June 20, 2013

ISDA Year End 2012 Analysis of OTC Derivatives

ISDA produces its Market Analysis to correspond with the release of the Bank for International Settlement’s (BIS) semi-annual statistical release. The BIS’s most recent release covered the period ending December 31, 2012. ISDA’s reporting aims to integrate market data to show the impact of netting, collateralisation, portfolio compression and central clearing on notional amounts and risk exposures in the over-the-counter (OTC) derivatives markets. The Market Analysis draws on information sources including LCH.Clearnet’s SwapClear, TriOptima, the DTCC Trade Information Warehouse, Markit, ICE, CME, ISDA’s 2012 Margin Survey and other clearinghouses and trade vendors.

Click to enlarge


  I plugged the ISDA stats into Excel to make my own table, the ISDA commentary is tricky to follow as it states percent changes without showing them in-line. My take-aways are:

  • Cleared IRD volumes up 213% since 2007
  • Overall OTC market size down by approx. 10% over the same period (which ever way you count it)
  • The headline figure used by most journalists for the total OTC market size is usually the top row figure, when you make reasonable adjustments for FX and clearing double counting the market size is actually $238trn less at $394trn
  • Total cleared volume at SwapClear is ($393trn / 2 = $196.5trn) so represents 49.8% of all OTC products
  • Outstanding trades at SwapClear are 2.64m, implying an approximate total number of contracts in the world of between 5.3m or to be fair maybe 10m (see here for an explanation of why all this would cost £30 to store)
  • See for more

Full report here: ISDA – International Swaps and Derivatives Association, Inc.. and PDF here: ISDA Year-End 2012 Market Analysis FINAL.pdf

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