Derivatives securitisation takes off

UBS, Deutsche Bank and ABN Amro have sold parts of their derivatives credit counterparty risk to free credit lines. Is the market for securitised derivatives counterparty risk on the rise? Sarfraz Thind reports


Global derivatives volumes continue to grow at a rapid pace, with the Bank for International Settlements saying in May that outstanding notionals hit almost $200 trillion at the end of last year. And individual dealers are chasing more and more business – at last count, JP Morgan Chase’s derivatives book totalled $37 trillion in notional volumes, according to fourth-quarter 2003 figures by the Office of the Comptroller of the Currency.

The sheer scale of banks’ exposures to derivatives

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