Outstanding of OTC derivatives amounted to $639 trillion

Outstanding of OTC derivatives amounted to $639 trillion

newest release by BIS

Total notional amounts outstanding of OTC derivatives amounted to $639 trillion at end-June 2012, down 1% from end-2011 (Graph 1, left-hand panel, and Table 1). 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. The overall decline was driven by interest rate contracts (–2%). Credit derivatives notional amounts also continued to decline (–6%). In contrast, foreign exchange contracts outstanding rose by 5% to $67 trillion.

Interest rate derivatives

Interest rate derivatives represent the largest risk category in the OTC derivatives market. Notional amounts of these derivatives fell slightly to $494 trillion at end-June 2012, and gross market values retreated somewhat to $19 trillion from the historically high level of $20 trillion reached at end-2011 (Table 3).

Declines in notional amounts were concentrated among inter-dealer positions (–12%), and in positions with residual maturities above five years (–9%), while short-term maturities increased by almost 4%. Ongoing compression of contracts may have contributed to the reduction in notional amounts outstanding.

Equity-linked and commodity derivatives

For equity-linked derivatives, notional amounts outstanding rose quite strongly (6%) to $6.3 trillion. Market values declined another 5% to $645 billion (Table 1). Amounts outstanding of commodity derivatives declined slightly (3%) to $3 trillion. Contracts on gold remained unchanged at $523 billion (Table 1). Gross market values on gold contracts and other commodity contracts each declined, by around 20%.

Credit default swaps

CDS notional amounts outstanding declined another 6% (following –12% during the previous reporting period) to $26.9 trillion at end-June 2012 (Table 4). Market values dropped 25% to $1.2 trillion, more than reversing the increase of the previous half-year.

The decline in amounts outstanding was most pronounced for contracts between reporting dealers and banks and securities firms (–17%), and other financial customers (–12%), with market values down 35% and 32% respectively. Outstanding amounts in CDS with maturities of more than five years were down 16%.

In contrast, CDS positions outstanding with hedge funds grew strongly (21%) to $1 trillion, mainly in multi-name CDS,3 but market values fell by 10%. Dealers’ business with special purpose vehicles (SPVs) rose by 12% to $458 billion, fully accounted for by multi-name products, while the market values of contracts with SPVs dropped by 28%.

The share of CDS notional that was centrally cleared was essentially unchanged at 19%4

(Table 5). Non-rated CDS cleared with CCPs were up 27%, compared with a 9% decline for

rated CDS and a 5% decline for CDS overall.

full pdf statement + graphs: http://www.bis.org/publ/otc_hy1211.pdf