BIS: OTC derivatives notional declines to $544 trillion, market value down to $9.7 trillion

Notional amounts of OTC derivatives declined from end-June to end-December 2018, from $595 trillion to $544 trillion. The market value of OTC derivatives fell from $10.3 trillion to $9.7 trillion, led by declines in US dollar interest rate derivative contracts. Gross credit exposure sankto its lowest point since 2007. Reflecting structural changes in OTC derivatives markets, the gross market value share of interest rate contracts fell from 80% at end-June 2014 to 66% at end-December 2018, while that of foreign exchange contracts rose from 11% to 23%. The share of outstanding OTC derivatives cleared through central counterparties remained near 75% for interest rate contracts and 55% for credit default swap (CDS) contracts.

OTC derivatives statistics at end-December 2018

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