The latest BIS over-the-counter ( OTC ) derivatives statistics referring to end-June 2017 have been published on Thursday morning. Three major conclusions can be reached from this study.
Firstly, the notional amount of outstanding OTC derivatives contracts rebounded to $542 trillion at end-June 2017 against $482 trillion at end-December 2016.
In contrast, their gross market value, which provides a more meaningful measure of market and counterparty credit risk, declined further in the first half of 2017, from $15 trillion to less than $13 trillion, its lowest level since 2007.
Finally, the share of centrally cleared credit default swaps (CDS) jumped to 51% at end-June from 44% at end-December 2016 to 51% at end-June 2017. Bilateral contracts between reporting dealers declined further in the first half of 2017, to $2.9 trillion. These shifts are consistent with the novation of contracts between dealers to CCPs.
OTC derivatives transactions are remaining in question this year in the run up to tighter rules on the application of collateral in both cleared and uncleared transactions come into force in 2020.
The BIS publish Semiannual OTC Derivatives Surveys which are complemented by a broad-ranging Trienniel Survey.