ISDA®
INTERNATIONAL SWAPS
NEWS
RELEASE
For Immediate Release Thursday,
April 22, 2010
For More Information, Please
Contact:
San
Francisco Press Room: +1 415–772–5422 (April 21 - April 23, 2010)
Rebecca O'Neill, ISDA London, +44
203 088 3586, roneill@isda.org
Cesaltine Gregorio, ISDA New York,
+1 212-901-6019, cgregorio@isda.org
Donna Chan, ISDA Hong Kong, +852
2200 5906, dchan@isda.org
ISDA Publishes Year-End 2009 Market
Survey Results
SAN FRANCISCO, Thursday,
April 22, 2010
– At its Annual General Meeting in San Francisco today, the International Swaps
and Derivatives Association, Inc. (ISDA) announced the results of its Year-End
2009 Market Survey of privately negotiated derivatives.
“ISDA
continues to develop a strategic vision for the derivatives industry to make
derivative processing more scalable, transparent and resilient in all asset
classes,” said
Eraj
Shirvani, Chairman of ISDA and Managing Director, Head of Fixed Income EMEA, Credit
Suisse. “The lower
notional amounts outstanding in this year’s survey reflect the industry’s steady
progress in such key areas as electronic processing, portfolio compression and collateralized
portfolio reconciliation.”
The
notional amount outstanding of credit default swaps (CDS) was $30.4 trillion at
year-end 2009, down 3 percent from $31.2 trillion at mid-year 2009. CDS notional outstanding
for the whole of 2009 was down 21 percent from $38.6 trillion at year-end 2008.
The decreases compared to prior-year periods underscore the success of the
industry’s portfolio compression efforts, in which firms reduce the number of
trades outstanding without affecting their risk profiles. The survey monitors credit default swaps on
single names and obligations, baskets and portfolios of credits and index
trades. The $30.4 trillion notional amount was approximately evenly divided
between bought and sold protection: bought protection notional amount was approximately
$15.4 trillion and sold protection was about $15.0 trillion, with a net bought
notional amount of $451.3 billion.
Notional
amount of interest rate derivatives outstanding was $426.8 trillion at year-end
2009, an increase of 3 percent compared to $414.1 trillion at mid-year 2009.
For the year as a whole, interest rate derivatives notionals
rose 6 percent from $403.1 trillion in 2008.
As with the CDS market, the level of interest rate derivatives
outstanding reflects the industry’s focus on reducing the notional amounts of
their swaps portfolios, even as new trading activity remains solid. For the purposes of the survey, interest rate
derivatives include interest rate swaps and options and cross-currency interest
rate swaps.
Notional
amounts of equity derivatives fell 23 percent to $6.8 trillion at year-end
2009. At mid-year 2009, equity derivatives notionals
were $8.8 trillion. Equity derivatives notional amount for the year was down 23
percent from $8.7 trillion at year-end 2008. Equity derivatives for purposes of
the survey comprise equity swaps, options, and forwards.
The
above notional amounts, which total $464.0 trillion across asset classes, are
an approximate measure of derivatives activity, and reflect both new
transactions and those from previous periods. The amounts, however, are a
measure of activity, not a measure of risk. The Bank for International
Settlements (BIS) collects both notional amounts and market values in its
derivatives statistics and it is possible to use the BIS statistics to
determine the amount at risk in the ISDA survey results.
As
of June 2009, the Bank for International Settlements (BIS) gross mark-to-market value was
approximately 4.2 percent of notional amount outstanding of all products. In
addition, net credit exposure (after netting but before collateral) was 0.6
percent of notional amount outstanding. Applying these percentages to the total
ISDA Market Survey notional amount outstanding of $464.0 trillion as of
December 31, 2009, gross credit exposure before netting is estimated to be $19.5
trillion and credit exposure after netting is estimated to be $2.9 trillion.
The ISDA Year-End 2009 Market Survey reports notional amounts outstanding for interest rate derivatives,
credit default swaps, and over-the-counter equity derivatives as of December
31, 2009. All notional amounts have been adjusted for double counting of
inter-dealer transactions. ISDA surveys its Primary Membership twice yearly on
a confidential basis. In this survey, 81 firms provided data on interest rate
swaps; 75 provided responses on credit derivatives; and 70 provided responses
on equity derivatives. Although participation in the
Survey is voluntary, all major derivatives houses provided responses.
About ISDA
ISDA, which represents participants
in the privately negotiated derivatives industry, is among the world’s largest
global financial trade associations as measured by number of member firms. ISDA
was chartered in 1985, and today has over 820 member institutions from 57
countries on six continents. These members include most of the world’s major
institutions that deal in privately negotiated derivatives, as well as many of
the businesses, governmental entities and other end users that rely on
over-the-counter derivatives to manage efficiently the financial market risks
inherent in their core economic activities. Information about ISDA and
its activities is available on the Association's web site: www.isda.org.
ISDA® is a registered trademark of the
International Swaps & Derivatives Association, Inc.