Monetary & Financial Statistics: February 2008
Extended coverage of credit derivatives data
By Pat O’Connor
Tel: 020 7601 4450
As part of a wider review of statistical reporting forms, the Bank of England has reviewed the financial
derivatives return, Form DQ. As a result, a number of changes have been implemented to the return
from end-December 2007 data. These include an extension of the definition of credit derivatives to
bring coverage into line with international standards.
Derivatives data are shown in Table F1.1 of this
publication and are collected on the quarterly financial
derivatives business return, Form DQ. The Bank has
reviewed this return as part of its rolling programme of
reviews. As a result, a number of changes were
implemented from end-December 2007 data, most
• An increase in the reporting threshold to £5 billion
from £1 billion of total gross liabilities under
contracts in financial derivatives on a marked-to-
• Removal of the transactions section of the form.
These data are now modelled from reported levels on
the Form DQ and income data on the Profit & Loss
return, Form PL.
• Clarification of the treatment of interest rate swaps
undertaken between reporting institutions and the
facility operated by LCH.Clearnet
• Extension of the definition of credit derivatives
captured by the return to include a much wider range
of credit derivative instruments.
Only the change in the definition of credit derivatives has
a notable impact on the data published in Table F1.1.
The rest of this article explains the reason for the change
and considers the impact on the data.
Form DQ was introduced at the end of 1997 to meet
ESA95 requirements for the inclusion of financial
derivatives as a class of financial asset. At that time, the
definition of credit derivatives for statistical purposes
was confined to total return swaps as these w