OTC derivatives market activity in the second half of 2013

8 May 2014

OTC derivatives markets continued to expand in the second half of 2013. The notional amount of outstanding contracts totalled $710 trillion at end-2013, up from $693 trillion at end-June 2013 and $633 trillion at end-2012.

Even as notional amounts rose, the gross market value of outstanding OTC derivatives declined to $19 trillion at end-2013, from $20 trillion at end-June 2013 and $25 trillion at end-2012. The decline was driven by interest rate derivatives and, in particular, by a narrowing between market interest rates on the reporting date and the rates prevailing at the inception of the contracts.

In credit default swap (CDS) markets, central clearing and netting made further inroads. Contracts with central counterparties accounted for 26% of notional CDS outstanding at end-2013. Bilateral netting agreements reduced the net market value of outstanding CDS contracts, which provide a measure of exposure to counterparty credit risk, to 21% of their gross market value.

Developments in the latest OTC derivatives statistics, including tables with the latest data, are summarised in the statistical release. Additional data, including time series, are available on the BIS website. Data at end-June 2014 will be released on or before 15 November 2014.

Queries regarding the OTC derivatives statistics may be directed to statistics$bis.org (where "$" denotes "@").