BIS: 700 Billion Outstanding OTC derivatives

The latest BIS statistics on over-the-counter (OTC) derivatives markets show that notional amounts outstanding totalled $693 trillion at end-June 2013. Of this total, $668 trillion was reported by dealers in the 13 countries that participate in the BIS's semiannual survey of derivatives markets, and $25 trillion by dealers in the 34 countries that participate only in the Triennial Central Bank Survey.

Notional amounts increased substantially in the first half of 2013, up from $633 trillion at end-2012. The increase was driven in part by a further shift towards clearing through central counterparties (CCPs). When contracts are cleared through CCPs, notional amounts reported for the BIS's surveys increase because one contract becomes two.

In contrast to notional amounts, the gross market value of OTC derivatives - that is, the cost of replacing all outstanding contracts at current market prices - declined between end-2012 and end-June 2013, from $25 trillion to $20 trillion. Gross credit exposures - gross market values after legally enforceable bilateral netting but before collateral - stood at $3.9 trillion at end-June 2013.

Interest rate contracts are the largest segment in the global OTC derivatives market, with notional amounts totalling $577 trillion at end-June 2013. However, the global figures mask diversity among reporting dealers. The Triennial Central Bank Survey indicates that derivatives activity by dealers based in emerging markets tends to focus on the management of foreign exchange risk. Interest rate derivatives account for a much smaller share of contracts reported by these dealers than those based in the largest derivatives markets (ie than those headquartered in the 13 countries that participate in the semiannual survey).

In addition, dealers based in emerging markets reported little in the way of credit default swaps (CDS); dealers participating in the semiannual survey accounted for almost the entirety of outstanding CDS contracts. CDS data for end-June 2013 include a regional breakdown of foreign counterparties for the first time. Counterparties based in the home country of the dealer accounted for 19% of notional CDS outstanding. Contracts with foreign counterparties headquartered in Europe accounted for another 53%, and with those headquartered in the United States 21%. Business with Latin American counterparties accounted for about 2%, which was larger than that with Asian counterparties.

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  1. The BIS semiannual survey of OTC derivatives markets captures the positions of about 70 major derivatives dealers based in 13 countries. The BIS Triennial Central Bank Survey - conducted every three years - complements the semiannual survey by adding many more dealers and countries. The two surveys combined capture the positions of more than 400 dealers in 47 countries.
  2. 2Both surveys cover the notional amounts outstanding and gross market values of foreign exchange, interest rate, equity, commodity and credit derivatives traded in OTC markets. Also, both cover the worldwide consolidated positions of reporting dealers.
  3. Data from the latest semiannual and Triennial surveys of amounts outstanding in OTC derivatives markets are available on the BIS website. Owing to the small number of dealers in some countries, the BIS does not publish any national results, only global totals.
  4. The coverage, methodology and definitions pertaining to the surveys are summarised in the statistical release presenting the results for end-June 2013.
  5. Turnover in OTC derivatives markets is captured in a companion survey conducted in April every three years. The BIS published the latest turnover data in September 2013. In contrast to the data on positions, the data on turnover are collected from sales desks on an unconsolidated basis.

OTC derivatives statistics at end-December 2013 will be released no later than 15 May 2014.