Key Trends in the Size and Composition of OTC Derivatives Markets 1H 2019

The latest data from the Bank for International Settlements (BIS) over-the-counter (OTC) derivatives statistics shows that OTC derivatives notional outstanding increased in the first half of 2019 compared with the second half of 2018 and year-over-year. Some of this increase reflects a seasonal pattern, under which notional outstanding tends to increase in the first six months of the year and decrease in the second half.

Both US dollar- and euro-denominated interest rate derivatives (IRD) contracts contributed to the growth. The increase was driven by shorter-term contracts. There was a noticeable boost in the share of cleared IRD contracts, as demonstrated by higher IRD notional outstanding with central counterparties.

This trend in notional outstanding can also be seen in swap trading volumes in the US. ISDA SwapsInfo data shows that trading in both US dollar- and euro-denominated IRD products increased during the first half of 2019 compared to the second half of 2018 and year-over-year.

BIS data shows that the gross market value of OTC derivatives contracts increased in the first half of 2019. Gross credit exposure – gross market value after netting – also increased. Market participants reduced their mark-to-market exposure by about 77.9% as a result of close-out netting. This credit exposure is further reduced by the collateral that market participants post for cleared and non-cleared transactions.

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