ISDA AGM: Credit support agreements grow

However, the estimated amount of collateral in circulation grew only slightly from last year, reaching $1.335 trillion.

The survey also found that firms are using more collateral to cover counterparty credit exposures. Collateral covered 66% of firms’ credit exposure to credit swaps, up from 62% last year, and 65% of firms' credit exposure to fixed-income swaps was covered this year, up from 57% last year.

“Our 2007 Margin Survey once again underscores the importance of collateralisation and its maturity as a risk mitigation tool,” said Robert Pickel, Isda’s chief executive.

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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