OTC derivatives market activity in the second half of 2009

Total notional amounts outstanding for over-the-counter (OTC) derivatives increased modestly (+2%) in the second half of 2009, to $615 trillion, after a recovery of 10% in the first half of the year.
The increase was evenly spread among risk categories - with the exception of commodities and credit default swaps (CDS), which receded by 21% and 9%, respectively.

Gross market values for all OTC positions together declined by 15% after a 22% contraction in the first half of the year. Falling by 40% after a 42% drop in the first half of the year, CDS gross market values now stand at 35% of their end-2008 peak.

Overall gross credit exposure decreased by 6%, after an 18% reduction in the first six months of 2009.

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

Any queries arising from these statistics can be directed to:

Karsten von Kleist tel: +41 61 280 8408; e-mail: karsten.von-kleist@bis.org

Carlos Mallo tel: +41 61 280 8256; e-mail: carlos.mallo@bis.org

The BIS expects to release the OTC derivatives statistics for the first half of 2010, together with the results of the OTC amounts outstanding part of the 2010 Triennial Survey, no later than 15 November 2010.