- Notional amounts of OTC derivatives rose to $640 trillion at end-June 2019. This is up from $544 trillion at end-2018 and the highest level since 2014. It marks a continuation of the trend increase evident since end-2016.
- The gross market value of OTC derivatives, summing positive and negative values, also rose, from $9.7 trillion to $12.1 trillion, led by increases in euro interest rate derivative contracts.
- The latest semiannual data benefit from the addition of more comprehensive information for smaller dealers collected as part of the BIS Triennial Survey.1 Dealers in emerging market economies (EMEs) accounted for 9% of the outstanding notional amounts of foreign exchange and commodity derivatives globally at end-June 2019, up from 7% at end-June 2016.
Notional amounts – which determine contractual payments – rose significantly in the first half of this year, to $640 trillion at end-June 2019 (Graph 1, red line). Part of this increase reflects a seasonal pattern evident in the data since 2016. Specifically, notional amounts outstanding have tended to decrease in the second half of a year, followed by a rebound in the first, generating the sawtooth pattern seen in Graph 1. Factoring out that pattern, notional amounts have grown year on year by around 7% on average since end-2017,2 and have now reached their highest level since 2014.
Interest rate derivatives accounted for the bulk of OTC notional amounts outstanding at end-June 2019 ($524 trillion or 82%), and have driven the upward trend evident since 2016 (Graph 1, blue line). This upward trend contrasts with the significant contraction observed in 2014 and 2015.
Notional amounts outstanding for foreign exchange derivatives, which had not experienced a similar downward correction in the early 2010s, have also been trending upwards in recent years (Graph 1, yellow dashed line); their notional amounts totalled $99 trillion at end-June 2019.
In contrast, notional amounts of other derivatives3 have followed a trend decline since the financial crisis of 2007-09 (Graph 1, purple dashed line). This trend was driven almost entirely by credit derivatives, of which 93% were credit default swaps at end-June 2019.
Graph 2: Outstanding notional amounts of OTC interest rate derivatives, USD trillions (interactive graph). “Other” refers to contracts denominated in currencies other than USD, EUR, JPY, GBP, CHF, CAD and SEK.
Source: BIS OTC derivatives statistics (Table D7).
Notional amounts of US dollar-denominated interest rate contracts rose in the first half of 2019, continuing the trend expansion observed since 2016 (Graph 2, red line). They have become the largest currency segment in the past few years, rising from $169 trillion at end-2018 to $199 trillion at end-June 2019, a new peak.
Euro-denominated interest rate contracts also rose in the first half of 2019, from $114 trillion to $135 trillion (Graph 2, blue line). They appear to have broadly stabilised since 2015, at levels well below (by some 50%) the record amounts observed in 2010-14. These contracts drove the large decline in 2014-15. Notional amounts in the yen and sterling have remained at low levels, ie $47 trillion for the former (yellow line) and $39 trillion for the latter (purple line).
Interest rate contracts denominated in currencies other than the seven required reporting currencies (USD, EUR, GBP, JPY, CHF, CAD and SEK) have been increasing in recent years (Graph 2, green line).4 Contracts in the other currencies amounted to $47 trillion at end-June 2016, but rose to $80 trillion at end-June 2019, with their share in total interest rate contracts going up from 11% to 15% (dashed line).
The overall increase in notional amounts was common across both short- and long-maturity contracts. Contracts of up to and including one year, accounting for 48% of outstanding notional amounts, rose from $201 trillion at end-2018 to $253 trillion at end-June 2019. Contracts of longer than one year increased from $236 to $271 trillion.
Graph 3: Outstanding gross market values of OTC derivatives, by instrument; and outstanding gross credit exposures,…
Read More: OTC derivatives statistics at end-June 2019