OTC derivatives market activity in the second half of 2006

Press release  | 
21 May 2007

Growth in the over-the-counter OTC derivatives market slowed in the second half of 2006 to a pace in line with the long-term average rate of increase of the market. Notional amounts of all types of OTC contracts rose by 12% to $415 trillion at the end of December (Table 1), after a 24% increase in the first half of the year. Growth remained very strong in the credit segment, where the notional amounts of outstanding credit default swaps (CDSs) increased by 42%, but it fell to rates in the range of 5┬┐11% in other risk categories. Gross market values, which measure the cost of replacing all existing contracts and thus represent a better measure of risk at a given point in time than notional amounts, remained roughly stable at $10 trillion at the end of December 2006. Gross credit exposures due to OTC derivatives, after netting agreements, were also stable at $2 trillion.

The following trends are noted in the statistical release:

  • Rapid growth in credit default swaps continues
  • Solid growth in interest rate products
  • Lower growth in FX derivatives gives mixed evidence for carry trade activity
  • Slowing growth in commodity and equity derivatives
  • Market concentration low but increasing

Comprehensive explanatory notes are included in the statistical release, defining the coverage of and terms used to present the statistics.

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 first half of 2007, together with the results of the second part of the 2007 Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity, no later than 30 November 2007.