of Credit Derivatives
Derivatives: Market Info and awareness
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Global Credit derivatives market
Original write up circa 2001
Comparative statistics of market volumes
A recent review by the Bank for International Settlements (BIS Quarterly Derivatives Review June 2002) summarised various estimates of market data as under:
1 At holding company level. 2 At bank level.
Recent additions: 29th May 2001/ updated 2 March 2002
A report from Goldman Sachs says that the market as at end-2000 stood at a notional value of some USD 1000 billion - see news report here. By end of year 2001, the market has reached a volume of some USD 1.2 trillion.
Credit derivatives is said to be one of the fastest growing segments in global OTC derivatives market.
In Sept., 1998, the British Bankers Association predicted that the global credit derivatives market will be of USD 740 billion by end of 2000. However, as things actually stand out, there is a clear indication that the market volume will exceed the prediction.
In fact, in July, 2000, the British Bankers Assocation revised its estimates as well as predictions. It said that the global market estimates indicate that the credit derivatives market reached $586 billion at the end of 1999 and is expected to jump to $893 billion by the end of 2000, reaching $1581 billion by the year 2002. Based on previous BBA surveys this represents a 9-fold increase in the 5-year period 1997 to 2002.
One of the key developments in credit derivatives market in 2000 has been the use of credit derivatives along with securitisation, to create synthetic securities, that is, securities that amount to credit risk transfer to a pool of investors. For more on synthetic CDOs, click here.