The latest data from the Bank for International Settlements over-the-counter (OTC) derivatives statistics shows that OTC derivatives notional outstanding at year-end 2019 increased by 2.6% compared with year-end 2018 and decreased by 12.8% compared with mid-year 2019. Some of this change reflects a seasonal pattern, in which notional outstanding tends to increase in the first six months of the year and decrease in the second half.
The gross market value of OTC derivatives contracts was 20.0% higher than year-end 2018 and 3.8% lower versus mid-year 2019. Gross credit exposure – gross market value after netting – also increased compared to year-end 2018 and decreased versus mid-year 2019. Market participants reduced their mark-to-market exposure by about 79.7% at year-end 2019 as a result of close-out netting. Credit exposure is further reduced by the collateral that market participants post for cleared and non-cleared transactions.
At year-end 2019, market participants posted $269.1 billion of initial margin (IM) for cleared interest rate derivatives (IRD) and credit default swaps (CDS) contracts (including single-name and index CDS) at all major central counterparties. The 20 largest market participants (phase-one firms) collected approximately $173.2 billion of IM for their non-cleared derivatives transactions at year-end 2019.
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 2019
Latest
Response on EC’s SFR Proposal
On April 9, ISDA published technical comments on the European Commission’s (EC) proposed Settlement Finality Regulation (SFR) as it applies to designated EU systems and registered third-country systems. One significant concern is that the scope of insolvency protections provided to...
Natixis CIB Adopts ISDA’s DRR
ISDA has announced that Natixis CIB has adopted ISDA’s Digital Regulatory Reporting (DRR) solution, enabling the bank to meet regulatory reporting requirements more efficiently and accurately. The ISDA DRR uses the Common Domain Model (CDM) – an open-source data standard...
Paper on MIFIR PTT
On April 7, ISDA, the Association for Financial Markets in Europe (AFME), the International Capital Market Association (ICMA) and the European Banking Federation (EBF) published a paper on proposals relating to post-trade transparency (PTT) under the Markets in Financial Instruments...
Data Integrity for Single-sided Reporting
On April 2, ISDA published a paper on why single-sided reporting does not compromise the quality and integrity of data received by supervisors. The paper addresses concerns among regulators that moving from dual-sided reporting would adversely affect the quality of...