Publication - OTC derivatives statistics at end-June 2016
Relationship of the Triennial Survey to the semiannual survey
This publication presents the combined results of two complementary BIS surveys on positions in overthe-counter (OTC) derivatives markets: the semiannual survey of derivatives dealers in 13 jurisdictions, and the Triennial Central Bank Survey of dealers in an additional 33 jurisdictions (Annex C).
These surveys took place at end-June 2016. A companion survey on turnover in foreign exchange and OTC interest rate derivatives markets took place in April 2016, and the results were published in September (www.bis.org/publ/rpfx16.htm).
The structure of the outstanding positions part of the Triennial Central Bank Survey is the same as that of the semiannual survey of OTC derivatives markets. Both cover the notional principal and gross market values of foreign exchange, interest rate, equity, commodity and credit derivatives contracts outstanding in OTC markets. Furthermore, both surveys cover the worldwide consolidated positions of reporting dealers, excluding positions between related entities that are part of the same banking group.
The semiannual survey captures the positions of about 70 banks and other derivatives dealers based in 13 countries, at end-June and end-December of each year. Every three years, the positions of additional dealers and countries are captured in the Triennial Central Bank Survey. At end-June 2016, together the two surveys covered more than 400 dealers in 46 countries.1 The Triennial and semiannual surveys are coordinated by the BIS under the auspices of the Committee on the Global Financial System. They are supported through the Data Gaps Initiative endorsed by the G20, specifically recommendation 6.
Central banks and other authorities collected data from banks and other derivatives dealers headquartered in their jurisdictions and reported national aggregates to the BIS, which then calculated global aggregates. Owing to the small number of dealers in some countries, the BIS does not publish any national aggregates, only global totals. Compared with the semiannual survey, the Triennial Survey provides additional information in three areas. First, the Triennial Survey serves as a benchmark for calculating the global coverage of the semiannual survey. This information is used to scale up the amounts from the semiannual survey during periods between Triennial Surveys. Second, the Triennial Survey provides information about the size and structure of many smaller OTC derivatives markets.
While the semiannual survey captures the bulk of outstanding OTC contracts worldwide, it is not necessarily representative of positions in smaller markets. The Triennial Survey collects comparable data for a wide diversity of dealers, including dealers active in smaller markets who may not be active in the major derivatives markets. Third, there are small differences in the information collected in the two surveys. On the one hand, the Triennial Survey captures some OTC instruments not previously covered by the semiannual survey, in particular credit derivatives other than credit default swaps (CDS).
On the other hand, the semiannual survey provides much more detailed information about CDS. In particular, the Triennial Survey does not collect information about the rating and sector of the underlying reference entity. Non-standard terms used in this publication are explained in the glossary (Annex D). More information about how the OTC derivatives statistics are compiled is available in the reporting guidelines on the BIS website .
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Copyright: Centralbahnplatz 2 4051 Basel
Switzerland BISBCHBB
Website:www.bis.org
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