OTC derivatives market activity in the first half of 2008

The notional amounts outstanding of over-the-counter (OTC) derivatives continued to expand in the first half of 2008. Notional amounts of all types of OTC contracts stood at $683.7 trillion at the end of June, 15% higher than six months before. Multilateral terminations of outstanding contracts resulted in the first ever decline of 1% in the volume of outstanding credit default swaps (CDS) since the first publication of CDS statistics in December 2004. The average growth rate for outstanding CDS contracts over the last three years has been 45%. In contrast to CDS markets, markets for interest rate derivatives and FX derivatives both recorded significant growth. Open positions in interest rate derivatives contracts rose by 17%, while those in FX contracts expanded by 12%. Gross market values, which measure the cost of replacing all existing contracts and are thus a better gauge of market risk than notional amounts, increased by 29% to $20.4 trillion at the end of June 2008.

The following trends are noted in the statistical release:

• CDS volumes decline
• Significant growth in interest rate products
• Robust activity in foreign exchange derivatives
• Growth in equity derivatives
• Strong growth in commodity derivatives

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:
Jacob Gyntelberg tel: +41 61 280 8891, e-mail: jacob.gyntelberg@bis.org
Carlos Mallo tel: +41 61 280 8256, e-mail: carlos.mallo@bis.org

The BIS expects to release the OTC derivatives statistics for the second half of 2008 no later than 29 May 2009.