Key Trends in the Size and Composition of OTC Derivatives Markets in the First Half of 2020

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 first 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) due to central bank measures to support economic activity in response to the COVID-19 pandemic.

Key highlights include:

  • OTC derivatives notional outstanding at mid-year 2020 fell by 5.2% compared with the same period in 2019 and increased by 8.6% versus year-end 2019.
  • The gross market value of OTC derivatives contracts at mid-year 2020 was 28.4% higher compared with mid-year 2019 and 33.5% higher versus year-end 2019.
  • Gross credit exposure – gross market value after netting – increased by 20.3% compared to mid-year 2019 and by 35.7% versus year-end 2019.
  • Market participants reduced their mark-to-market exposure by about 79.3% at mid-year 2020 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 derivatives transactions. At mid-year 2020, market participants posted $336.4 billion of initial margin for cleared IRD and both single-name and index credit default swaps at all major central counterparties.

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Documents (1) for Key Trends in the Size and Composition of OTC Derivatives Markets in the First Half of 2020

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