Triennial and semiannual surveys on positions in global over-the-counter (OTC) derivatives markets at end-June 2007

Today the BIS releases the latest statistics on positions in the global over-the-counter (OTC) derivatives market. These comprise the results of the second part of the Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity as well as the regular semiannual OTC derivatives statistics.

• Positions in the OTC derivatives market grew at a rapid pace over the period since the last Triennial Survey in 2004. Notional amounts outstanding increased by 135% to $516 trillion at the end of June 2007, which corresponds to an annualised compounded rate of growth of 33%. This is higher than the roughly 20% average annual rate of increase since positions in OTC derivatives were first surveyed by the BIS in 1995. Particularly rapid growth was reported in the credit segment, where positions in credit derivatives increased more than tenfold to $51 trillion. Credit default swaps (CDSs) are by far the dominant instrument in this category, accounting for 88% of positions in credit derivatives.
• Gross market values, which correspond to the cost of replacing all contracts at current market prices, increased at a lower rate (74%) than notional amounts, to $11 trillion at the end of June 2007.
• Activity in the OTC derivatives market accelerated in the first half of 2007, with notional amounts of all types of OTC contracts increasing by 25%, following a 12% increase in the second half of 2006.