Below is a summary of the most important statistics from the British Bankers' Association's 2001/2002 survey of the global credit derivatives market.
Key Survey Statistics 2001/2002 | |||
2001 | 2002 | 2004 | |
Figures in USD billions | |||
Global Market Size | 11,899 | 1,952 | 4,799 |
London Market Size | 578 | 1,036 | 2,450 |
London's Percentage | 49 | 53 | 51 |
Of The Global Market | |||
2001 | 2004 | ||
Percent Of Market Share | |||
Banks As Protection Buyers | 52 | 47 | |
Securities Houses As Protection Buyers | 21 | 17 | |
Hedge Funds As Protection Buyers | 12 | 13 | |
Banks As Protection Sellers | 39 | 32 | |
Insurers As Protection Sellers | 33 | 33 |
The Underlying Reference Entity | ||
End Of 2001 | End Of 2004 | |
Percent | Percent | |
Sovereign Assets (Non-Emerging Market) | 6 | 7 |
Sovereign Assets (Emerging Market) | 9 | 10 |
Corporate Assets | 60 | 59 |
Financials | 22 | 22 |
Other | 3 | 2 |
What Are The Constraints On The Growth Of The London Market? (Ranked In Order Of Importance) | ||
Constraints | 1999/2000 Survey | 2001/2002 Survey |
Regulatory Risks (e.g. Basel II) | 3 | 1 |
Lack Of Client Knowledge | 2 | 2 |
Lack Of Market Liquidity And Depth | 1 | 3 |
Systems/Infrastructure | 6 | 4 |
Lack Of Homogenous Documentation | 4 | 5 |
Pricing—Lack Of Default/Correlation Data | 5 | 6 |
Lack Of Agreed Accounting Conventions | 7 | 7 |
Tenor Of Institutions' Outstanding Transactions In Credit Derivatives | |
Maturity | Percent |
1-3 Months | 2 |
3-12 Months | 7 |
Over 1 Year-Below 5 Years | 41 |
5 years | 36 |
Over 5-10 Years | 9 |
Over 10 Years | 5 |
What Proportion Of The Global Credit Derivative Market Is/Will Be Accounted For By These Products? (Percent Of Notional Value) | ||||
1999/2000 Survey | 2001/2002 Survey | |||
End Of 1999 | End Of 2002 | End Of 2001 | End Of 2004 | |
Single-Name Credit-Default Swaps | 38 | 37 | 45 | 43 |
Portfolio Products/CDOs | 18 | 18 | 22 | 26 |
Credit-Linked Notes | 10 | 11 | 8 | 8 |
Total-Return Swaps | 11 | 10 | 7 | 6 |
Asset Swaps | 12 | 11 | 7 | 5 |
Credit-Spread Options | 5 | 6 | 5 | 6 |
Basket Products | 6 | 7 | 6 | 6 |
How Credit Derivatives Are Used | |
Ranking In 2001 | Predicted Ranking In 2004 |
Trading/Market Making | Trading/Market Making |
Management Of Individual Credit Lines | Active Portfolio/Asset Management |
Management Of Regulatory Capital/Risk Weighted Assets | Management Of Economic Capital |
Product Structuring | Product Structuring |
Active Portfolio/Asset Management | Management Of Individual Credit Lines |
Hedging Trading Instruments | Hedging Trading Instruments |
Management Of Economic Capital | Management Of Regulatory Capital/Risk Weighted Assets |