OTC derivatives market activity in the second half of 2010

Key developments in the second half of 2010:

  • After contracting by 4% in the first half of 2010, total notional amounts outstanding of over-the-counter (OTC) derivatives rose by 3% in the second half, reaching $601 trillion by the end of December 2010.
  • Notional amounts outstanding of credit default swaps (CDS) continued to contract, falling by 1% after the 7% decline in the first half. Gross market values of all OTC contracts fell by 14%, driven mainly by the 17% decline in the market value of interest rate contracts. CDS market values shrank by 19%. 
  • Overall gross credit exposure dropped by 7% to $3.3 trillion, compared with a 2% increase in the first half of 2010.

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