KfW now using two-way CSAs, dealers claim

Several sovereigns, supranationals and agencies are considering following Portugal’s lead and posting collateral to derivatives counterparties, say dealers


When Portugal's debt office decided to sign two-way collateral agreements with its derivatives counterparties – a story broken by Risk last July – dealers hoped other sovereign, supranational and agency (SSA) issuers would follow suit. The Portuguese move did have an impact, but not the kind dealers had hoped.

"Portugal has almost made things worse. Because they were perceived to be in a very weak position, it was almost seen as a concession. No-one else wants to go next because they risk being

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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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