BIS: gross notional of OTC derivatives falls to US$483 trillion

Highlights from the BIS over-the-counter (OTC) derivatives statistics for the six months ending in December 2016:

The increase in OTC derivatives positions that took place in the first half of 2016 reversed in the second. The notional amount of outstanding OTC derivatives declined from $553 trillion to $483 trillion between end-June and end-December 2016 (view data). Their gross market value – that is, the cost of replacing all outstanding contracts at current market prices – fell from $21 trillion to $15 trillion over the same period (view data).

Central clearing made further inroads. In particular, the share of centrally cleared credit default swaps (CDS) jumped from 37% of notional amounts outstanding at end-June 2016 to 44% at end-December (view data). In OTC interest rate derivatives markets, the share centrally cleared was more or less unchanged at 76% (view data).

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.

The OTC derivatives statistics at end-June 2017 will be released no later than 15 November 2017.

Queries regarding the BIS OTC derivatives statistics may be directed to statistics$ (where “$” denotes “@”).

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