BIS: OTC derivatives market activity in the first half of 2006

17 November 2006

The BIS released its semiannual statistics on positions in the global OTC derivatives market for end-June 2006. The statistics cover the notional amounts and gross market values outstanding of the worldwide consolidated OTC derivatives exposure of major banks and dealers in the G10 countries.

The volumes outstanding of over-the-counter derivatives expanded at a brisk pace in the first half of 2006. Notional amounts of all types of OTC contracts stood at $370 trillion at the end of June, 24% higher than six months before. Growth was particularly strong in the credit segment, where the notional amounts of outstanding credit default swaps (CDS) increased by 46%.

Rapid growth was also recorded in other market segments. The following trends are noted in the statistical release:

Rapid growth in credit default swaps despite an increase in multilateral terminations;

Accelerating growth in interest rate and FX products;

Slowing growth in commodity and equity derivatives;

Concentration in OTC derivatives markets remained stable.

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© Graham Bishop