London, 16 May 2011

After contracting by 4% in the first half of 2010, total notional amounts outstanding of over-the-counter (OTC) derivatives rose by 3% in the second half, reaching $601 trillion by the end of December 2010, according to the Bank for International Settlements (BIS).

Much of the increase resulted from the appreciation of major currencies against the US dollar, the currency in which the data are reported. Notional amounts outstanding of credit default swaps (CDS) continued to contract, falling by 1% after the 7% decline in the first half.

Gross market values of all OTC contracts fell by 14%, driven mainly by the 17% decline in the market value of interest rate contracts. CDS market values shrank by 19%. Overall gross credit exposure dropped by 7% to $3.3 trillion, compared with a 2% increase in the first half of 2010.

Commodity derivatives: Amounts outstanding grew by 2%, driven mainly by a 15% increase in forwards and swaps contracts on precious metals and other commodities.

The BIS expects to release the OTC derivatives statistics for the first half of 2011, no later than 15 November 2011.

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