OTC derivatives market activity in the first half of 2012

Key developments in the first half of 2012:

• Total notional amounts outstanding of OTC derivatives amounted to $639 trillion at end-June 2012, down 1% from end-2011. The appreciation of the US dollar against key currencies between end-2011 and end-June 2012 contributed to the decline by reducing the US dollar value of contracts denominated in euros in particular. Interest rate contracts fell slightly to $494 trillion. Credit derivatives notional amounts also declined, to $27 trillion. In contrast, foreign exchange contracts outstanding rose to $67 trillion.
• Gross market values, which measure the cost of replacing existing contracts, dropped by 7% to $25 trillion. Gross credit exposures, which measure reporting dealers' exposure after taking account of legally enforceable netting agreements, fell to $3.7 trillion.

Explanatory notes in the release define the coverage of the statistics and the terms used in presenting them. A summary of the latest statistics is presented in the tables in the release. Detailed breakdowns and time series data are available in PDF and CSV files on the BIS Website