The latest data from the Bank for International Settlements over-the-counter (OTC) derivatives statistics shows a significant increase in gross market value and gross credit exposure of OTC derivatives during the first half of 2022 compared to the first half of 2021. The increase in market value was driven by elevated global uncertainty and market volatility related to higher-than-expected inflation and the war in Ukraine.

The gross market value of OTC derivatives contracts increased by 45.4% at mid-year 2022 compared to mid-year 2021. Gross credit exposure – gross market value after netting – rose by 21.5%. At the same time, global OTC derivatives notional outstanding increased modestly by 3.6% at mid-year 2022 compared to mid-year 2021.

Market participants reduced their mark-to-market exposure by 82.0% at mid-year 2022 due to close-out netting. This credit exposure was further reduced by the collateral that market participants posted for cleared and non-cleared derivatives transactions.

Firms posted $359.7 billion of initial margin for cleared interest rate derivatives and single-name and index credit default swaps at all major central counterparties at mid-year 2022.

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