OTC derivatives market activity in the second half of 2008

19 May 2009

The total notional amount of over-the-counter (OTC) derivatives contracts outstanding was $592.0 trillion at the end of December 2008, 13.4% lower than six months earlier. The decline is the first since collection of the data began in 1998. Credit market turmoil and the multilateral netting of contracts led to a contraction of 26.9% in outstanding credit default swaps (CDS). The second half of 2008 also saw the first significant decline of OTC derivatives contracts outstanding in the interest rate market (8.6%) and in the foreign exchange market (21%).

Despite the drop in amounts outstanding, movements of financial market prices in the second half of 2008 lifted gross market values 66.5%, to $33.9 trillion. Gross market values measure the cost of replacing all existing contracts and are thus a better measure of market risk than notional amounts outstanding.

The statistical release cites the following trends in the second half of 2008:

Comprehensive explanatory notes in the release define the coverage of the statistics and the terms used in presenting them.

Any queries arising from these statistics can be directed to:

Carlos Mallo tel: +41 61 280 8256; e-mail: carlos.mallo@bis.org

Jacob Gyntelberg tel: +41 61 280 8891; e-mail: jacob.gyntelberg@bis.org

The BIS expects to release the OTC derivatives statistics for the first half of 2009 no later than 30 November 2009.