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.