Regular OTC Derivatives Market Statistics

The BIS is releasing today its semiannual statistics on positions in the global OTC derivatives market for end-December 2008. The statistics cover the notional amounts and gross market values outstanding of the worldwide consolidated OTC derivatives exposure of major banks and dealers in the G10 countries.

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:

  • CDS volumes continued to contract
  • Commodity derivatives markets declined by two thirds
  • The market value of interest rate products almost doubled

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