Counterparty risk and contract volumes in the credit default swap market
BIS Quarterly Review
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December 2010
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13 December 2010
After more than a decade of rapid growth, the volume of outstanding credit default swaps peaked at almost $60 trillion at the end of 2007. Since then it has nearly halved, while turnover has continued to rise. The decline in volumes outstanding reflects intensified efforts to reduce counterparty risk, which have eliminated more than $65 trillion of offsetting positions.
JEL classification: G23, G28
The views expressed in this publication are those of the authors and do not necessarily reflect the views of the BIS or its member central banks.
