OTC derivative markets activity in the second half of 2002

The data released by the BIS on positions in the global over-the-counter (OTC) derivatives market point to unusually robust growth in euro-denominated interest rate swap contracts in the second half of 2002. As a result, the total estimated notional amount of outstanding OTC contracts stood at $141.7 trillion at the end of December 2002, an 11% increase from end-June 2002. This compares with a 15% increase in the previous half-year period. At the same time, gross market values grew sharply, rising by 43% to $6.4 trillion, compared with a 18% increase in the first half of 2002. The following trends are notable:

• Substantial rise in gross market values
• Strong double digit growth in notional amounts outstanding
• Euro-denominated swap instruments dominate
• Subdued market for currency derivatives
• OTC business accelerates relative to that on exchanges

Comprehensive explanatory notes are included which define the coverage of and terms used to present the statistics. Statistical tables follow the explanatory notes.

Questions arising from these statistics can be directed to:

Andrew Jameson (telephone: +41 61 280 8191; e-mail: andrew.jameson@bis.org) or
Serge Jeanneau (telephone: +41 61 280 8416; e-mail: serge.jeanneau@bis.org)

The BIS expects to release the OTC derivatives statistics for the first half of 2003 no later than 20 November 2003.