The International Swaps and Derivatives Association (ISDA) published its latest bi-annual survey of derivative volumes today.
ISDA saw a notable increase in notional CDS outstanding, which has risen by 37% to $62.2 trillion in 2H07 compared with 1H07, and 81% from year end 2006.
The survey showed that the gross mark-to-market value of these contracts is just 2.2% of the gross notional, which falls to 0.5% after netting (and excludes any collateral posted between counterparties).
ISDA also published the results from its survey examining the role of risk managers during the credit crisis. The survey was conducted by McKinsey & Co. jointly with ISDA,the International Association of Credit Portfolio Managers and the Risk Managers Association.
The survey finds 95% of credit portfolio managers believe their reputation for managing risk has strengthened during the crisis.
Risk managers are taking a hard look at the new market realities and are at-tempting to reorient portfolio management to address new circumstances, said Robert Pickel, executive director and chief executive officer of ISDA. Not surprisingly, credit derivatives remain an important risk distribution tool for active credit portfolio managers.
