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BBA Statistics

22 Sep 2002

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
Figures in USD billions
Global Market Size 11,899 1,952 4,799
London Market Size578 1,036 2,450
London's Percentage495351
Of The Global Market   
Percent Of Market Share
Banks As Protection Buyers5247
Securities Houses As Protection Buyers2117
Hedge Funds As Protection Buyers1213
Banks As Protection Sellers3932
Insurers As Protection Sellers3333
The Underlying Reference Entity
 End Of 2001End Of 2004
Sovereign Assets (Non-Emerging Market)67
Sovereign Assets (Emerging Market)910
Corporate Assets6059
What Are The Constraints On The Growth Of The London Market? (Ranked In Order Of Importance)
Constraints1999/2000 Survey2001/2002 Survey
Regulatory Risks (e.g. Basel II)31
Lack Of Client Knowledge22
Lack Of Market Liquidity And Depth13
Lack Of Homogenous Documentation45
Pricing—Lack Of Default/Correlation Data56
Lack Of Agreed Accounting Conventions77
Tenor Of Institutions' Outstanding Transactions In Credit Derivatives
1-3 Months2
3-12 Months7
Over 1 Year-Below 5 Years41
5 years36
Over 5-10 Years9
Over 10 Years5
What Proportion Of The Global Credit Derivative Market Is/Will Be Accounted For By These Products? (Percent Of Notional Value)
 1999/2000 Survey2001/2002 Survey
 End Of 1999End Of 2002End Of 2001End Of 2004
Single-Name Credit-Default Swaps38374543
Portfolio Products/CDOs18182226
Credit-Linked Notes101188
Total-Return Swaps111076
Asset Swaps121175
Credit-Spread Options5656
Basket Products6766
How Credit Derivatives Are Used
Ranking In 2001Predicted Ranking In 2004
Trading/Market MakingTrading/Market Making
Management Of Individual Credit LinesActive Portfolio/Asset Management
Management Of Regulatory Capital/Risk Weighted AssetsManagement Of Economic Capital
Product StructuringProduct Structuring
Active Portfolio/Asset ManagementManagement Of Individual Credit Lines
Hedging Trading InstrumentsHedging Trading Instruments
Management Of Economic CapitalManagement Of Regulatory Capital/Risk Weighted Assets

22 Sep 2002