The latest data from the Bank for International Settlements (BIS) over-the-counter (OTC) derivatives statistics shows a rise in the notional outstanding of OTC derivatives during the second half of 2023 versus the second half of 2022, driven by growth in interest rate and foreign exchange (FX) derivatives. The gross market value of outstanding OTC derivatives fell during the period, attributed to a slower pace of US dollar rate tightening. Gross credit exposure also declined.
Global OTC derivatives notional outstanding grew by 7.9% at the end of 2023 compared to the previous year. The gross market value of OTC derivatives contracts dropped by 12.7% and gross credit exposure – gross market value after netting – fell by 12.3% over the same period.
Total mark-to-market exposure was reduced by 82.8% as a result of close-out netting. Credit exposure was further lowered by the collateral that market participants posted for cleared and noncleared transactions.
Clearing rates for both interest rate derivatives (IRD) and credit default swaps (CDS) remained high over the period. Firms posted $392.2 billion of initial margin (IM) for cleared IRD and CDS transactions at all major central counterparties (CCPs) at year-end 2023 compared to $384.4 billion at year-end 2022. The leading derivatives market participants also collected $1.4 trillion of IM and variation margin (VM) for non-cleared derivatives exposures at the end of 2023, flat compared to the year before.
Documents (1) for Key Trends in the Size and Composition of OTC Derivatives Markets in the Second Half of 2023
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