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Some of this change reflects a seasonal pattern, in which notional outstanding tends to increase in the first six months of the year and decrease in the second half.
The gross market value of OTC derivatives contracts was 20.0% higher than year-end 2018 and 3.8% lower versus mid-year 2019. Gross credit exposure – gross market value after netting – also increased compared to year-end 2018 and decreased versus mid-year 2019. Market participants reduced their mark-to-market exposure by about 79.7% at year-end 2019 as a result of close-out netting. Credit exposure is further reduced by the collateral that market participants post for cleared and non-cleared transactions.
At year-end 2019, market participants posted $269.1 billion of initial margin (IM) for cleared interest rate derivatives (IRD) and credit default swaps (CDS) contracts (including single-name and index CDS) at all major central counterparties. The 20 largest market participants (phase-one firms) collected approximately $173.2 billion of IM for their non-cleared derivatives transactions at year-end 2019.