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
ISDA Response to HMT, BoE on UK CCPs
On November 18, ISDA submitted its responses to the Bank of England (BoE) consultation on ensuring the resilience of central counterparties (CCPs) and the UK Treasury’s (HMT) two draft CCP statutory instruments (SIs). These consultations form part of the update...
Doubling Down on Appropriate Trading Book Capital
Throughout ISDA’s 40th anniversary year, we’ve been reflecting on the quest for greater consistency and efficiency that underpins everything we’ve achieved since 1985. It was at the heart of the original efforts to bring greater standardization to the nascent derivatives...
Determining Initial Reference Index for New Trades
On November 25, 2025, ISDA published a Market Practice Note (MPN) to recommend a specific methodology that market participants could elect to use for the purposes of determining the Initial Reference Index for certain new inflation derivative transactions given that...
ISDA Response to FCA on Fund Tokenization
On November 21, ISDA responded to the Financial Conduct Authority’s (FCA) consultation paper CP25/28 on progressing fund tokenization. In the response, ISDA focuses on the use of tokenized assets as both cleared and non-cleared derivatives collateral. Tokenization presents a significant...