Report on the Australian OTC Derivatives Market List of tables

Australian Prudential Regulation Authority
Australian Securities and Investments Commission
Reserve Bank of Australia
October 2012

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Table 1: Global OTC Derivatives Counterparties

Table 2: Characteristics of OTC Derivatives Dealers in Australia

Table 3: Credits Support Annex Usage

Table 4: Acceptable Collateral under Credit Support Annexes

Table 1: Global OTC Derivatives Counterparties(a)
Notional principal amounts outstanding, December 2011
Single-currency
interest rate
FX(b)
Credit		 Equity-linked and
commodity
US$ trillion Per
cent of product class		 US$ trillion Per
cent of product class		 US$ trillion Per
cent of product class		 US$ trillion Per
cent of product class
Reporting dealers 157 31 28 44 17 58 2 38
Other financial institutions
309
61
26
41
12
41
3
50
Non-financial customers
37
7
9
15
0
1
1
12
Total 504 100 63 100 29 100 6 100

(a) Trades reported by dealers
(b) Includes cross-currency swaps

Source: BIS
Table 2: Characteristics of OTC Derivatives Dealers in Australia
Average for largest dealers,(a) June 2012
Notional amount outstanding $ billion Transactions outstanding Number Transactions per day Number
Single-currency interest rate 1,380 16,500 40
Cross-currency interest rate 270 2,900 10
FX 270 19,100 225
Credit 70 5,400 15
Equity <10 1,700 <10
Commodity <10 1,300 <10

(a) Dealers whose notional positions comprise 90 per cent of aggregate notional outstanding positions (not adjusted for double counting)

Source: survey responses
Table 3: Credit Support Annex Usage
Per cent of dealers' CSAs(a)
Counterparty type Per cent
Overseas-based financial institutions 40
Australian-based financial institutions 18
Australian-based fund managers 13
Corporates 11
Overseas-based fund managers 10
Government 2
Australian-based individual investors <1
Other 5

(a) Average across dealers

Source: survey responses
Table 4: Acceptable Collateral under Credit Support Annexes
Per cent of dealers' CSAs(a)
Collateral type Per cent
Cash 100
Government or central bank securities 100
Corporate bonds 38
Covered bonds 13
Equities included in major stock indices 13
Gold 0

(a) Share of dealers accepting collateral type

Source: survey responses