Triennial and regular OTC Derivatives Market Statistics

16 November 2010
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Today the BIS is releasing the latest statistics on positions in the global over-the-counter (OTC) derivatives market at end-June 2010. 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 statistics.

A - The triennial versus the semiannual survey

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 results, based on the data reported by 42 participating countries, serves as benchmark for the less comprehensive, but more granular and frequent, results of the semiannual survey, which is based on the contribution from the G10 countries and Switzerland. The results of the regular semiannual surveys are adjusted upwards to take this difference into account. Both surveys cover the notional amounts outstanding and gross market values of foreign exchange, interest rate, equity, commodity and credit derivatives traded in OTC markets. Furthermore, they both refer to the worldwide consolidated positions of reporting dealers.

Triennial Survey Statistical annex amounts outstanding at end-June 2010
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The preliminary results of the first part of the Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity were released on 1 September 2010 and covered turnover in global foreign exchange markets and OTC interest rate derivatives markets. The detailed results on turnover and OTC amounts outstanding in the global foreign exchange markets will be published on 30 November 2010.

B - Key developments in the first half of 2010 (Regular OTC Derivatives Markets Statistics)

  • Data from the semiannual survey shows that, in the first half of 2010, growth in amounts outstanding was subdued or negative in all risk categories. Positions of all types of OTC derivatives fell by 4% to $583 trillion, following the 2% increase in the second half of 2009. In contrast to the decline in the positions, gross market values for existing OTC contracts rose by 15% to $25 trillion at end-June on the back of sharp asset price movements. Gross credit exposures, after netting agreements, which had dropped slightly in the half-year up to end-2009 (-6%) increased by 2% to $3.6 trillion.
  • Notional amounts outstanding of credit default swaps (CDS) declined for the fifth consecutive semiannual period, largely due to terminations of existing contracts. Gross market values for single-name contracts dropped by 16%, while those for multi-name contracts rose by 10%. The CDS counterparty breakdown for contracts with other financial institutions has been expanded for the first time to Central counterparties (CCPs), special purpose vehicles (SPVs) and hedge funds.