For the first time, the latest surveys captured comprehensive data on positions with central counterparties (CCPs). As of end-June 2016, 75% of reporting dealers' outstanding OTC interest rate derivatives contracts were cleared through CCPs, compared with 37% for credit derivatives and less than 2% for OTC 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 outstanding 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 gross 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 semiannual survey, and $32 trillion by dealers that participate only in the BIS Triennial Survey.
OTC derivatives statistics at end-June 2016
Press release
Triennial Survey
Semiannual survey
© BIS - Bank for International Settlements
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