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
Why We Must Seize the Moment to Fix Reporting
From the retirement of LIBOR to the rollout of margin requirements for non-cleared derivatives, we’ve seen over the past decade how some of the thorniest challenges have been overcome through close collaboration between the industry and the public sector. We...
ISDA Launches RFQ for DRR Traceability Tool
ISDA has launched a request for quote (RFQ) for the development of a traceability tool for its Digital Regulatory Reporting (DRR) solution. The traceability tool is intended to provide enhanced transparency for users of the ISDA DRR by pinpointing why...
Hardship Request Form
[contact-form-7 id="1154065" title="Government Agencies and Financial Hardship Request Form"]
ISDA Comments on Executive Order 14219
On October 23, ISDA’s North American Tax Working Group (NATWG) submitted comments in response to the US Department of the Treasury and Internal Revenue Service statement regarding taxpayer recommendations on regulations identified under Executive Order 14219, ensuring lawful governance and...