BIS: OTC derivatives are a $601 trillion market

After contracting by 4% in the first half of 2010, total notional amounts outstanding of over-the-counter (OTC) derivatives rose by 3% in the second half, reaching $601 trillion by the end of December 2010. Much of the increase resulted from the appreciation of major currencies against the US dollar, the currency in which the data are reported. Notional amounts outstanding of credit default swaps (CDS) continued to contract, falling by 1% after the 7% decline in the first half. Gross market values of all OTC contracts fell by 14%, driven mainly by the 17% decline in the market value of interest rate contracts. CDS market values shrank by 19%. Overall gross credit exposure dropped by 7% to $3.3 trillion, compared with a 2% increase in the first half of 2010.

Any queries arising from these statistics can be directed to Karsten von Kleist or Carlos Mallo: e-mail: ibfs.derivatives@bis.org

The BIS expects to release the OTC derivatives statistics for the first half of 2011, no later than 15 November 2011.

Key developments in the second half of 2010:

  • After contracting by 4% in the first half of 2010, total notional amounts outstanding of over-the-counter (OTC) derivatives rose by 3% in the second half, reaching $601 trillion by the end of December 2010.
  • Notional amounts outstanding of credit default swaps (CDS) continued to contract, falling by 1% after the 7% decline in the first half. Gross market values of all OTC contracts fell by 14%, driven mainly by the 17% decline in the market value of interest rate contracts. CDS market values shrank by 19%.
  • Overall gross credit exposure dropped by 7% to $3.3 trillion, compared with a 2% increase in the first half of 2010.

Comprehensive explanatory notes in the release define the coverage of the statistics and the terms used in presenting them.

Full text of "OTC derivatives market activity in the second half of 2010" (PDF, 25 pages, 169 kb)

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