Follow Us

Follow us on Twitter  Follow us on LinkedIn

10 November 2016

BIS: Central clearing predominates in OTC interest rate derivatives markets

Default: Change to:

Central clearing predominates in the OTC interest rate derivatives markets but is less prevalent for other OTC derivatives, as the combined results of the BIS semiannual and Triennial surveys of outstanding OTC derivatives positions show.

For the first time, the latest surveys captured comprehensive data on positions with central counterparties (CCPs). As of end-June 2016, 75% of reporting dealers' outstanding OTC interest rate derivatives contracts were cleared through CCPs, compared with 37% for credit derivatives and less than 2% for OTC foreign exchange and equity derivatives. Overall, 62% of the $544 trillion in notional amounts outstanding reported by dealers was centrally cleared.

The gross market value of outstanding OTC derivatives - that is, the cost of replacing all outstanding contracts at current market prices - rose to $20.7 trillion at end-June 2016 from $14.5 trillion at end-2015. The gross market value of foreign exchange derivatives involving the yen and pound sterling more than doubled in the first half of 2016, on the back of sharp moves in the respective currencies.

Outstanding positions in OTC derivatives markets are concentrated among major dealers. Of the $544 trillion in notional amounts outstanding at end-June 2016, $512 trillion (94%) was reported by dealers from the 13 countries that participate in the BIS semiannual survey, and $32 trillion by dealers that participate only in the BIS Triennial Survey.

OTC derivatives statistics at end-June 2016

Press release

Triennial Survey

Semiannual survey

© BIS - Bank for International Settlements

< Next Previous >
 Hover over the blue highlighted text to view the acronym meaning
Hover over these icons for more information

Add new comment