OTC derivatives markets activity in the second half of 2004

20 May 2005

Press release

According to the data released today by the BIS, positions in the global over-the-counter (OTC) derivatives market recorded a robust expansion in the second half of 2004. Overall amounts outstanding were up by 12.8%, to $248 trillion at the end of December. The growth in the latter half of the year was slightly higher than in the first six months, when positions had grown by 11.6%. In sharp contrast to the trend that had emerged in the previous two semiannual surveys, gross market values rose noticeably, by 43% to $9.1 trillion as of end-December. Taking account of legally enforceable bilateral netting agreements does not lead to a lower rate of expansion in gross market values. The following trends are noted:

  • Growth in notional amounts, especially in the interest rate segment
  • Business in the swap segment led by European contracts
  • Foreign exchange contracts expand despite lacklustre activity in currency options
  • Sizeable increase in gross market values
  • Growth in OTC derivatives not matched by exchange-traded contracts
  • Mixed evolution of concentration measures for OTC markets

In addition, the BIS is publishing for the first time statistics on credit default swaps. Notional amounts outstanding of credit default swaps were $6.3 trillion at the end of 2004.

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

Questions arising from these statistics can be directed to:

Paola Gallardo tel: +41 61 280 8445, e-mail: paola.gallardo@bis.org;

Fabio Fornari tel: +41 61 280 8406, e-mail: fabio.fornari@bis.org; and

Jacob Gyntelberg tel: +41 61 280 9156, e-mail: jacob.gyntelberg@bis.org as regards credit default swaps.

The BIS expects to release the OTC derivatives statistics for the first half of 2005 no later than 20 November 2005.