Sovereign two-way CSAs would probably resemble one-way posting, says Dutch DMO

High thresholds would reduce credit and funding benefits of two-way CSAs for banks, DSTA head says


Reciprocal collateral agreements between sovereign swap users and dealer counterparts would probably not be radically different to one-way credit support annex (CSA) agreements, says Erik Wilders, head of the Dutch State Treasury Agency (DSTA) in The Hague.

"In theory, if we were to sign two-way CSAs with swap dealers, the agreements would have to provide enough warranties to ensure we never get exposure to the credit risk of a bank. In other words, the CSAs would have very high posting

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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.

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