Isda AGM: Collateral requirements decreasing

The International Swaps and Derivatives Association published preliminary results of an analysis on credit risk among 18 of the largest derivatives dealers, during its annual general meeting in Boston yesterday. The final report is expected to be released in a couple of weeks.

One of the main findings was that the five largest exposures of a top 10 dealer to another dealer –reflecting a gross amount across all asset classes and before taking collateral into account– comprised 10% of net exposures. Collateral reduced the percentage to 2%. Those figures in 2003 were 14.5% and 1.2% respectively, suggesting that less collateral is now being required.

Also, the five largest exposures to a non-dealer counterparty, such as to Fannie Mae, the World Bank or a hedge fund, among

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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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