OTC derivatives statistics at end-June 2015

The Bank for International Settlements (BIS) today released OTC derivatives statistics at end-June 2015.

  • Activity in global OTC derivatives markets fell in the first half of 2015. The notional amount of outstanding contracts declined from $629 trillion at end-December 2014 to $553 trillion at end-June 2015. Even after adjustment for the effect of exchange rate movements on positions denominated in currencies other than the US dollar, notional amounts were still down by about 10%. Trade compression to eliminate redundant contracts was the major driver of the decline.

  • The gross market value of outstanding derivatives contracts - which provides a more meaningful measure of amounts at risk than notional amounts - declined even more sharply in the first half of 2015. Market values decreased from $20.9 trillion to $15.5 trillion between end-December 2014 and end-June 2015. The fall is likely to have been driven by the reduction in notional amounts outstanding as well as increases in long-term interest rates, which took yields back closer to those on outstanding swaps.

  • Central clearing, a key element in global regulators' agenda for reforming OTC derivatives markets to reduce systemic risks, made further inroads. In credit default swap markets, the share of outstanding contracts cleared through central counterparties rose from 29% to 31% in the first half of 2015. In interest rate derivatives markets too, central clearing is becoming increasingly important.

Developments in the latest OTC derivatives statistics are summarised in the Statistical release, together with charts showing historical data. Additional data are available on the BIS website, where they can be viewed as tables in PDF or browsed in the BIS Statistics Explorer.

The OTC derivatives statistics at end-December 2015 will be released no later than 13 May 2016.

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