Activity in the over-the-counter derivatives markets continued to grow during the first half of 2005, albeit at a somewhat slower pace than in the preceding six months. According to the latest semiannual survey released by the BIS, notional amounts outstanding rose by 7% to $270 trillion at the end of June, after a 14% increase during the second half of 2004. Gross market values, which measure the cost of replacing all contracts and thus represent a better measure of risk at a given point in time than notional amounts, rose by 16% to $11 trillion.
The following trends are visible:
- A sharp rise in the notional amounts of equity and commodity contracts
- The growing share of dollar-denominated interest rate products
- The increasing sophistication of FX derivatives on the Mexican peso
- Credit default swaps weather sell-off in credit markets
- Little change in market concentration
Any queries arising from these statistics can be directed to:
Paola Gallardo tel: +41 61 280 8445, e-mail: paola.gallardo@bis.org
Christian Upper tel: +41 61 280 8416, e-mail: christian.upper@bis.org
The BIS expects to release the OTC derivatives statistics for the second half of 2005 no later than 31 May 2006.