BIS released OTC derivatives market statistics

20 May 2009

The total notional amount of OTC derivatives contracts outstanding was 13.4% lower than six months earlier. The decline is the first since collection of the data began in 1998.

The BIS released its semi-annual statistics on positions in the global OTC derivatives market for end-December 2008. The total notional amount of OTC derivatives contracts outstanding was $592 trillion at the end of December 2008, 13.4% lower than six months earlier. The decline is the first since collection of the data began in 1998.

 

Credit market turmoil and the multilateral netting of contracts led to a contraction of 26.9% in outstanding credit default swaps (CDS). The second half of 2008 also saw the first significant decline of OTC derivatives contracts outstanding in the interest rate market (8.6%) and in the foreign exchange market (21%).

 

Despite the drop in amounts outstanding, movements of financial market prices in the second half of 2008 lifted gross market values 66.5%, to $33.9 trillion. Gross market values measure the cost of replacing all existing contracts and are thus a better measure of market risk than notional amounts outstanding.

 

The statistical release cites the following trends in the second half of 2008:

Ø       CDS volumes continued to contract

Ø       Commodity derivatives markets declined by two thirds

Ø       The market value of interest rate products almost doubled

 

 

Press release

Full text

Semiannual OTC derivatives statistics at end-December 2008

 


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