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On-exchanges and OTC derivatives statistics The BIS statistical framework

On-exchanges and OTC derivatives statistics The BIS statistical framework. Philippe Mesny Head of International Financial Statistics. Paris, December 1-2, 2008. 1. Three main datasets. Exchange-traded derivatives: quarterly OTC and CDS derivatives: semi-annual

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On-exchanges and OTC derivatives statistics The BIS statistical framework

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  1. On-exchanges and OTC derivatives statisticsThe BIS statistical framework Philippe Mesny Head of International Financial Statistics Paris, December 1-2, 2008 1

  2. Three main datasets • Exchange-traded derivatives: quarterly • OTC and CDS derivatives: semi-annual • Triennial Survey on foreign exchange and derivatives markets 2

  3. Exchange-traded derivatives(See: http://www.bis.org/statistics/extderiv.htm) • Started in 1993: FIA and other sources • New data source in 1999: FOW TRADEdata • Cover positions and turnover by instrument and location in number of contracts (from FOW) and in USD (calculated by BIS), • Publication lag: 2 months (BIS QR and website) • 8301 different contracts on 82 markets collected at end-September 2008 • Detail not available due to contractual causes with the data provider

  4. BIS exchange-traded derivatives statistics (Tables 23A-23B) Turnover and contracts outstanding in terms of number of contracts and notional amounts • By market risk category: • Currency • Interest rate • Equity Index • Commodities1 • Single equity1 • By type of contract: • Futures • Options • By location of exchange: • North America • Asia-Pacific • Europe • Other • By maturity (interest rate contracts only): • Short-term • Long-term 1  Number of contracts only.

  5. Semi-annual OTC derivatives statistics: present and past(See: http://www.bis.org/statistics/derstats.htm) • Launched in June 1998 • Reported on a consolidated basis by 57 main reporting dealers in G10 countries. • Data on notional amounts and gross market values in USD • Publication delay: 4,5 months (ISDA: shorter, a month ahead) • Expanded to concentration since June 2004 • Expanded to CDS since Dec 2004 and Dec 2005

  6. Semi-annual OTC derivatives statistics: future • Will depend on the recommendations of a CGFS working group on CRT statistics (report expected in April/May 2009) • Probably more reporting countries, instruments and rating information, more… • Periodicity will be discussed in a cost/benefits analysis • Evolution of the OTC part of the survey will also be addressed

  7. By market risk category1 Credit default swaps 1 Notional amounts outstanding in trillions of US dollars.Sources: FOW TRADEdata; Futures Industry Association; BIS 1 In billions of US dollars. 2 Notional amounts outstanding in trillions of US dollarsSource: BIS Global derivatives market

  8. Triennial Survey on FX and Derivatives Markets: present situation (see: http://www.bis.org/publ/rpfxf07t.htm) • 2 parts: (1) turnover in April (2) positions at end June • First survey on FX turnover: 1986; on OTC positions: 1995 • Publications: Sept 2007 (turnover), Nov 2007 (positions), Dec 2007 (full Report). Next survey in 2010. • 1260 reporting dealers in 54 reporting countries participated in the turnover part (only 47 countries re OTC positions) • Same structure as the semi-annual re the OTC positions • Part on Amounts Outstanding constitutes the benchmark for the semi-annual OTC survey (unallocated item) • CDS reported for the first time in 2007

  9. Triennial Survey on FX and Derivatives Markets: future • 2 separate reports • Shorter delays (1 month?) • Content of the amounts outstanding part should be impacted by the outcome of the CGFS working group on CRT statistics

  10. Thank you for your attention QUESTIONS?

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