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The BIS issued its report on the OTC derivatives market activity in the second half of 2006. Growth in the over-the-counter OTC derivatives market slowed in the second half of 2006 to a pace in line with the long-term average rate of increase of the market.
Notional amounts of all types of OTC contracts rose by 12% to $415 trillion at the end of December, after a 24% increase in the first half of the year. Growth remained very strong in the credit segment, where the notional amounts of outstanding credit default swaps (CDSs) increased by 42%, but it fell to rates in the range of 5–11% in other risk categories. Gross market values, which measure the cost of replacing all existing contracts and thus represent a better measure of risk at a given point in time than notional amounts, remained roughly stable at $10 trillion at the end of December 2006. Gross credit exposures due to OTC derivatives, after netting agreements, were also stable at $2 trillion.
The following trends are noted in the statistical release:
Comprehensive explanatory notes are included in the statistical release, defining the coverage of and terms used to present the statistics.