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Key Trends in the Size and Composition of OTC Derivatives Markets in the First Half of 2021

Research
Research Notes December 6, 2021
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The latest data from the Bank for International Settlements over-the-counter (OTC) derivatives statistics shows a significant decrease in the gross market value and gross credit exposure of interest rate derivatives (IRD) and foreign exchange derivatives during the first half of 2021 compared to the first half of 2020 and year-end 2020. This decline represents a return to pre-pandemic levels and was driven by a less uncertain macroeconomic outlook.

Key highlights include:

  • OTC derivatives notional outstanding increased by 0.5% at mid-year 2021 compared to mid-year 2020 and grew by 4.8% compared to year-end 2020.
  • The gross market value of OTC derivatives contracts at the end of June 2021 was 18.5% lower than mid-year 2020 and 20.1% lower than year-end 2020.
  • Gross credit exposure – gross market value after netting – decreased by 15.3% compared to mid-year 2020 and by 19.4% compared to year-end 2020.
  • Market participants reduced their mark-to-market exposure by about 78.5% at mid-year 2021 due to close-out netting.
  • Firms posted $318.4 billion of initial margin for cleared IRD and single-name and index credit default swaps at all major central counterparties at mid-year 2021.

Click on the attached PDF to read the full report.

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