Gross Market Value

Gross market value is a measure of the size of the over-the-counter derivatives market, calculated as the sum of the absolute values of all outstanding contracts, whether they are worth something to the holder or represent a liability. Each contract is valued at the price it would cost to replace it on the reporting date, known as its replacement value. The Bank for International Settlements (BIS) publishes the figure twice a year as part of its global derivatives statistics.

Gross market value is usually quoted beside the notional amount, but the two answer different questions. Notional amount is the face value on which payments are calculated and says how much business has been written; gross market value says how much money is actually at stake if all contracts had to be replaced at current prices. It is also different from gross credit exposure, which is gross market value after legally enforceable netting.

Imagine a group of friends who have made hundreds of bets on football results, each one written for a stake of 1,000. Adding up all the stakes gives a huge headline number, but most bets will only move a small amount of money in the end. Halfway through the season, someone asks a better question: if everyone had to settle today, how much would each person owe or be owed?

Gross market value adds up those amounts, counting both the winnings and the losses as positive numbers. It ignores the fact that one friend's gain is another's loss, so it shows how much value is riding on the bets right now rather than the size of the stakes written on the slips.

For each open contract, the reporting dealer works out the replacement value: positive if the contract is an asset, negative if it is a liability. Gross market value is then:

• $RV_i$ is the replacement value of contract $i$ at market prices on the reporting date.
• $n$ is the number of outstanding contracts.
• $\left| \cdot \right|$ takes the absolute value, so liabilities count as positive amounts.

Suppose a dealer has three contracts: an interest rate swap worth +4.0 million, an FX swap worth −1.5 million and a credit default swap worth +0.5 million. Gross market value is $4.0 + 1.5 + 0.5 = 6.0$ million, while the net value of the book is only $4.0 - 1.5 + 0.5 = 3.0$ million. In the global statistics, the BIS adjusts for positions between two reporting dealers so that the same contract is not counted twice.

The BIS has collected semiannual data on OTC derivatives from major dealers since 1998. At end-June 2025 the notional value of outstanding OTC derivatives was about $846 trillion, while gross market value was $21.8 trillion, up 29% from a year earlier. Gross market value was therefore about 2.6% of notional. Interest rate contracts made up the largest part of both measures, followed by foreign exchange.

The ratio between the two moves with markets. When interest rates or exchange rates shift sharply away from the levels at which contracts were struck, existing contracts gain or lose value and gross market value rises, even if no new business is written. When markets are calm or rates return toward earlier levels, it falls.

• A better gauge of risk than notional. Gross market value is closer to the amount that would have to be paid or received if contracts were closed out, so it is a more meaningful starting point for counterparty and settlement risk than the headline notional figure.
• A link to collateral. Contracts with positive value expose the holder to the other side's default, which is why counterparties exchange variation margin as values change and post initial margin against future moves.
• A view of clearing and netting. Comparing gross market value with gross credit exposure shows how much netting agreements reduce exposure, and BIS data on counterparties show how much of the market now faces a central counterparty.

Interest in these measures grew after the 2008 financial crisis, when losses on bilateral derivatives exposed how little regulators knew about who owed what to whom. The G20 reforms that followed required many standard contracts to be centrally cleared and reported.

Gross market value overstates economic risk because it ignores netting and collateral: a dealer with equal and opposite contracts with the same counterparty may have almost no real exposure. It is a snapshot on two dates a year and depends on reporting dealers' own valuations, which for complex or illiquid contracts are model-based. It also does not show how values might change in stress, which is the job of risk models and mark-to-market monitoring. Finally, coverage depends on which dealers report: in survey years the BIS collects data from a wider group of institutions, which can make comparisons across periods less precise.

• Bank for International Settlements: OTC derivatives statistics
• BIS: OTC derivatives statistics at end-June 2025