The volume of over-the-counter OTC derivatives contracts outstanding continued to rise in the final half of 2005, albeit at a slowing pace. Notional amounts of all types of OTC contracts excluding credit derivatives stood at $285 trillion at the end of December, 5% higher than six months before. The growth in notional amounts was particularly strong in contracts on commodities (23%) and equities (11%), and more moderate in the much larger interest rate (5%) and foreign exchange (2%) segments of the market.
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, declined by 12% to $9 trillion. This was mainly due to a rebound in long-term interest rates, which reduced the replacement costs of interest rate swaps.
The following trends are noted in the statistical release:
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 first half of 2006 no later than 30 November 2006.
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