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Thursday, April 17

Credit Portfolio Management Survey

by Sean Sprackling on Thu 17 Apr 2008 11:29 BST

The results of a joint survey by the International Association of Credit Portfolio Managers (IACPM), ISDA, the Risk Management Association (RMA) and McKinsey were released yesterday. The survey polled large numbers of global banks and insurance companies to see how credit portfolio management practices were affected during the current crisis.

Interestingly, as the FT reported yesterday, CDS volumes actually went up over last summer, but the survey highlights some divergent approaches to credit portfolio management. There was a significant split between those that believe they are well positioned to deal with future crises and those that do not (regular readers of this blog will now my opinion on this - the optimists are clearly kidding themselves). As the press release says "..fifty percent of survey respondents are concerned their institutions do not have systematic and rigorous analytical cycle management in place and many of these ... more »

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ISDA Preliminary Margin Survey Results

by Sean Sprackling on Thu 17 Apr 2008 10:45 BST

Another release following their AGM...

VIENNA, Wednesday, April 16, 2008 – Use of collateral in privately negotiated derivatives transactions grew significantly in 2007, with the amount of collateral in circulation now estimated at $2.1 trillion. The International Swaps and Derivatives Association, Inc. (ISDA) today released preliminary results from its 2008 ISDA Margin Survey at its 23rd Annual General Meeting in Vienna.

The results show an increase of almost 60 percent over the estimated $1.335 trillion of collateral in the 2007 Survey. Cash continues to grow in importance among most firms, and now stands at over 78 percent of collateral received and 83 percent of collateral delivered.

“ISDA’s 2008 Margin Survey reflects continued importance of collateralization as a risk mitigation tool and the effectiveness of collateral agreements,” said Robert Pickel, Executive Director and Chief Executive Officer, ISDA.

The 2008 Survey reports that collateral agreements in place grew to ... more »

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Derivatives Post Trade Processing Continues to Improve

by Sean Sprackling on Thu 17 Apr 2008 10:38 BST

Press release from ISDA following their AGM

VIENNA, Wednesday, April 16, 2008: At its 23^rd Annual General Meeting in Vienna, the International Swaps and Derivatives Association, Inc. (ISDA) today announced preliminary results of the ISDA 2008 Operations Benchmarking Survey.

The initial results show that despite significant growth in monthly volumes for most over-the-counter (OTC) derivative products, post-trade processing has been able to keep pace and in many cases improve over previous years, according to the survey.

Monthly OTC derivative volumes grew by 38 percent across all products, with credit derivatives showing the strongest growth at 73 percent. Large firms experienced even greater increases, reporting 87 percent growth in credit derivative volumes.

In the main asset classes, business days’ worth of outstanding confirmations is lowest for credit derivatives at 6.6 days, followed by interest rate products at 9.9 business days and 13.3 for equities. In interest rate ... more »

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