The volumes outstanding of over-the-counter derivatives expanded at a brisk pace in the first half of 2006. Notional amounts of all types of OTC contracts stood at $370 trillion at the end of June, 24% higher than six months before. Growth was particularly strong in the credit segment, where the notional amounts of outstanding credit default swaps (CDS) increased by 46%. Rapid growth was also recorded in other market segments. Open positions in interest rate derivatives rose by 24%, while those in FX contracts expanded by 22%. Equity and commodity contracts grew at 17% and 18%, respectively. Gross market values, which measure the cost of replacing all existing contracts and thus represent a better measure of market risk at a given point in time than notional amounts, increased by 3% to $10 trillion at the end of June 2006.
The following trends are noted in the statistical release:
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 second half of 2006 no later than 31 May 2007.