OTC derivatives statistics at end-June 2016

10 November 2016

Highlights from the combined semiannual and Triennial surveys of positions in over-the-counter (OTC) derivatives markets at end-June 2016:

  • New data show that central clearing has made very significant inroads into OTC interest rate derivatives markets but is less prevalent in other OTC derivatives segments. As of end-June 2016, 75% of dealers' outstanding OTC interest rate derivatives contracts were against central counterparties, compared with 37% for credit derivatives and less than 2% for foreign exchange and equity derivatives. Overall, 62% of the $544 trillion in notional amounts outstanding reported by dealers was centrally cleared.
  • The gross market value of OTC derivatives - that is, the cost of replacing all outstanding contracts at current market prices - rose to $20.7 trillion at end-June 2016 from $14.5 trillion at end-2015. The market value of foreign exchange derivatives involving the yen and pound sterling more than doubled in the first half of 2016 on the back of sharp moves in the respective currencies.
  • Outstanding positions in OTC derivatives markets are concentrated among major dealers. Of the $544 trillion in notional amounts outstanding at end-June 2016, $512 trillion (94%) was reported by dealers from the 13 countries that participate in the BIS's semiannual survey, and $32 trillion by dealers that participate only in the Triennial Central Bank Survey.

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.  Detailed data from the Triennial Survey on outstanding derivatives positions are published separately.

The OTC derivatives statistics at end-December 2016 will be released no later than 15 May 2017.

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