Regular OTC Derivatives Market Statistics

Today the BIS is releasing the latest statistics on positions in the global over-the-counter (OTC) derivatives market. These comprise the preliminary results of the second part of the Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity as well as the regular semiannual OTC derivatives statistics1. For the first time, the BIS is also publishing measures of dealer concentration in various derivatives markets. These measures are derived from the regular semiannual statistics.

The triennial versus the semiannual surveys

The second part of the Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity and the regular semiannual survey of positions in the global OTC derivatives market share the same format but differ in coverage. The triennial survey is more comprehensive. It contains information on instruments not covered by the semiannual survey, in particular credit derivatives. Moreover, whereas the semiannual survey aggregates data from major dealers in the G10 countries, the triennial survey covers market participants in 44 jurisdictions. However, both surveys cover the notional amounts outstanding and gross market values of foreign exchange, interest rate, equity and commodity derivatives traded in OTC markets. Furthermore, they both refer to the worldwide consolidated positions of reporting dealers.

Owing to its comprehensiveness, the triennial survey is more representative of the OTC derivatives market than the semiannual survey. The results of the regular semiannual surveys are adjusted upwards to take this difference into account. This adjustment is done only for the grand total and is published as a residual "Other" category; the various risk categories reported in Tables A2 to A4 are not adjusted.

The first part of the Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity was published on 28 September 2004 and covered turnover in traditional foreign exchange markets and OTC currency and interest rate derivatives markets. The final results on turnover and amounts outstanding in foreign exchange and OTC derivatives markets will be published in the spring of 2005.