The latest data from the Bank for International Settlements over-the-counter (OTC) derivatives statistics shows a significant increase in the gross market value and gross credit exposure of OTC derivatives during the second half of 2020, while notional outstanding remained relatively stable. The increase was driven by a surge in the gross market value of interest rate derivatives (IRD) and foreign exchange derivatives.
Key highlights include:
- OTC derivatives notional outstanding at year-end 2020 increased by 4.2% compared to year-end 2019 and decreased by 4.1% compared to mid-year 2020.
- The gross market value of OTC derivatives contracts at year-end 2020 was 36.1% higher compared to year-end 2019 and 1.9% higher compared to mid-year 2020.
- Gross credit exposure – gross market value after netting – increased by 42.6% compared to year-end 2019 and by 5.1% compared to mid-year 2020.
- Market participants reduced their mark-to-market exposure by about 78.7% at year-end 2020 due to close-out netting.
- Market participants posted $330.6 billion of initial margin (IM) for cleared IRD and single-name and index credit default swaps at all major central counterparties at year-end 2020. The 20 largest market participants (phase-one firms) collected $207.3 billion of IM for their non-cleared derivatives transactions.
Click on the attached PDF to read the full report.
Documents (1) for Key Trends in the Size and Composition of OTC Derivatives Markets in the Second Half of 2020
Latest
Transition to Mandatory Central Clearing
US Treasury securities sit at the heart of global financial markets and serve as one of the primary forms of high-quality collateral across derivatives and securities financing markets. The transition to mandatory central clearing of US Treasuries therefore has implications...
ISDA Publishes Updated ISDA SIMM Governance
ISDA has published an updated version of the ISDA SIMM® Governance Framework, which sets out the principles under which the ISDA Standard Initial Margin Model® operates and the process through which it will be reviewed and amended on a consistent...
ISDA Response to PRA IMA Consultation
On September 18, ISDA, the Association for Financial Markets in Europe, the Institute of International Finance and UK Finance submitted a joint response to the UK Prudential Regulation Authority consultation on adjustments to the internal model approach (IMA) for the...
Calibration Test – IQ September 2026
Calibrating capital requirements is a highly complex undertaking and getting it wrong can have serious consequences. Too much lenience might lead to banks holding insufficient capital to mitigate their risks. But excess conservatism can put balance sheets under strain, forcing...