The latest data from the Bank for International Settlements (BIS) over-the-counter (OTC) derivatives statistics shows a modest increase in notional outstanding during the second half of 2024 compared to the same period in 2023. Notional outstanding for interest rate, foreign exchange (FX), equity and commodity derivatives all rose year-on-year.
As major central banks shifted from a tightening to a more neutral or easing stance, interest rate volatility declined. This typically reduces the mark-to-market value of outstanding derivatives positions, leading to a drop in the gross market value of interest rate derivatives (IRD) compared to the prior tightening period. Similarly, gross credit exposure declined during this period.
By year-end 2024, the notional outstanding of global OTC derivatives rose by 4.9% compared to year-end 2023. In contrast, the gross market value of OTC derivatives contracts fell by 2.8%, while gross credit exposure, which represents the gross market value after netting, fell by 2.8% over the same period.
Total mark-to-market exposure dropped by 83.2% due to close-out netting. Credit exposure was further reduced by the collateral market participants posted for cleared and noncleared derivatives transactions.
Market participants posted $389.8 billion of required initial margin (IM) for cleared IRD and credit default swaps (CDS) transactions at all major central counterparties (CCPs) at the end of 2024 from $392.2 billion a year earlier. The leading derivatives market participants also collected $1.5 trillion of IM and variation margin (VM) for non-cleared derivatives exposures, up by 6.4%.
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 2024
Latest
Updated OTC Derivatives Compliance Calendar
ISDA has updated its global calendar of compliance deadlines and regulatory dates for the over-the-counter (OTC) derivatives space.
10 Years of the ISDA SIMM
As the derivatives industry prepared for the September 2016 implementation of initial margin requirements for non-cleared derivatives, one challenge stood out: counterparties needed to agree on the amount of initial margin to be exchanged. But if each firm developed its...
Expanding the Universe of Eligible VM
ISDA conducted a series of interviews with buy- and sell-side firms to understand the drivers of a growing use of non-cash assets as variation margin (VM) for non-cleared over-the-counter (OTC) derivatives and the barriers that remain to expanding the use...
ISDA Response on Hedge Accounting Guidance
On August 14, ISDA responded to an exposure draft from the Financial Accounting Standards Board (FASB). ISDA broadly supports the FASB’s proposed targeted improvements to hedge accounting, including allowing interest rate hedging of held-to-maturity (HTM) debt securities, recognizing all Secured...