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-June2012, down 1% from end-2011 (Graph 1, left-hand panel, and Table 1). The appreciation ofthe US dollar against key currencies between end-2011 and end-June 2012 contributed tothe 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 notionalamounts also continued to decline (–6%). In contrast, foreign exchange contractsoutstanding 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 grossmarket values retreated somewhat to $19 trillion from the historically high level of $20 trillionreached at end-2011 (Table 3).
Declines in notional amounts were concentrated among inter-dealer positions (–12%), and inpositions with residual maturities above five years (–9%), while short-term maturitiesincreased by almost 4%. Ongoing compression of contracts may have contributed to thereduction in notional amounts outstanding.
Equity-linked and commodity derivatives
For equity-linked derivatives, notional amounts outstanding rose quite strongly (6%) to $6.3trillion. Market values declined another 5% to $645 billion (Table 1). Amounts outstanding ofcommodity derivatives declined slightly (3%) to $3 trillion. Contracts on gold remainedunchanged at $523 billion (Table 1). Gross market values on gold contracts and othercommodity contracts each declined, by around 20%.
Credit default swaps
CDS notional amounts outstanding declined another 6% (following –12% during the previousreporting 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 reportingdealers and banks and securities firms (–17%), and other financial customers (–12%), withmarket values down 35% and 32% respectively. Outstanding amounts in CDS with maturitiesof 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 specialpurpose vehicles (SPVs) rose by 12% to $458 billion, fully accounted for by multi-nameproducts, 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.