BIS: OTC derivatives market activity in the second half of 2009
11 May 2010
The report reveals that total notional amounts outstanding for OTC derivatives increased modestly in the second half of 2009, to $615 trillion. The increase was evenly spread among risk categories - with the exception of commodities and CDS, which receded by 21% and 9%, respectively.
Key developments in the second half of 2009:
· Notional amounts of all types of OTC derivatives contracts outstanding increased by 2% during the second half of 2009, rising to $615 trillion at the year-end. Interest rate and foreign exchange derivatives accounted for most of this increase. By contrast, overall gross market values decreased by 15%, following a contraction of 22% in the previous six-month period. Gross credit exposures fell by 6%, following an 18% decline in the previous period.
· Notional amounts outstanding of CDS contracts continued to decline (-9%), albeit at a slower pace than in the first half of 2009 (-14%), while positions on commodities also receded, by 21%. CDS gross market values shrank by 40%, a similar rate of decline to that seen in the first half of the year (-42%). This brought the market value of the CDS contracts down to 35% of its end-2008 peak.
Comprehensive explanatory notes in the release define the coverage of the statistics and the terms used in presenting them.
© BIS - Bank for International Settlements
