Derivatives securitisation takes off

Risk management

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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 count

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