OTC derivatives statistics at end-December 2003

The data released by the BIS today on positions in the global over-the-counter (OTC) derivatives market point to sustained growth in interest rate swap contracts in the second half of 2003. As a result, the total estimated notional amount of outstanding OTC contracts almost reached $200 trillion at the end of December, a 16% increase from end-June 2003. This compares with a 20% increase in the previous half-year period. Gross market values, however, fell significantly by 12% to $7.0 trillion, contrasting with a 24% increase in the first half of 2003. The following trends are notable:

• Growth in notional amounts across all risk categories
• Yen-denominated swap instruments regain their appeal
• Foreign exchange options have an active year
• Gross market values fall
• OTC markets catch up with the exchanges

Comprehensive explanatory notes are included in the statistical release of the data, defining the coverage of and terms used to present the statistics. Statistical tables follow the explanatory notes.

Questions arising from these statistics can be directed to:

Andrew Jameson (telephone: +41 61 280 8191; e-mail: andrew.jameson@bis.org) or

Paola Gallardo (telephone: +41 61 280 8445; e-mail: paola.gallardo@bis.org@bis.org)

The BIS expects to release the OTC derivatives statistics for the first half of 2004 no later than end-November 2004.