SelfAssessment
and
Supervisory
Review
Credit Risk
Operational Risk
Market Risk
The Basel II Framework
For what matters.
Financial Services
Best
Bank A
Bank B
Default Rating
Worst
Corporate
Loan Portfolio
Distribution of Credit Risk
For what matters.
ILLUSTRATIVE
assume credit portfolio size is identical for both banks

but with a different mix of credit risk
Exposure ($)
Financial Services
Exposures
Total
CAR 1
Capital
Corporate
Loan Portfolio
Bank B
Bank A
Previous CAR: No Differentiation
For what matters.
ILLUSTRATIVE
Under previous Capital Adequacy rules, both portfolios

would require the same amount of minimum regulatory capital
($)
Financial Services
Total
CAR 1
Capital
Basel II
Capital
Corporate
Loan Portfolio
Exposures
Bank B
Bank A
ILLUSTRATIVE
AIRB Approach
Basel II: Risk Sensitive, More Capital
For what matters.
The strategic implication is that banks with riskier portfolios

will have higher minimum regulatory capital requirements
($)
Financial Services
Basel II Glossary: Credit Risk Capital
The Basel II Framework allows the use of bank-specific

estimates of risk components in determining the capital
component for a given exposure:
Probability of default (PD)
Exposure at default (EAD)
Loss given default (LGD)
Effective maturity
10
Firm-size adjustment for Small Medium Enterprises (SME)
For what matters.
Financial Services
Basel II Glossary: Credit Risk Capital

Expected Loss (EL) = PD * EAD * LGD
Unexpected
loss
11
Unexpected Loss (UL) calculated using sophisticated Basel II

formulae incorporating PD, EAD, LGD
Loss
99.9th percentile
of loss
Probability of Default
Expected loss
minimum regulatory capital is a function of the calculation

of unexpected loss (UL) and expected loss (EL)
For what matters.
Financial Services
some capital relief for credit risk

mitigation (e.g., collateral)
12
banks can use external credit ratings
more gradations of risk
similar to existing BIS88
STANDARDIZED APPROACH
Basel II: Three Options for Credit Risk
Standardized
Approach
More Stringent Qualifying Criteria
For what matters.
More Sophistication and Risk Sensitivity
Financial Services
13
expected Minimum requirement for

internationally active banks
supervisors provide estimates for:

Loss Given Default (LGD) and
Exposure At Default (EAD)
banks use their own estimates of:

Probability of Default (PD)
based on internal data and risk ratings
FOUNDATION INTERNAL RATINGS

BASED APPROACH (FIRB)
Foundation
Internal Ratings
Based Approach
Standardized
Approach
For what matters.
Financial Services
banks use their own estimates of:

Probability of Default (PD)
Loss Given Default (LGD)
Exposure at Default (EAD)
complex and internationally active

banks encouraged to move to this
approach
14
based on internal data and risk ratings
ADVANCED INTERNAL RATINGS

BASED APPROACH (AIRB)
Advanced
Internal Ratings
Based Approach
(AIRB)
Foundation
Internal Ratings
Based Approach
Standardized
Approach
For what matters.
Financial Services
15
Supervisor expects all major

Canadian banks to implement
AIRB
Banks must have a robust

system in place to validate the
accuracy and consistency of:
- rating systems,
- processes, and
- estimation of all relevant
risk components
Banks must meet broad

risk-quantification standards
for own estimates of PD,
LGD, EAD
Advanced
Internal Ratings
Based Approach
(AIRB)
Foundation
Internal Ratings
Based Approach
Standardised
Approach
For what matters.
Financial Services
Basel II Glossary: Exposure Classes
CORPORATE
SOVEREIGN
BANK
RETAIL
Residential Secured
Qualifying Revolving Retail
All Other Retail
EQUITIES (non-traded)
under the IRB approach, banks must categorize banking-book

exposures into broad classes of assets, specifically:
16
the work here was focused on ensuring that the identifiers to

classify exposures were available, accurate, complete, and
persistent in the source data
For what matters.
Financial Services
Basel II Glossary: Exposure Types
additional granularity of reporting using counterparty type
Other Retail
Qualifying revolving retail
Residential secured
xxx
xxx
xxx
xxx
Drawn
xxx
xxx
xxx
xxx
xxx
Undrawn
xxx
xxx
xxx
xxx
xxx
xxx
Repo style
transactions
xxx
xxx
xxx
xxx
xxx
xxx
OTC
derivatives
xxx
xxx
xxx
xxx
xxx
xxx
xxx
Other
xxx
xxx
xxx
xxx
xxx
xxx
xxx
TOTAL
ILLUSTRATIVE
Corporate
xxx
xxx
xxx
Credit Exposures
by type for the period ending...
Sovereign
xxx
xxx
(Canadian $ millions)
Bank
xxx
xxx
Total Gross Credit Risk Exposures
For what matters.
17
Financial Services
Data Maintenance Focus by Regulators
Implementation Note by the Canadian supervisor (OSFI),

Data Maintenance at IRB Institutions
provides general guidance on data maintenance
and principles to apply
supervisor will monitor ongoing data maintenance
compliance
Data Maintenance Principles include guidance on:

Senior Management Oversight Accountabilities
Data Life-Cycle Management
For what matters.
18
Financial Services
So, What Is the Prize?

regulatory compliance is critical
19
for CIBCs mix of business, using the Basel II AIRB approach

results in a small overall reduction of capital for credit risk
for line of business operations, ties the allocation and use

of regulatory capital to the risk profile of the business
promotes an enterprise-wide focus on the importance of

accurate and complete risk data
introduces formal requirements for back testing and

stress testing of rating systems and parameter estimates
to supplement and enhance existing practices
For what matters.
Financial Services
Getting Started
CIBC Case Study
Developing Parameter Estimates
Calculating Basel II Regulatory Capital
For what matters.
20
Financial Services
CIBC Case Study: Where We Started
developed a broad understanding of the Basel II Framework

requirements
assessed what already existed, in terms of:
People
Processes
Data
Systems / tools
developed a gap analysis and secured senior management

support and funding for projects to close the gaps
21
strategy was to leverage existing capability, wherever possible
For what matters.
Financial Services
The Data Approach
use the Basel II Framework document to understand and

then define the mandatory risk data
create a logical model to consolidate and organise the data
determine where the data exists and identify any data gaps
enhance systems to collect and store the required data
harmonise different data definitions through the application

of business logic
implement a data maintenance framework to include:

risk data stewardship roles & responsibilities
data standards for accuracy, completeness, timeliness
data controls, measurement, and monitoring
data security and access
For what matters.
22
Financial Services
BORROWER
VOLUME
EXPOSURE
DIMENSIONS
ASSIGNMENT OF
RISK PARAMETERS
VIEW OF
CREDIT RISK
Hundreds of thousands
Large authorization /
outstanding balances per
borrower - multiple facilities
Assigned to each borrower
Borrower-centric
(across all org units and all
products)
CORPORATE, SOVEREIGN,
BANK, EXPOSURE CLASSES
Many millions
Small authorization /
outstanding balances
Assigned to each pool
Product-centric
(homogeneous pools)
RETAIL EXPOSURE
CLASSES
Different Credit Risk Data Challenges
RATING SYSTEMS
Requires sophisticated risk

rating systems
Requires less
complex credit
scoring
23
More straightforward
Challenging across exposure

classes and exposure types
RECONCILIATION:
EXPOSURES TO G/L
For what matters.
Financial Services
Key Challenges: Credit Risk Data

significant amount of data is required
require numerous feeds from different kinds of source

systems
state of current credit risk data
how to reconcile credit risk balances originating in these

disparate systems to the General Ledger
systems constraints / timing
For what matters.
24
Financial Services
What Data Do We Need?
25
ILLUSTRATIVE
decompose Basel II Framework clauses into mandatory

credit risk data for AIRB compliance
Borrower / Guarantor
Effective
Borrower
Characteristics
Maturity
Default
Expected
Ratings
Loss
Facility Info
Economic
Loss History
External
Parameter
Collateral
Credit
Estimates
Characteristics
Basel II Capital
Assessments
(PD, LGD, EAD)
Calculations
Credit Risk
Exposures
Basel II
Mitigation
Exposure
Risk
Classes
Weighted Assets Borrower / Guarantor
Identity
(RWA)
Risk Rating /
Scoring Models
For what matters.
Financial Services
(3) booking,
managing
exposures,
and collateral
value
Credit
Adjudication
(2) approve
terms and
conditions
(e.g., limits,
default ratings)
Where To Look For The Data
Credit
Application
Fulfillment
and
Operations
Analyze the
Credit Risk Data Lifecycle
(1) initial
data capture,
verification,
validation
For what matters.
Monitoring
and
Reporting
ILLUSTRATIVE
26
Financial Services
Risk
Weighted Assets
(RWA)
Risk
Calculations
(PD, LGD, EAD)
27
ILLUSTRATIVE
Basel II
Regulatory
Capital
Mandatory Credit Risk Data
How Do We Organize The Data?
For what matters.
Financial Services
Risk
Weighted Assets
(RWA)
Risk
Calculations
(PD, LGD, EAD)
Risk Rating /
Scoring Models
Parameter
Estimates
28
ILLUSTRATIVE
Basel II
Regulatory
Capital
For what matters.
Financial Services
Risk
Calculations
(PD, LGD, EAD)
Risk Rating /
Scoring Models
Economic
Loss History
External
Credit
Assessments
29
ILLUSTRATIVE
Basel II
Regulatory
Capital
Parameter
Estimates

Borrower /
Guarantor
Identity
Borrower /
Guarantor
Characteristics
Facility
Details
Credit Risk
Mitigation
Risk
Weighted Assets
(RWA)
Instrument
Balances
For what matters.
Financial Services
What We Learned About Our Data

the most challenging task was mapping data
there was no common data model
there were some data breaks
we didnt have granular enough historical data
data definitions were inconsistent
as the parallel year progressed, we measured success by the

reduction in the use of defaults for RWA calculations
For what matters.
30
Financial Services
Risk Rating /
Scoring Models
Risk
Calculations
(PD, LGD, EAD)
Economic
Loss History
31
External
Credit
Assessments
Basel II
Regulatory
Capital
Parameter
Estimates
using Residential Mortgages

as an example
Case Study #1: Parameter Estimation

Borrower /
Guarantor
Identity
Borrower /
Guarantor
Characteristics
Facility
Details
Credit Risk
Mitigation
Risk
Weighted Assets
(RWA)
Instrument
Balances
For what matters.
Financial Services
Overview: Parameter Estimation
risk rating systems rank order the quality of individual credit

risk exposures and groupings of exposures
there are three important dimensions:

the risk of the borrower defaulting (PD)
factors specific to individual transactions to estimate
the economic loss, given default (LGD)
the calculation of exposure amount at default (EAD)
the estimates for PDs need to be long-run averages of the

actual one-year default rates
LGDs must be developed from historical losses and recoveries
32
these parameters must be good predictors of future loss events
banks are expected to reflect conservative estimates

For what matters.
Financial Services
Key Challenges: Parameter Estimation
required history (at least one full economic cycle) not readily
available for some required attributes
scarcity of CIBC-specific default data (e.g., Sovereigns, Banks)

granularity of data not always available
persistence of key data over time due to systems changes
requires unique analytical skill sets to build parameter

estimation models
33
parameter estimation models must be independently validated
For what matters.
Financial Services
Developing Retail PD Estimates
Basel II requires banks to pool retail exposures with similar risk

characteristics and estimate the Probability of Default (PD)
Transaction Metrics
Pool Pool Pool Pool Pool Pool
1
2
3
4
5
n
Borrower Metrics
Transaction Metrics
Pool Pool Pool Pool Pool Pool
1
2
3
4
5
n
PD
34
Analytic Engine:
determines pools
forecasts PD for each pool
revises pools to ensure
appropriate Capital
stress testing
each individual exposure within the pool then acquires the

parameters of the pool to which it belongs
Historic Portfolio
Performance Data
Historic Economic Data
For what matters.
Borrower Metrics
Financial Services
35
Basel II Definitions: Probability of Default (PD)
Probability of Default (PD) is a measure of the likelihood of an

uncertain future event.
the Basel II Residential Mortgages Exposure Class includes

mortgages for:
single-family homes, whether they are owner-occupied or not
multi-family buildings with maximum of 4 units
Basel II definition of default (clauses 452-453), either or both of:

obligor is past due 90 days on credit obligation to the bank
the bank considers the obligor unlikely to pay credit
obligations in full
Basel II time horizon (clause 466) specifies historical observations

of at least five years
Basel II data sources (clause 464) specifies banks must regard

internal data as the primary source of information for estimating
loss characteristics
For what matters.
Financial Services
Creating Pools for Residential Mortgages
Internal
source data
Current
ILLUSTRATIVE
Owner-occupied /
mixed
LTV > 0.x
Rental property
Pool F
36
Pool E
Pool D
LTV <= 0.x
through analysis, we derived the key available risk factors

we pooled mortgage loans on the following criteria:
arrears status in bands, e.g., current, 1-29 days delinquent, etc.
Loan-To-Value (LTV) ratio
Occupancy Status, e.g., rental, owner-occupied, etc.
1-29 days
delinquent
Pool C
Pool B
30-59 days
delinquent
Pooling for Residential Mortgages
60-89 days
delinquent
Pool A
For what matters.
Financial Services
Meeting the Basel II Requirements
To conform to the Basel II requirements, we ensure that:
37
1. The pools clearly differentiate the PDs (clause 401)

PD in one pool should not significantly intersect with others
2. Each pool contains enough borrowers and defaulted borrowers

to allow for meaningful quantification and validation of loss
characteristics at the pool level (clause 409)
3. PD pools display sufficiently homogenous behaviour over time

subject to policy changes, etc.
4. If any pool would have a PD less than 3 basis points, we assign

the Basel II floor of 3 basis points (clause 331)
For what matters.
Financial Services
ILLUSTRATIVE
Reviewing the Historical Performance Data
For what matters.
38
Financial Services
Next Steps Deriving the PDs
for each Residential Mortgages pool, data was analyzed to produce

lower quartile, median, and upper quartile values
0000.00
0000.00
0000.00
0000.00
0000.00
0000.00
0000.00
0000.00
0000.00
0000.00
Max
0000.00
0000.00
0000.00
0000.00
0000.00
Adjusted
PD
0000.00
0000.00
0000.00
0000.00
0000.00
PD
Estimate
00.0
00.0
00.0
00.0
00.0
00.0
Average
Balance
ILLUSTRATIVE
A
0000.00
0000.00
0000.00
0000.00
0000.00
PD (bps)
B
0000.00
0000.00
0000.00
0000.00
Min
C
0000.00
0000.00
0000.00
Std
0000.00
0000.00
Mean PD
0000.00
0000.00
Pool ID
For what matters.
39
Financial Services
Next Steps Implementing & Monitoring
statistical analysis was performed to test for:

meaningful distribution of borrowers across pools
homogenous behaviour within pools
trending
adjustment needed for sampling error(s)
we derived our estimate of long-run average PD for each pool

we tested the accuracy of our predictions
we implemented the PD model into production for calculation

of Risk Weighted Assets (RWAs) for Residential Mortgages
we monitor and analyze the observed default rate over time

against the estimate
40
reports to senior management highlight performance over time

For what matters.
Financial Services
Risk Rating /
Scoring Models
Risk
Calculations
(PD, LGD, EAD)
Economic
Loss History
41
External
Credit
Assessments
Basel II
Regulatory
Capital
Parameter
Estimates
Case Study #2: Calculating Risk Weighted Assets

Borrower /
Guarantor
Identity
Borrower /
Guarantor
Characteristics
Facility
Details
Credit Risk
Mitigation
Risk
Weighted Assets
(RWA)
Instrument
Balances
For what matters.
Financial Services
The Road to Basel II Risk Weighted Assets
minimum regulatory capital under Basel II is based on the

calculation of Risk Weighted Assets (RWAs)
RWAs are calculated according to established mathematical

formulae utilizing PDs, LGDs, EADs, and in some cases,
maturity adjustments
Sourcing, processing, and reconciling data in order to calculate,

store, and report on RWAs for the calculation of minimum
regulatory capital is the core of the Basel II data challenge
The Basel II Capital Adequacy Requirements (BCAR) Return

provides Canadian regulators with quarterly status on the
Banks capitalization in relation to the risks it has assumed
42
In Canada, the minimum ratio for Total Capital to Risk Assets

and Total Assets is 8%
For what matters.
Financial Services
staging areas
Economic
Capital
calculation
engines
Business
Rules
Risk
Analytics
Models
RETAIL &
WHOLESALE
CREDIT
RISK DATA
WAREHOUSES
RWA
calculation
engines
Business Intelligence Layer
Direct
Feed to
Regulators
Other
Applications
& Models
Reports
Views
ILLUSTRATIVE
Credit Risk Data Architecture Overview

Party
Reference
Data
G/L
Balances &
Hierarchies
Credit
Application &
Adjudication
Account
Management
& Monitoring
Transaction
Systems
External
Ratings
For what matters.
Data Integration Layer (various ETL tools push/pull)
43
Financial Services
final reconciliation of
all risk assets
ILLUSTRATIVE
General Ledger
reconcile balances of
retail assets to
General Ledger
RWA calculator engine

for all retail assets and
pool summaries
analytic engine to assign

retail assets into pools
assign retail assets to

Basel II Exposure Class
reference data
The Process for RWAs Retail Credit Risk

extract monthly source
data for all retail assets
as at month-end
staging area
data validation
Parameter tables
(PD, LGD, EAD)
creation of BCAR and

other regulatory reports
For what matters.
44
Financial Services
Org
Org
BOA
Account
BOA
Account
SubAcct
CustGrp
CustGrp
For what matters.
Balance
Balance
Credit Risk data warehouses

Other Risk Data Attributes
Finance systems
Other Financial Attributes
reconciliation is required for all Basel II Exposure Classes and

Exposure Types (drawn, undrawn, other off-balance sheet)
SubAcct
Reconciliation To The General Ledger

Product
Accounting
Code block
Product
45
Financial Services
Org
Org
BOA
Account
BOA
Account
SubAcct
CustGrp
CustGrp
For what matters.
Balance
Balance
Credit Risk data warehouses

Other Risk Data Attributes
Finance systems
Other Financial Attributes
Challenges:
source systems are not unique by Basel II Exposure Class
ensuring accurate booking of transactions across multiple source
systems
reconciliation is required for all Basel II Exposure Classes and

Exposure Types (drawn, undrawn, other off-balance sheet)
SubAcct
Reconciliation To The General Ledger

Product
Accounting
Code block
Product
46
Financial Services
Analysis and Reporting

multiple business stakeholders have regulatory and
management reporting needs for credit risk data
Regulators require specific credit risk reports quarterly,

due 30 days after fiscal quarter-end:
BCAR (Basel II regulatory capital)
NCR (new credit risks)
Board of Directors and senior management oversight
Line of Business Analysis of:

exposures, risk calculations (e.g., EAD, EL, RWA, etc.)
risk profiles - ODR/LGD distributions, etc.
portfolio metrics geographic, industry, etc.
Performance measurement of risk analytics models for

continuous improvement
For what matters.
47
Financial Services
SAS
Enterprise
Miner
Risk
Analytics
Models
RETAIL
CREDIT
RISK DATA
WAREHOUSE
SAS
Enterprise
Guide
SAS
DI Studio
Business
Rules
SAS
Enterprise
Guide
SAS
Risk Dimensions
RWA
calculation
engines
Reports
Other
Applications
& Models
Direct
Feed to
Regulators
SAS
OLAP
Studio
48
Analytic Cubes / Marts
SAS Platform for Retail Credit Risk

ILLUSTRATIVE
staging areas
Economic
Capital
calculation
engines
Business Intelligence Layer
Party
Reference
Data
G/L
Balances &
Hierarchies
Credit
Application &
Adjudication
Account
Management
& Monitoring
Transaction
Systems
External
Ratings
For what matters.
Data Integration Layer (various ETL tools push/pull)
Financial Services
Summary
under Basel II AIRB, a bank will be able to self-assess and

report minimum regulatory capital for credit risk
49
approval and ongoing compliance is dependent upon banks

demonstrating the integrity of their risk rating methodologies
and data used to calculate regulatory capital
senior management has accountability for establishing and

monitoring the enterprise-wide observance of the risk data
management framework
the payback on the Basel II investment comes from the

use of the new regulatory capital information for businesses
to more effectively manage risk
For what matters.
Financial Services
For what matters.
While we are well on our way

at CIBC, the journey continues
50
Financial Services
For what matters.
Thank You
contact: rick.miller@cibc.ca
51

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Financial Services

SAS Global Forum 2009

SAS Global Forum 2009

Vice-President, Credit Risk Data Solutions

CIBC 2009 All Rights Reserved

For what matters.

SAS Global Forum 2009

Any views, opinions, advice, statements, or other information or content

expressed or implied in the following presentation are solely those of the

presenter and do not necessarily state or reflect the views, positions, or

SAS Global Forum 2009

opinion of Canadian Imperial Bank of Commerce (CIBC) or any of its

CIBC 2009 All Rights Reserved

For what matters.

SAS Global Forum 2009

Key Data Challenges

CIBC 2009 All Rights Reserved

SAS Global Forum 2009

Increased Spotlight on Credit Risk Data

A Brief Overview of the Basel II Framework

For what matters.

SAS Global Forum 2009

Canadian Imperial Bank of Commerce (CIBC) is a leading

we offer a full range of products and services to almost

SAS Global Forum 2009

At year-end (October 31, 2008):

CIBC 2009 All Rights Reserved

constituent of the Dow Jones Sustainability Index (DJSI)

For what matters.

SAS Global Forum 2009

The Basel II Framework Goals

a global framework issued by Bank of International

developed over the period 1999 2005 with broad

The Basel IIRequirements

CIBC 2009 All Rights Reserved

SAS Global Forum 2009

Basel II was implemented November 1, 2007 by CIBC and

For what matters.

SAS Global Forum 2009

SAS Global Forum 2009

CIBC 2009 All Rights Reserved

The Basel II Framework

For what matters.

SAS Global Forum 2009

Distribution of Credit Risk

For what matters.

CIBC 2009 All Rights Reserved

SAS Global Forum 2009

assume credit portfolio size is identical for both banks

SAS Global Forum 2009

Previous CAR: No Differentiation

For what matters.

CIBC 2009 All Rights Reserved

SAS Global Forum 2009

Under previous Capital Adequacy rules, both portfolios

SAS Global Forum 2009

CIBC 2009 All Rights Reserved

SAS Global Forum 2009

Basel II: Risk Sensitive, More Capital

For what matters.

The strategic implication is that banks with riskier portfolios

SAS Global Forum 2009

Basel II Glossary: Credit Risk Capital

The Basel II Framework allows the use of bank-specific