BIS OTC derivatives statistics at end-June 2020

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The gross market value of over-the-counter (OTC) derivatives, which provides a measure of amounts at risk, rose from $11.6 trillion to $15.5 trillion during the first half of 2020, led by increases in interest rate derivatives.

  • Similarly, gross credit exposure, which adjusts market values for legally enforceable netting agreements, jumped from $2.4 trillion at end-2019 to $3.2 trillion at end-June 2020, the largest rise since 2009.
  • Central clearing rates of credit default swaps rose from 56% at end-2019 to 60% at end-June 2020, the largest increase since H1 2017. Central clearing rates of credit default swaps rose from 56% at end-2019 to 60% at end-June 2020, the largest increase since H1 2017.

Gross market value of OTC derivatives surges in H1 2020

The Covid-19-induced market turmoil and strong policy responses drove developments in derivatives markets in the first half of 2020. The gross market value of derivative contracts - summing positive and negative values - surged from $11.6 trillion at end-2019 to $15.5 trillion at end-June 2020, a 33% increase within six months (Graph 1, left-hand panel). Similarly, gross credit exposure - which adjusts gross market values for legally enforceable bilateral netting agreements (but not for collateral) - also saw a large increase in the first half of 2020, from $2.4 trillion at end-2019 to $3.2 trillion at end-June 2020. This was the largest rise since 2009.

These sharp movements stand in contrast to the relative stability of notional amounts of derivative contracts in the first half of 2020, broadly in line with the trend observed in recent years. Notional amounts of all OTC derivatives combined increased to $607 trillion at end-June 2020, only 9% above end-December 2019 (Graph 1, right-hand panel). The increase primarily reflected interest rate derivatives, whose notional amounts increased from $449 trillion at end-2019 to $495 trillion at end-June 2020, mainly attributable to a seasonal pattern.1 The notional amounts of other contracts remained relatively flat over the same period.

Click here to read the full PDF, which covers many more topics including:

  • Interest rate derivatives drive rise in gross market value
  • USD interest rate contracts see the largest increase in market value
  • Central clearing rates trend upwards, especially for CDS
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