OTC derivatives market activity in the first half of 2005
Activity in the over-the-counter derivatives markets continued to grow during the first half of 2005, albeit at a somewhat slower pace than in the preceding six months. According to the latest semiannual survey released by the BIS, notional amounts outstanding rose by 7% to $270 trillion at the end of June, after a 14% increase during the second half of 2004. Gross market values, which measure the cost of replacing all contracts and thus represent a better measure of risk at a given point in time than notional amounts, rose by 16% to $11 trillion.
The following trends are visible:
- A sharp rise in the notional amounts of equity and commodity contracts
- The growing share of dollar-denominated interest rate products
- The increasing sophistication of FX derivatives on the Mexican peso
- Credit default swaps weather sell-off in credit markets
- Little change in market concentration
Comprehensive explanatory notes are included in the statistical release, defining the coverage of and terms used to present the statistics.
Any queries arising from these statistics can be directed to:
Paola Gallardo tel: +41 61 280 8445, e-mail: paola.gallardo@bis.org
Christian Upper tel: +41 61 280 8416, e-mail: christian.upper@bis.org
The BIS expects to release the OTC derivatives statistics for the second half of 2005 no later than 31 May 2006.