OTC derivatives market activity in the first half of 2011

After an increase of only 3% in the second half of 2010, total notional amounts outstanding of over-the-counter (OTC) derivatives rose by 18% in the first half of 2011, reaching $708 trillion by the end of June 2011. Notional amounts outstanding of credit default swaps (CDS) grew by 8%, while outstanding equity-linked contracts went up by 21%.

Gross market value of all OTC contracts declined by 8%, driven mainly by the 10% reduction in the market value of interest rate contracts. CDS market values were almost unchanged. Overall gross credit exposure dropped by a further 15% to $3.0 trillion, compared with a 3% decrease in the second half of 2010.

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 or Denis Pêtre: e-mail: ibfs.derivatives@bis.org

The BIS expects to release the OTC derivatives statistics for the second half of 2011, no later than 15 May 2012.