According to the BIS, OTC derivatives notional outstanding increased during the first half of 2018, driven largely by a rise in short-term US dollar-denominated interest rate derivatives (IRD) contracts. This increase in notional outstanding can also be seen in swap trading volumes in the US, as trading in short maturity US dollar IRD products rose significantly.
While notional outstanding of OTC derivatives increased, the gross market value of these contracts declined. Gross credit exposure – gross market value after netting – also declined to its lowest level in 10 years. Following the implementation of the new margin rules for non-cleared derivatives, more and more of that gross credit exposure is collateralized.
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