OTC derivatives market activity in the first half of 2011

Key developments in the first half of 2011:

  • After an increase of only 3% in the second half of 2010, total notional amounts outstanding of over-the-counter (OTC) derivatives rose by 18% in the first half of 2011, reaching $708 trillion by the end of June 2011. Notional amounts outstanding of credit default swaps (CDS) grew by 8%, while outstanding equity-linked contracts went up by 21%.
  • Gross market value of all OTC contracts declined by 8%, driven mainly by the 10% reduction in the market value of interest rate contracts. CDS market values were almost unchanged. 
  • Overall gross credit exposure dropped by a further 15% to $3.0 trillion, compared with a 3% decrease in the second half of 2010.

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