Respondent firms posted US$323.4 billion in initial margin (IM) for cleared interest rate derivative (IRD) and for single-name and index credit default swaps (CDS) at all major central counterparties (CCPs) in Q4 2021.
This represents a 2.2 per cent YoY decrease over the equivalent period for 2020, according to findings of the ISDA survey, “Key trends in the size and composition of OTC derivatives markets in H2 2021”, based on over-the-counter (OTC) derivatives statistics published by the Bank of International Settlements.
The 20 largest market participants, ‘Phase 1’ firms under the Uncleared Margin Rules adoption, collected US$286.0 billion in IM for their uncleared derivatives transactions at year-end 2021. This represents a 38 per cent YoY rise on the US$207.3 billion in total IM received at year-end 2020.
For the year-end 2021 figure, this breaks down as US$203.5 billion collected as regulatory IM and US$82.5 billion received in independent amount (IA).
Total IM posted by Phase 1 firms at year-end 2021 climbed by 50.7 per cent YoY to US$210.3 billion. This was driven by a 55.1 per cent YoY rise in regulatory IM posted to US$201.9 billion.
OTC derivatives notional outstanding at the end of December 2021 totalled US$598.4 trillion, up 2.8 per cent YoY relative to year-end 2020.
Looking explicitly at IRD, notional outstanding rose 1.9 per cent YoY to US$475.3 trillion at year-end 2021 compared with 2020.
For foreign exchange derivatives, notional outstanding rose by 6.9 per cent YoY to US$104.2 trillion for year-end 2021 over 2020.
Notional outstanding for credit, equity and commodity derivatives stood at US$9.1 trillion, US$7.3 trillion and US$2.2 trillion respectively at year-end 2021.
The gross market value of OTC derivatives stood at US$12.4 trillion at year-end 2021, down 21.2 per cent on year-end 2020. This was driven by a 23.9 per cent decline in IRD gross market value to US$8.6 trillion. For the same period, the gross market value of FX derivatives fell 19.8 per cent to US$2.5 trillion. This decline follows on the back of a sharp rise in gross market value during 2020 driven by pandemic-induced market uncertainty.
