Otc Hy1111

OTC derivatives market activity in the first half of 2011
Monetary and Economic Department

November 2011
Queries concerning this release should be addressed to the authors listed below: Section I: Karsten von Kleist Sections II & III: Denis Ptre tel: +41 61 280 8408 tel: +41 61 280 8411 e-mail: karsten.von-kleist@bis.org e-mail: denis.petre@bis.org
Bank for International Settlements Monetary and Economic Department CH-4002 Basel, Switzerland
Fax: +41 61 280 9100 and +41 61 280 8100 This publication is available on the BIS website only (www.bis.org).
Bank for International Settlements 2011. All rights reserved. Brief excerpts may be reproduced or translated provided the source is cited.
Contents
I. OTC market developments in the first half of 2011 .........................................................1 1.1 1.2 1.3 1.4 II. 1. 2. 3. III. Interest rate and foreign exchange derivatives ......................................................1 Credit default swaps...............................................................................................2 Equity and commodity derivatives..........................................................................3 Concentration indices.............................................................................................3 Coverage................................................................................................................4 Definitions ..............................................................................................................4 Data availability and next publication date ...........................................................11
Statistical notes ...............................................................................................................4
Statistical tables ............................................................................................................12
OTC derivatives market activity, first half 2011
iii
I.
OTC market developments in the first half of 2011
After an increase of only 3% in the second half of 2010, total notional amounts outstanding of over-the-counter (OTC) derivatives rose by 18% in the first half of 2011, reaching $708 trillion by the end of June 2011 (Graph 1, left-hand panel, and Table 1). 1 Notional amounts outstanding of credit default swaps (CDS) grew by 8%, while outstanding equity-linked contracts went up by 21%. Gross market values 2 of all OTC contracts declined by 8%, driven mainly by the 10% reduction in the market value of interest rate contracts. CDS market values were almost unchanged. Overall gross credit exposure 3 dropped by a further 15% to $3.0 trillion, compared with a 3% decrease in the second half of 2010.
Global OTC derivatives

By data type and market risk category, in trillions of US dollars
Notional amounts outstanding

Foreign exchange Interest rate Equity Commodities CDS Other 1,000 800 600 400 200 0 H1 2009 H2 2009 H1 2010 H2 2010 H1 2011
Gross market values and gross credit exposure

5 4 3 2 1 0 H1 2009 H2 2009 H1 2010 H2 2010 H1 2011 Gross credit exposure (lhs) 50 40 30 20 10 0
Sources: Central banks of the G10 countries and Switzerland; BIS.
Graph 1
1.1
Interest rate and foreign exchange derivatives OTC interest rate derivatives (Table 3): In the largest risk category in the OTC derivatives market, notional amounts outstanding increased by 19% in the first half of 2011. Contracts on dollar rates were up 13%. Positions in all currencies increased, including the Canadian dollar (+63%, partly due to additional coverage), sterling (+33%), the euro (+24%) and the Swiss franc (+21%). Overall interest rate derivative market values fell by around 10%. FX derivatives (Table 2): The notional amounts of FX derivatives increased by 12%, with maturities of one year or less up 26%, while maturities over five years almost halved (48%). Gross market values dropped 6%. Market values for instruments on yen contracted by 21%, and those on the Swedish krona were down 18%. The market value of instruments on the Swiss franc remained fairly steady (rising 9%, after increases of 46% and 106% in the preceding two half-years).
1 2 3
About 0.6 percentage point of this increase was due to expanded reporting coverage in Canada. Gross market values, which measure the cost of replacing all existing contracts, provide a measure of market risk. Gross credit exposures take into account legally enforceable bilateral netting agreements (see Statistical notes 2.2). Before 2011, excluding CDS contracts for all countries except the United States.
Global OTC derivatives

In trillions of US dollars and in per cent
Interest rate derivatives by currency1

US dollar Euro Yen
Interest rate derivatives by data type and instrument

Gross market values (lhs) 1 Notional amounts 3
2
Credit default swaps, by data type and instrument

Gross market values (lhs) 1 Multi-name 1 Single-name
2
Sterling Other 450
450
15
60
300
300
10
40
150 1 0 H1 2009
1
150
20
H2 2009
H1 2010
H2 2010
H1 2011
0 Swaps Options FRAs

2
0 2005 2007 2009
0 2011
Notional amounts outstanding (right-hand scale).
As a percentage of the notional amount outstanding. Graph 2
1.2
Credit default swaps
As of June 2011, additional data are reported for: CDS net market values (Table 4), sector breakdown for securitised products, 4 rating information (Table 5) and a breakdown by counterparty location (Table 8). CDS notional amounts outstanding increased moderately in the first part of 2011 (+8%). Positions with other financial institutions were up 2%. Amounts outstanding with central counterparties (CCPs) increased to about 17% of the total market at end-June 2011, after reaching 15% at end-December 2010. 5 Positions with nonfinancial customers dropped another 23% to $238 billion after a 63% decline in the second half of 2010. They now represent less than 1% of the market compared with the previous peak of 5%, reached at the end of December 2009. CDS gross market values were largely unchanged at $1.3 trillion, reflecting a decline of 3% for single-name CDS, and a 5% increase for multi-name contracts. With the exception of contracts with CCPs (+19%) and insurance firms (+21%), market values decreased with counterparties such as banks and security firms (31%) and other financial customers (12%, including special purpose vehicles (SPVs) and hedge funds, which were not identified separately before June 2011). Contracts with SPVs and hedge funds accounted for 2% and 3% of total of CDS notional amounts outstanding, but for around 10% and 5% of their net market values, respectively (Table 4). The single-name sovereign CDS market, accounting for 8% of total CDS notional amounts, increased by 8%, after a 6% rise in the previous half-year, but representing less than half of the 23% gain during the first half of 2010. Positions in single-name, non-sovereign CDS eased by 2% in the first half of 2011.
4
5
Available at http://www.bis.org/statistics/derdetailed.htm. Counting each CCP contract once, rather than halving them (see Statistical notes 2.4 for more details).
With regard to the maturity structure, notional amounts grew 23% in the short segment and 8% in the medium-term bucket, while there was little change in the long-term (five years and over) component (+1%). Counterparty location was reported for the first time (Table 8) and revealed that most CDS are held with non-local counterparties (82%). A more detailed geographical breakdown is expected to be published in future releases.
Credit default swaps

In trillions of US dollars
By instrument1
Single-name CDS Multi-name CDS 48 36 24 12 0 H1 2009
1
By counterparty1
Reporting Other fin dealers institutions Non-fin customers 20 15 10 5 0 H2 H1 H2 H1 H2 H1 2010 2011 2010 2011 2010 2011
By counterparty2
Reporting Other fin dealers institutions Non-fin customers 0.8 0.6 0.4 0.2 0.0 H2 H1 H2 H1 H2 H1 2010 2011 2010 2011 2010 2011
H2 2009
H1 2010
H2 2010
H1 2011
2
Notional amounts outstanding.
Gross market values. Graph 3

FGGG GG
1.3
Equity and commodity derivatives Equity derivatives: Notional amounts outstanding of equity-linked contracts increased by 21%. Positions in equity-linked options were up by 26%, while those in forwards and swaps increased by 11%. Market values rose by 5% in forwards and swaps and by 11% in options. Commodity derivatives: Amounts outstanding grew by 9%, with contracts on gold up 18% and options on precious metals and other commodities up 19%. However, gross market values on commodity contracts fell by 10%. Concentration indices According to Herfindahl indices calculated on the basis of responses from individual dealers, concentration was largely unchanged in most sectors. In the interest rate segment, with the inclusion of new reporters, concentration in all instruments (options in particular) on the Canadian dollar dropped markedly from previously elevated levels. Concentration in interest rate options on the Swiss franc significantly increased (Table 9a). Concentration in instruments linked to Latin American equities, which had risen strongly in the second half of 2010, dropped to levels comparable to those in other regions (Table 9c).
1.4
II.
1.
Statistical notes
Coverage
As of end-June 1998, the central banks of the 11 reporting countries 6 introduced reporting by leading global dealers as a regular feature of the collection of statistics on derivatives markets. The aim is to obtain reasonably comprehensive and internationally consistent information on the size and structure of over-the-counter (OTC) derivatives markets. The semiannual OTC derivatives market statistics (Tables 1 to 3) provide data on notional amounts and gross market values outstanding for forwards, swaps and options on foreign exchange, interest rate, equity and commodity derivatives. All published figures are adjusted for double-counting of positions between reporting institutions. Notional amounts outstanding are adjusted by halving positions vis--vis other reporting dealers. Total gross market values are calculated by adding all reporters contracts with positive market value to the absolute value of reporters contracts with non-reporting counterparties that have negative market value. As of end-June 2004, the BIS began releasing statistics on concentration measures in the context of the semiannual OTC derivatives statistics. The central banks of the 11 reporting countries provided the BIS with data back to June 1998, including concentration measures for foreign exchange, interest rate and equity-linked derivatives (Tables 9a to 9i). In response to a request from the Committee on the Global Financial System (CGFS), as of end-December 2004 the BIS began releasing semiannual statistics on credit default swaps (CDS) (Tables 4 to 8). These include notional amounts outstanding and gross market values for single- and multi-name instruments. From end-June 2010 more granular information is collected on CDS counterparties, ie Central Counterparties, Special Purpose Vehicles and Hedge Funds, and index products as a subset of multi-name CDS instruments are shown separately. As of June 2011, additional data on net market values, an expanded sector breakdown for securitised products, additional rating information and a breakdown by counterparty location have been reported to the BIS. 2. 2.1 Definitions Reporting basis
Data on amounts outstanding are collected and reported on a consolidated basis. This means that data from all branches and (majority-owned) subsidiaries worldwide of a given institution are aggregated and reported by the parent institution to the official monetary authority in the country where the parent institution has its head office. Deals between affiliates (ie branches and subsidiaries) of the same institution are excluded from the reporting.
Belgium, Canada, France, Germany, Italy, Japan, the Netherlands, Sweden, Switzerland, the United Kingdom and the United States. From December 2011, Australia and Spain are expected to contribute to the semiannual survey, bringing to 13 the number of reporting countries.
2.2
Types of data collected
Notional amounts outstanding: Nominal or notional amounts outstanding are defined as the gross nominal or notional value of all deals concluded and not yet settled on the reporting date. For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal amounts at the time of reporting. Nominal or notional amounts outstanding provide a measure of market size and a reference from which contractual payments are determined in derivatives markets. However, such amounts are generally not those truly at risk. The amounts at risk in derivatives contracts are a function of the price level and/or volatility of the financial reference index used in the determination of contract payments, the duration and liquidity of contracts, and the creditworthiness of counterparties. They are also a function of whether an exchange of notional principal takes place between counterparties. Gross market values provide a more accurate measure of the scale of financial risk transfer taking place in derivatives markets. Gross positive and negative market values: Gross market values are defined as the sums of the absolute values of all open contracts with either positive or negative replacement values evaluated at market prices prevailing on the reporting date. Thus, the gross positive market value of a dealers outstanding contracts is the sum of the replacement values of all contracts that are in a current gain position to the reporter at current market prices (and therefore, if they were settled immediately, would represent claims on counterparties). The gross negative market value is the sum of the values of all contracts that have a negative value on the reporting date (ie those that are in a current loss position and therefore, if they were settled immediately, would represent liabilities of the dealer to its counterparties). The term gross indicates that contracts with positive and negative replacement values with the same counterparty are not netted. Nor are the sums of positive and negative contract values within a market risk category such as foreign exchange contracts, interest rate contracts, equities and commodities set off against one another. As stated above, gross market values supply information about the potential scale of market risk in derivatives transactions. Furthermore, gross market value at current market prices provides a measure of economic significance that is readily comparable across markets and products. Gross credit exposure and liabilities: Gross credit exposure represents the gross value of contracts that have a positive market value after taking account of legally enforceable bilateral netting agreements. Liabilities arising from OTC derivatives contracts represent the gross value of contracts that have a negative market value taking account of legally enforceable bilateral netting agreements. Herfindahl index: The Herfindahl index represents a measure of market concentration and is defined as the sum of the squares of the market shares of each individual institution. It ranges from 0 to 10,000. The more concentrated the market, the higher the measure becomes. If the market is fully concentrated (only one institution) the measure will have the (maximum) value of 10,000. 2.3 Instrument types
Forward contracts: Forward contracts represent agreements for delayed delivery of financial instruments or commodities in which the buyer agrees to purchase and the seller agrees to deliver, at a specified future date, a specified instrument or commodity at a specified price or yield. Forward contracts are generally not traded on organised exchanges and their contractual terms are not standardised. The reporting exercise also includes transactions where only the difference between the contracted forward outright rate and the prevailing spot rate is settled at maturity, such as non-deliverable forwards (ie forwards which do not require physical delivery of a non-convertible currency) and other contracts for differences.
Swaps: Swaps are transactions in which two parties agree to exchange payment streams based on a specified notional amount for a specified period. Forward-starting swap contracts are reported as swaps. Options: Option contracts confer either the right or the obligation, depending upon whether the reporting institution is the purchaser or the writer, respectively, to buy or sell a financial instrument or commodity at a specified price up to a specified future date. Single-name CDS: A credit derivative where the reference entity is a single name. Multi-name CDS: A contract where the reference entity is more than one name, as in portfolio or basket CDS or CDS indices. A basket CDS is a CDS where the credit event is the default of some combination of the credits in a specified basket of credits. Index products: Multi-name credit default swap contracts with constituent reference credits and a fixed coupon that are determined by an administrator such as Markit (which administers the CDX indices and the iTraxx indices). Index products include tranches of credit default swap indices. 2.3.1. Specific definitions for foreign exchange transactions Outright forward: Transaction involving the exchange of two currencies at a rate agreed on the date of the contract for value or delivery (cash settlement) at some time in the future (more than two business days later). This category also includes forward foreign exchange agreement transactions (FXA), non-deliverable forwards and other forward contracts for differences. Transaction involving the actual exchange of two currencies (principal amount only) on a specific date at a rate agreed at the time of the conclusion of the contract (the short leg), and a reverse exchange of the same two currencies at a date further in the future at a rate (generally different from the rate applied to the short leg) agreed at the time of the contract (the long leg). Both spot/forward and forward/forward swaps should be included. Short-term swaps carried out as tomorrow/next day transactions should also be included in this category. Contract which commits two counterparties to exchange streams of interest payments in different currencies for an agreed period of time and to exchange principal amounts in different currencies at a pre-agreed exchange rate at maturity. Option contract that gives the right to buy or sell a currency with another currency at a specified exchange rate during a specified period. This category also includes exotic foreign exchange options such as average rate options and barrier options.
Foreign exchange swap:
Currency swap:
Currency option:
2.3.2. Specific definitions for single-currency interest rate derivatives Forward rate agreement (FRA): Interest rate swap: Interest rate forward contract in which the rate to be paid or received on a specific obligation for a set period of time, beginning at some time in the future, is determined at contract initiation. Agreement to exchange periodic payments related to interest rates on a single currency; can be fixed for floating, or floating for floating based on different indices. This group includes those swaps whose notional principal is amortised according to a fixed schedule independent of interest rates.
Interest rate option:
Option contract that gives the right to pay or receive a specific interest rate on a predetermined principal for a set period of time.
2.3.3. Specific definitions for equity and stock index derivatives Equity forward: Equity swap: Contract to exchange an equity or equity basket at a set price at a future date. Contract in which one or both payments are linked to the performance of equities or an equity index (eg S&P 500). It involves the exchange of one equity or equity index return for another and the exchange of an equity or equity index return for a floating or fixed interest rate. Option contract that gives the right to deliver or receive a specific equity or equity basket at an agreed price at an agreed time in the future.
Equity option:
2.3.4. Specific definitions for commodity derivatives Commodity forward: Commodity swap: Forward contract to exchange a commodity or commodity index at a set price at a future date. Contract with one or both payments linked to the performance of a commodity price or a commodity index. It involves the exchange of the return on one commodity or commodity index for another and the exchange of a commodity or commodity index for a floating or fixed interest rate. Option contract that gives the right to deliver or receive a specific commodity or commodity index at an agreed price at a set date in the future.
Commodity option:
Non-plain vanilla products are in principle separated into their plain vanilla components. If this is not feasible, then the OTC options section takes precedence in the instrument classification, so that any product with an embedded option is reported as an OTC option. All other OTC products are reported in the forwards and swaps section. 2.4 Counterparties and elimination of double-counting
Reporting institutions are requested to provide for each instrument in the foreign exchange, interest rate, equity and credit derivatives risk categories a breakdown of contracts by counterparty as follows: reporting dealers, other financial institutions and non-financial customers. Reporting dealers: Institutions whose head office is located in one of the 11 reporting countries (Belgium, Canada, France, Germany, Italy, Japan, the Netherlands, Sweden, Switzerland, the United Kingdom and the United States) 7 and which participate in the semiannual OTC derivatives market statistics; in addition, reporting dealers include all branches and subsidiaries of these entities worldwide; reporting dealers will mainly be commercial and investment banks and securities houses, including their branches and subsidiaries and other entities that are active dealers. Other financial institutions: Financial institutions not classified as reporting dealers, including central counterparties (CCPs), banks, funds and non-bank financial institutions
From December 2011, Australia and Spain are expected to contribute to the semiannual survey, bringing to 13 the number of reporting countries.
which may be considered as financial end users (eg mutual funds, pension funds, hedge funds, currency funds, money market funds, building societies, leasing companies, insurance companies and central banks). In the specific case of the credit default swaps, the counterparty item other financial institutions is broken further down into the following subcategories: Banks and securities firms: smaller commercial banks, investment banks and securities houses that do not participate in the survey. Central counterparties (CCPs): entities that interpose themselves between counterparties to contracts traded in one or more financial markets, becoming the buyer to every seller and the seller to every buyer. 8 Insurance firms (including pension funds 9 ), reinsurance and financial guaranty firms. Special purpose vehicles, special purpose corporations and special purpose entities: legal entities that are established for the sole purpose of carrying out single transactions, such as in the context of asset securitisation through the issuance of asset-backed and mortgage-backed securities. Hedge funds: mainly unregulated investment funds that typically hold long or short positions in commodity and financial instruments in many different markets according to a predetermined investment strategy and that may be highly leveraged. Other financial customers: all remaining financial institutions that are not listed above. In practice, they are mainly mutual funds.
Non-financial customer: Any counterparty other than those described above, in practice mainly corporate firms and governments. Elimination of inter-dealer double-counting Double-counting arises because transactions between two reporting entities are recorded by each of them, ie twice. In order to derive meaningful measures of overall market size, it is therefore necessary to halve the data on transactions between reporting dealers. To allow for this, reporters are asked to identify and report separately deals contracted with other reporters. The following methods of adjustment are applied for the three different types of data (see Section 2.1) collected in the survey: (1) Amounts outstanding data: double-counting is eliminated by deducting half of the amount reported under the counterparty category reporting dealers. (2) Gross market values: the gross negative market value of contracts with other reporting dealers is subtracted from the total gross market value data in order to obtain the adjusted aggregates. (3) Gross credit exposures: similarly to the adjustment performed for the gross market values, the gross negative credit exposures, ie liabilities, vis--vis other reporting dealers are subtracted from the total gross credit exposures in order to correct the reported aggregates for inter-dealer double-counting.
The CCPs that are currently serving or have plans to serve the CDS market are: Eurex Credit Clear, ICE Clear Europe and LCH.Clearnet SA in Europe; CME CMDX and ICE Trust US in North America; and Japan Securities Clearing Corporation and Tokyo Financial Exchange in Japan. As a general rule, pension funds are included under insurance firms. However, if they do not offer saving schemes involving an element of risk-sharing linked to life expectancy, they are more akin to mutual funds and are therefore included under other financial customers.
Effect of central clearing activities on the statistics A central counterparty (CCP) is an entity that interposes itself between counterparties to contracts traded in one or more financial markets, becoming the buyer to every seller and the seller to every buyer. When a derivatives contract between two reporting dealers is cleared by a CCP, this contract is replaced, in an operation called novation, by two new contracts: one between counterparty A and the CCP, and a second between the CCP and counterparty B. As the BIS data record all outstanding positions, it would capture both the contracts in this example. This measure of the market size, ie a measure that captures all outstanding contracts, may be appropriate for gauging counterparty risk, given that any outstanding contract could potentially be defaulted on. However, this approach overstates the size of the derivatives market if used to proxy other aspects, such as the transfer of underlying risks, for which a single counting of the centrally cleared contracts would be more appropriate. 2.5 Maturities
A breakdown by remaining contract maturity is provided for foreign exchange contracts (including gold), interest rate contracts, equity-linked contracts and CDS notional amounts outstanding, according to the following bands: one year or less over one year and up to five years over five years
In the case of transactions where the first leg has not come due, the remaining maturity of each leg should be determined as the difference between the reporting date and the settlement or due date, respectively, of the near- and far-end legs of the transaction. For CDS, the remaining contract maturity is to be determined by the difference between the reporting date and the expiry date for the contract and not by the date of execution of the deal. 2.6 Rating (for credit default swaps)
A breakdown by rating is available for credit default swaps. The current rating for any contract is used and not the rating at inception. The categories used are those provided by the major rating companies. If no public ratings are available, reporters have been requested to use their internal ratings. Data are available for the following rating categories: investment grade (AAABBB) upper investment grade (AAA and AA) lower investment grade (A and BBB) below investment grade (BB and below) non-rated
If a CDS contract refers to a specific underlying reference asset for which several public ratings are available, the lower of the two highest is used. However, if the CDS contract specifies merely a corporate name (or country) as the underlying credit rather than a specific reference obligation, reporters are allowed to report the internal credit rating that meets their business requirements.
For single-name instruments, the rating of the underlying reference obligation(s) is used. For rated multi-name instruments, the rating of the contract (entire basket, portfolio, or index) is used. If the portfolio or basket underlying a multi-name instrument is unrated or not available, then it is recommended that the contract be allocated to (1) investment grade if all underlying contracts are investment grade, and to (2) below investment grade if the underlying reference entities are sub-investment grade. An instrument is classified as non-rated only if (1) it does not have any rating and (2) it is not possible or very burdensome to classify the contract based on the ratings of the underlying reference entities. 2.7 Sector of the reference entity (for credit default swaps)
A breakdown is provided for credit default swaps by economic sector of the obligor of the underlying reference obligation (reference entity) as follows: Sovereigns: Restricted to a countrys central, state or local government, excluding publicly owned financial or non-financial firms. Non-sovereign, of which: o Financial firms: all categories of financial institution, including commercial and investment banks, securities houses, mutual funds, hedge funds and money market funds, building societies, leasing companies, insurance companies and pension funds. Non-financial firms: all categories of institution other than financial firms and sovereigns (as defined above). Securitised products, ie portfolio or structured products: CDS contracts, written on a securitised product or a combination of securitised products, ie asset-backed securities (ABS) or mortgage-backed securities (MBS). The reference entity of these types of contract is not the securitised product itself, ie the ABS or the MBS, but the individual securities or loans that were used to construct it. From this perspective, these contracts are classified as multiname rather than single-name instruments. Hence, by default, all CDS contracts written on securitised products are classified as multi-name instruments. CDS on asset-backed and mortgage-backed securities CDS on other securitised products (including collateralised debt obligations)
Multisectors: CDS on other than securitised products where the reference entities belong to different sectors (such as in the case of basket credit default swaps).
10
2.8
Location of the counterparty (for credit default swaps)
A breakdown by nationality of the counterparty (ie on an ultimate risk basis) is provided for CDS notional amounts outstanding. o Home country: trades with counterparties with head office incorporated in reporters home country (reporting dealers and non-reporting counterparties in home country). Abroad: trades with counterparties abroad: 10 (reporting dealers and nonreporting counterparties abroad).

United States Japan European developed countries 11 Latin America 12 Other Asian countries 13 All other countries
3.
Data availability and next publication date
Detailed tables on OTC derivatives and concentration measures from end-June 1998 are available, with their main breakdowns, at www.bis.org/statistics/derstats.htm. These published data may be subject to revisions. In most cases, such revisions are likely to be minor. Details of any significant revisions will be published on the BIS website. The next OTC derivatives statistics with new data from Australia and Spain, covering the second half of 2011, will be released no later than 15 May 2012.
10
Due to the absence of data from one large reporting country, this detailed information is not available in the current release. Includes Belgium, Cyprus, Denmark, Finland, France, Germany, Gibraltar, Greece, Iceland, Ireland, Italy, Luxembourg, Malta, Monaco, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, Turkey, the United Kingdom, the Vatican City and other Europe. Excludes Albania, Bulgaria, Hungary, Poland, Romania, Russia and the successor republics of Czechoslovakia, the Soviet Union and Yugoslavia. Argentina, the Bahamas, Barbados, Belize, Bermuda, Bolivia, Brazil, the British West Indies, the Cayman Islands, Chile, Colombia, Costa Rica, Cuba, the Dominican Republic, Ecuador, El Salvador, the Falkland Islands, the French West Indies, French Guinea, Grenada, Guatemala, Guyana, Haiti, Honduras, Jamaica, Mexico, the Netherlands Antilles, Nicaragua, Panama, Peru, Suriname, Trinidad and Tobago, Uruguay, Venezuela and other Latin America and Caribbean. Afghanistan, Bahrain, Bangladesh, Bhutan, Brunei, Burma, Cambodia, China, Chinese Taipei, Hong Kong SAR, India, Indonesia, Iran, Iraq, Israel, Jordan, Korea, Kuwait, Laos, Lebanon, Macao SAR, Malaysia, the Maldives, Mongolia, Nepal, North Korea, Oman, Pakistan, the Philippines, Qatar, Saudi Arabia, Singapore, Sri Lanka, Syria, Thailand, the United Arab Emirates, Vietnam, Yemen and other Asia and Middle East.
11
12
13
11
III.
Statistical tables
Table 1 Global OTC derivatives market1 Amounts outstanding, in billions of US dollars

Notional amounts outstanding H2 2009 GRAND TOTAL A. Foreign exchange contracts Outright forwards and forex swaps Currency swaps Options Memo: Exchange-traded contracts B. Interest rate contracts3 FRAs Swaps Options Memo: Exchange-traded contracts C. Equity-linked contracts Forwards and swaps Options Memo: Exchange-traded contracts D. Commodity contracts4 Gold Other Forwards and swaps Options E. Credit default swaps5 Single-name instruments Multi-name instruments Index products F. Unallocated6 GROSS CREDIT EXPOSURE
7 2, 8 2 2 2
Gross market value
H1 2010
582,685 53,153
H2 2010
601,046 57,796
H1 2011 H2 2009 H1 2010 H2 2010 H1 2011

707,569 64,698 21,542 2,070 24,697 2,544 21,296 2,482 19,518 2,336
603,900 49,181
23,129 16,509 9,543 292 449,875 51,779 349,288 48,808 67,292 5,937 1,652 4,285 5,790 2,944 423 2,521 1,675 846 32,693 21,917 10,776 63,270 73,375
25,624 16,360 11,170 348 451,831 56,242 347,508 48,081 69,756 6,260 1,754 4,506 5,536 2,852 417 2,434 1,551 883 30,261 18,494 11,767 38,329 75,639
28,433 19,271 10,092 316 465,260 51,587 364,377 49,295 62,232 5,635 1,828 3,807 5,718 2,922 397 2,525 1,781 744 29,898 18,145 11,753 7,476 39,536 68,265
31,113 22,228 11,358 389 553,880 55,842 441,615 56,423 76,157 6,841 2,029 4,813 6,426 3,197 468 2,729 1,846 883 32,409 18,105 14,305 12,473 46,543 82,972
683 1,043 344 14,020 80 12,576 1,364 708 176 532 545 48 497 1,801 1,243 558 2,398 3,521
930 1,201 413 17,533 81 15,951 1,501 706 189 518 458 45 413 1,666 993 673 1,789 3,581
886 1,235 362 14,746 206 13,139 1,401 648 167 480 526 47 479 1,351 884 466 1,543 3,480
777 1,227 332 13,244 60 11,864 1,319 708 176 532 471 50 421 1,345 854 490 1,414 2,971
Memo: Exchange-traded contracts

1
Data on total notional amounts outstanding, gross market value and gross credit exposure are shown on a net basis, ie transactions between reporting dealers are counted only once. The definitions of notional amounts outstanding, gross market value and gross credit exposure are available under section 2 of the statistical notes. 2 Sources: FOW TRADEdata; Futures Industry Association; various futures and options exchanges. 3 Single currency contracts only. 4 Adjustments for double-counting partly estimated. 5 See Tables 4 to 8. 6 Includes foreign exchange, interest rate, equity, commodity and credit derivatives of non-reporting institutions, based on the latest Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity, in 2010. 7 Before 2011, excludes CDS contracts for all countries except the United States. 8 Excludes commodity contracts.
12
Table 2 Global OTC foreign exchange derivatives market1, 2 Amounts outstanding, in billions of US dollars
Notional amounts outstanding Gross market values
H2 2009 H1 2010 H2 2010 H1 2011 H2 2009 H1 2010 H2 2010 H1 2011 Total contracts With reporting dealers With other financial institutions With non-financial customers
3 3
49,181 18,896 21,445 8,840
53,153 19,924 23,476 9,753
57,796 21,956 25,636 10,204
64,698 26,170 28,854 9,675
2,070 732 888 449
2,544 890 1,100 554
2,482 899 1,050 534
2,336 875 973 489
Up to 1 year
30,614 9,712 8,855
33,637 10,738 8,778
37,987 10,135 9,674
47,732 11,904 5,061
Between 1 and 5 years Over 5 years US dollar Euro Yen Sterling Swiss franc Canadian dollar Swedish krona Other
3
40,921 20,364 11,238 5,929 3,106 1,858 1,309 13,637 292
45,133 20,114 11,824 6,624 3,859 2,236 1,371 15,144 348
48,741 21,913 12,574 6,584 4,213 2,421 1,589 17,556 316
54,035 24,972 13,068 7,011 4,876 3,065 1,739 20,629 389
1,662 864 539 282 98 78 39 578
2,037 1,141 657 286 202 102 45 618
1,956 887 688 254 294 101 50 735
1,808 894 540 251 321 121 41 696
Memo: Exchange-traded 4 contracts

1
See footnote 1 to Table 1. 2 Counting both currency sides of every foreign exchange transaction means that the currency breakdown sums to 200% of the aggregate. 3 Residual maturity. 4 See footnote 2 to Table 1.
13
Table 3 Global OTC interest rate derivatives market1 Amounts outstanding, in billions of US dollars
Notional amounts outstanding Gross market values
H2 2009 H1 2010 H2 2010 H1 2011 H2 2009 H1 2010 H2 2010 H1 2011 Total contracts With reporting dealers With other financial institutions With non-financial customers
2 2
449,875 138,580 275,688 35,607
451,831 132,128 282,031 37,673
465,260 134,483 293,490 37,286
553,880 159,656 354,368 39,856
14,020 3,970 9,313 736
17,533 4,548 12,068 916
14,746 4,136 9,756 854
13,244 3,977 8,616 650
Up to 1 year
180,007 134,312 135,556
196,040 129,488 126,303
188,118 139,449 137,693
246,729 177,428 129,723
Between 1 and 5 years Over 5 years US dollar Euro Yen Sterling Swiss franc Canadian dollar Swedish krona Other
2
153,373 175,790 53,855 34,257 4,807 3,427 4,696 19,669 67,292

3
164,119 161,515 55,395 36,219 4,650 4,411 4,461 21,061 69,756
151,583 177,831 59,509 37,813 5,114 4,247 5,098 24,064 62,232
170,658 219,682 65,491 50,121 6,173 6,905 5,832 29,017 76,157
5,347 6,073 843 1,038 128 102 99 389
7,573 7,043 980 1,146 138 102 98 451
6,177 5,827 1,022 1,016 140 90 71 404
5,745 4,795 1,012 970 144 113 64 402
Memo: Exchange-traded 3 contracts

1
See footnote 1 to Table 1.
Residual maturity.
14
Table 4 Credit default swaps1 Amounts outstanding, in billions of US dollars

Notional amounts outstanding H2 2010 Bought Total contracts With reporting dealers With other financial institutions 3 Central counterparties Banks and security firms Insurance firms SPVs, SPCs and SPEs Hedge funds Other financial customers With non-financial customers Single-name credit default swaps With reporting dealers With other financial institutions 3 Central counterparties Banks and security firms Insurance firms SPVs, SPCs and SPEs Hedge funds Other financial customers With non-financial customers Multi-name credit default swaps With reporting dealers With other financial institutions 3 Central counterparties Banks and security firms Insurance firms SPVs, SPCs and SPEs Hedge funds Other financial customers With non-financial customers of which: index products With reporting dealers With other financial institutions 3 Central counterparties Banks and security firms Insurance firms SPVs, SPCs and SPEs Hedge funds Other financial customers With non-financial customers
1
Gross market values H2 2010
Net market values2
H1 2011 H1 2011 H1 2011

1,345 804 525 93 223 36 66 47 61 16 854 555 290 52 141 20 24 24 30 10 490 249 234 42 82 15 42 23 31 7 375 178 184 18 50 20 39 20 36 13
2
Sold
22,228 15,207 6,917 2,204 3,520 79 1,115 104 13,854 9,974 3,819 773 2,355 58 632 62 8,374 5,232 3,099 1,430 1,164 21 483 43
Total
29,898 15,099 14,489 4,398 7,346 270 2,476 310 18,145 9,898 8,083 1,552 5,154 160 1,217 164 11,753 5,201 6,406 2,845 2,192 109 1,259 146
Bought
25,182 17,271 7,766 2,783 3,185 287 399 328 784 146 14,493 10,751 3,667 1,132 1,789 114 129 154 349 75 10,690 6,519 4,099 1,652 1,396 173 270 173 435 71 9,221 5,897 3,283 1,642 1,161 46 81 156 197 41
Sold
24,575 17,426 7,057 2,759 2,923 71 130 635 539 92 14,429 10,884 3,499 1,119 1,610 47 46 355 323 46 10,146 6,543 3,558 1,640 1,313 24 84 281 216 46 9,154 5,908 3,214 1,637 1,157 21 47 230 122 33
Total
32,409 17,348 14,823 5,543 6,108 358 528 963 1,323 238 18,105 10,817 7,166 2,251 3,398 162 174 509 672 121 14,305 6,531 7,657 3,292 2,709 197 354 454 651 117 12,473 5,902 6,496 3,279 2,318 67 127 386 319 74 1,351 702 628 78 325 29 196 20 884 476 398 29 234 25 109 10 466 226 230 49 90 4 87 10
22,768 14,991 7,571 2,194 3,826 190 1,361 206 14,188 9,821 4,264 779 2,799 102 585 102 8,580 5,169 3,307 1,415 1,027 89 776 104
See footnote 1 to Table 1. Data on notional amounts outstanding bought and sold are recorded on a gross basis, ie not adjusted for inter-dealer double-counting. Based on the data reported by 10 countries. 3 Both contracts post-novation are captured.
15
16
Table 5 Credit default swaps, by rating category

1
Notional amounts outstanding, in billions of US dollars

Total H1 2010 Total contracts With reporting dealers With other financial institutions 3 Central counterparties Banks and security firms Insurance firms SPVs, SPCs and SPEs Hedge funds Other financial customers With non-financial customers Single-name credit default swaps With reporting dealers With other financial institutions 3 Central counterparties Banks and security firms Insurance firms SPVs, SPCs and SPEs Hedge funds Other financial customers With non-financial customers Multi-name credit default swaps With reporting dealers With other financial institutions 3 Central counterparties Banks and security firms Insurance firms SPVs, SPCs and SPEs Hedge funds Other financial customers With non-financial customers
1
Investment grade (AAA-BBB) H1 2011

32,409 17,348 14,823 5,543 6,108 358 528 963 1,323 238 18,105 10,817 7,166 2,251 3,398 162 174 509 672 121 14,305 6,531 7,657 3,292 2,709 197 354 454 651 117
Non-investment grade (BB and below) H1 2010

4,079 2,482 1,487 14 1,156 16 301 110
Non-rated2 H1 2010
1,390 808 534 18 309 31 177 48
H2 2010
29,898 15,099 14,489 4,398 7,346 270 2,476 310 18,145 9,898 8,083 1,552 5,154 160 1,217 164 11,753 5,201 6,406 2,845 2,192 109 1,259 146
H1 2010
13,024 7,184 5,616 1,027 3,733 83 773 225
H2 2010
12,631 6,495 6,053 1,485 3,729 94 745 83
H1 2011
20,478 10,177 10,169 4,617 3,955 175 212 572 639 132 12,330 6,931 5,332 2,109 2,357 94 79 323 368 67 8,148 3,245 4,838 2,507 1,598 81 133 248 270 65
H2 2010
4,151 2,591 1,530 21 1,231 21 258 30
H1 2011
6,243 3,754 2,450 644 1,314 44 76 213 158 39 3,793 2,660 1,119 93 780 15 36 124 70 15 2,450 1,094 1,331 551 534 30 40 88 88 24
H2 2010 H1 2011
1,362 812 500 47 194 45 214 51 5,688 3,418 2,204 282 839 139 240 178 526 67 1,981 1,226 716 49 262 52 59 61 233 39 3,707 2,191 1,487 233 577 86 181 117 293 28
30,261 15,774 13,643 2,967 7,975 273 2,428 844 18,494 10,473 7,637 1,059 5,197 131 1,251 383 11,767 5,301 6,005 1,908 2,778 142 1,177 461
3
Without rating or rating not known.
Both contracts post-novation are captured.
Table 6 Credit default swaps, by remaining maturity1 Notional amounts outstanding, in billions of US dollars
Total H1 2010 Total contracts With reporting dealers With other financial institutions 2 Central counterparties Banks and security firms Insurance firms SPVs, SPCs and SPEs Hedge funds Other financial customers With non-financial customers Single-name credit default swaps With reporting dealers With other financial institutions 2 Central counterparties Banks and security firms Insurance firms SPVs, SPCs and SPEs Hedge funds Other financial customers With non-financial customers Multi-name credit default swaps With reporting dealers With other financial institutions 2 Central counterparties Banks and security firms Insurance firms SPVs, SPCs and SPEs Hedge funds Other financial customers With non-financial customers
30,261 15,774 13,643 2,967 7,975 273 2,428 844 18,494 10,473 7,637 1,059 5,197 131 1,251 383 11,767 5,301 6,005 1,908 2,778 142 1,177 461
One year or less H1 2011

32,409 17,348 14,823 5,543 6,108 358 528 963 1,323 238 32,409 18,105 10,817 7,166 2,251 3,398 162 174 509 672 121 32,409 14,305 6,531 7,657 3,292 2,709 197 354 454 651 117
Over one year up to five years H1 2010

20,787 10,820 9,444 2,353 5,582 137 1,371 523 12,628 7,265 5,130 747 3,573 59 751 233 8,159 3,555 4,314 1,606 2,009 79 620 290
Over five years H1 2010

6,145 3,088 2,836 449 1,417 121 849 222 3,546 1,885 1,552 198 907 64 383 109 2,600 1,203 1,284 251 510 57 466 112
H2 2010
29,898 15,099 14,489 4,398 7,346 270 2,476 310 18,145 9,898 8,083 1,552 5,154 160 1,217 164 11,753 5,201 6,406 2,845 2,192 109 1,259 146
H1 2010
3,328 1,866 1,363 164 976 15 208 99 2,320 1,324 956 113 718 8 117 41 1,009 543 407 51 258 7 91 58
H2 2010
3,182 1,920 1,239 278 780 15 166 22 2,252 1,349 887 206 578 9 95 16 929 571 352 72 203 6 71 6
H1 2011
3,925 2,327 1,578 576 784 19 33 61 104 20 3,925 2,647 1,640 996 331 539 10 13 37 66 11 3,925 1,278 687 582 245 246 9 20 24 38 9
H2 2010
21,481 10,447 10,826 3,566 5,452 140 1,668 208 12,716 6,889 5,729 1,094 3,814 64 757 98 8,765 3,557 5,097 2,472 1,638 76 911 111
H1 2011
23,195 12,233 10,803 4,301 4,379 175 277 707 964 160 23,195 12,565 7,554 4,936 1,604 2,355 78 79 360 460 75 23,195 10,630 4,679 5,867 2,697 2,024 97 198 347 503 85
H2 2010 H1 2011
5,235 2,731 2,423 554 1,113 115 642 80 3,176 1,659 1,467 252 762 87 365 50 2,059 1,072 957 301 351 27 277 30 5,290 2,789 2,443 666 945 164 218 194 256 58 5,290 2,893 1,623 1,234 316 505 74 82 112 146 36 5,290 2,397 1,166 1,209 350 440 91 136 82 110 23
17
18
Table7 Credit default swaps, by sector1 Notional amounts outstanding, in billions of US dollars
Total H2 2010 H1 2011 Total contracts With reporting dealers With other financial institutions 2 Central counterparties Banks and security firms Insurance firms SPVs, SPCs and SPEs Hedge funds Other financial customers With non-financial customers Single-name credit default swaps With reporting dealers With other financial institutions 2 Central counterparties Banks and security firms Insurance firms SPVs, SPCs and SPEs Hedge funds Other financial customers With non-financial customers Multi-name credit default swaps With reporting dealers With other financial institutions 2 Central counterparties Banks and security firms Insurance firms SPVs, SPCs and SPEs Hedge funds Other financial customers With non-financial customers
1
Sovereigns H2 2010 H1 2011

2,542 1,498 1,020 53 747 10 210 24 2,908 1,939 947 2 614 15 44 148 123 22 2,749 1,837 891 2 592 15 18 145 119 21 159 102 55 0 22 0 26 3 4 1
Financial firms H2 2010 H1 2011

8,083 4,622 3,398 962 1,477 83 162 255 460 63 5,168 3,253 1,853 364 861 65 81 109 374 62 2,916 1,368 1,546 598 616 18 80 146 86 1
Non-financial firms Securitised products H2 2010 H1 2011

13,125 6,975 6,103 2,266 3,056 116 98 328 240 47 10,188 5,727 4,422 1,885 1,945 82 75 255 180 39 2,937 1,248 1,681 381 1,110 34 22 73 60 8
Multiple Sectors H2 2010 H1 2011

7,200 3,205 3,899 2,159 843 116 195 184 402 96 0 0 0 0 0 0 0 0 0 0 7,200 3,205 3,899 2,159 843 116 195 184 402 96
H2 2010 H1 2011
1,093 607 476 154 117 28 30 48 98 10 0 0 0 0 0 0 0 0 0 0 1,093 607 476 154 117 28 30 48 98 10
29,898 15,099 14,489 4,398 7,346 270 2,476 310 18,145 9,898 8,083 1,552 5,154 160 1,217 164 11,753 5,201 6,406 2,845 2,192 109 1,259 146
32,409 17,348 14,823 5,543 6,108 358 528 963 1,323 238 18,105 10,817 7,166 2,251 3,398 162 174 509 672 121 14,305 6,531 7,657 3,292 2,709 197 354 454 651 117
Table 8 Credit default swaps, by location of counterparty1 Notional amounts outstanding, in billions of US dollars
Total With reporting dealers With non-reporters
H1 2010 H2 2010 H1 2011 H1 2010 H2 2010 H1 2011 H1 2010 H2 2010 H1 2011 All locations 2 Home country Abroad
1
30,261
29,898
32,409 5,932 26,478
15,774
15,099
17,348 2,752 14,596
14,487
14,799
15,061 3,180 11,881
See footnote 1 to Table 1. The notional amounts outstanding is allocated to one of the locations listed in the table on an ultimate risk basis, ie according to the nationality of the counterparty. 2 Home country means country of incorporation of the reporters head office. Based on the data reported by 10 countries.
19
20
Table 9a Herfindahl indices for all OTC interest rate derivatives contracts
Canadian dollar FRAs Jun 1998 Dec 1998 Jun 1999 Dec 1999 Jun 2000 Dec 2000 Jun 2001 Dec 2001 Jun 2002 Dec 2002 Jun 2003 Dec 2003 Jun 2004 Dec 2004 Jun 2005
1
Swiss franc
3 1
Euro
3 1
Sterling Opts. FRAs 525 578 530 565 559 584 561 546 608 591 675 668 567 539 534 569 604 596 594 639 607 638 624 619 637
3 1
Japanese yen Opts. FRAs 723 628 828 686 677 662 648 727 648 615 643 666 747 1,480 1,288 905 958 916 806 777 824 867 950 1,022 1,256 1,074 1,035
3 1
Swedish krona
3 1
US dollar
3 1
IRS
Opts. FRAs 999 962 1,438 1,340 1,458 1,791 1,621 1,702 1,682 2,112 2,161 2,226 2,313 2,830 2,955 3,052 2,703 2,952 2,978 2,962 3,314 2,939 2,544 2,739 2,097 2,934 1,716
IRS
Opts. FRAs 953 1,077 937 1,154 1,432 2,439 1,239 1,228 1,461 1,693 1,684 1,616 1,796 1,583 1,508 1,584 1,398 1,205 1,045 948 899 947 852 816 926 913 1,290
IRS
IRS
IRS
Opts. FRAs
IRS
Opts. FRAs 975 899 824 987 1,036 1,076 989 1,081 1,149 1,224 1,174 1,230 1,137 1,084 1,077 1,259 1,431 1,638 1,945 2,337 1,904 1,301 1,540 2,452 2,623 2,694 2,006
IRS2 393 415 495 490 500 528 529 730 666 682 701 672 626 667 650 691 678 679 686 698 729 896 949 936 916 920 848
Opts.3 869 901 847 734 782 819 764 1,143 1,044 1,038 961 877 847 760 756 762 816 830 865 982 1,020 1,034 936 912 866 801 832
824 810 923 1,373 1,418 1,452 1,347 1,812 1,556 1,818 1,530 1,522 1,965 1,855 1,659 1,649 1,670 1,499 1,164 1,122 1,405 1,119 1,240 1,149 1,323 1,276 1,250
681 647 737 800 856 876 874 1,044 1,044 1,047 1,041 1,039 1,048 1,051 1,000 1,017 1,018 1,020 987 985 976 1,032 1,245 1,145 1,038 993 795
2
1,053 1,133 1,085 1,317 1,421 1,274 1,264 1,252 1,234 1,218 1,264 1,269 1,169 1,278 1,158 1,630 1,698 1,919 2,043 2,032 1,712 1,760 1,672 1,889 1,925 2,159 1,773
504 542 678 643 655 688 678 788 824 846 896 852 797 851 936 1,015 1,080 1,149 1,150 1,162 1,336 1,344 1,351 1,401 1,465 1,497 1,422
3
834 937 851 1,107 936 740 556 571 539 639 670 611 631 667 690 783 812 709 648 734 581 622 621 765 612
572 522 511 500 486 524 478 492 481 478 473 472 479 484 503 561 623 596 562 764 657 641 620 626 576
713 828 856 641 614 728 693 638 605 610 607 1,095 930 933 855 1,210 1,083 1,024 1,120 1,066 1,055 1,613 1,194 1,138 1,038 1,033 907
419 406 433 444 429 448 438 476 489 515 544 565 594 574 614 661 707 692 736 765 830 1,334 921 929 979 884 927
779 860 942 932 1,014 1,109 1,937 1,758 1,763 1,942 1,972 1,647 1,308 1,898 2,565 3,025 3,280 3,468 2,569 2,302 1,981 2,517 2,164 1,810 1,409 1,214 1,829
440 440 484 528 545 585 613 706 779 790 806 744 728 699 664 635 613 620 675 673 660 875 777 709 639 585 578
500 1,160 436 949 596 715 791 965 870 914 936 957
539 542 549 601 586 640 592 608 532 569 561 570 583 587 564 571 586 594 628 660 677 818 751 773 809 797 846
521 617 655 710 755 879 888 1,145 907 1,042 901 786 725 641 652 690 788 917 850 967 881 1,004 996 1,075 975 993 981
708 1,125 1,217 1,202 1,624 1,223 1,065 978 776 781 793 824 1,002 944 886 839 947 965 892 811 767 847
Dec 2005 Jun 2006 Dec 2006 Jun 2007 Dec 2007 Jun 2008 Dec 2008 Jun 2009 Dec 2009 Jun 2010 Dec 2010 Jun 2011
768 1,068 799 1,096 745 1,242 938 1,152 851 1,143 865 1,055 857 873 881 1,082 939 924 823 820
Forward rate agreements.
Interest rate swaps.
Interest rate options.
Table 9b Herfindahl indices for all OTC foreign exchange derivatives contracts
Forwards, forex swaps and currency swaps Options
Jun 1998 Dec 1998 Jun 1999 Dec 1999 Jun 2000 Dec 2000 Jun 2001 Dec 2001 Jun 2002 Dec 2002 Jun 2003 Dec 2003 Jun 2004 Dec 2004 Jun 2005 Dec 2005 Jun 2006 Dec 2006 Jun 2007 Dec 2007 Jun 2008 Dec 2008 Jun 2009 Dec 2009 Jun 2010 Dec 2010 Jun 2011
302 333 372 413 423 423 416 471 427 434 438 429 442 448 440 464 475 481 486 497 496 515 556 570 565 570 551
519 504 525 544 507 528 546 564 518 503 498 605 560 611 591 624 606 567 558 570 636 641 640 628 654 635 648
21
Table 9c Herfindahl indices for all OTC equity-linked derivatives contracts
Europe
Japan
Latin America
Other Asia
United States
Forwards and swaps
Options
Forwards and swaps 2,655 2,837 2,170 3,416 2,501 2,043 1,461 2,005 1,822 1,946 1,854 3,106 1,984 1,779 2,064 2,347 1,408 1,278 1,168 1,423 1,044 1,150 981 802 693 701 832
Options
Forwards and swaps 5,484 2,849 3,071 9,274 6,881 5,015 5,163 6,063 7,546 7,281 8,839 3,808 3,732 5,694 6,953 7,039 6,704 7,199 7,876 7,420 5,979 4,563 4,687 3,319 3,900 5,529 2,078
Options
Forwards and swaps 1,232 1,313 3,506 3,606 5,119 1,663 1,631 5,294 6,086 1,677 3,197 2,233 2,010 1,339 1,355 1,334 1,294 1,066 1,343 1,350 1,180 967 949 1,077 1,219 1,781 1,200
Options
Forwards and swaps 1,086 1,111 1,215 1,895 1,088 1,132 1,048 1,070 1,174 1,037 964 1,040 855 843 722 947 946 1,487 1,057 803 847 720 773 763 877 793 814
Options
909 869 715 787 618 750 693 733 770 762 768 698 611 635 597 650 613 687 782 732 707 690 921 808 850 824 709
627 659 639 613 657 779 891 880 952 791 985 1,013 1,195 710 661 614 690 775 716 668 706 860 981 931 1,124 1,013 923
1,074 970 1,462 1,102 1,018 1,386 860 841 1,072 1,132 2,322 1,718 2,553 1,185 898 3,973 3,409 3,158 2,333 1,310 989 1,191 1,512 1,098 1,013 990 1,067
3,545 4,307 6,169 4,330 6,776 6,703 4,353 8,084 7,585 4,807 9,332 6,432 6,304 4,485 4,427 5,790 3,918 3,902 3,735 4,414 6,290 4,934 6,181 4,043 6,467 3,893 2,369
1,447 1,271 1,388 2,341 1,586 1,600 1,188 1,447 1,550 1,675 1,894 5,464 5,435 1,739 1,177 5,566 5,537 5,615 1,098 2,881 1,249 871 1,105 1,026 1,192 1,134 1,176
1,362 759 1,042 1,275 749 759 663 751 890 665 793 1,031 836 943 725 787 1,385 751 802 755 741 909 1,145 1,490 1,416 1,152 1,239
22
Table 9d Herfindahl indices for OTC interest rate derivatives contracts between reporters
Canadian dollar FRAs Jun 1998 Dec 1998 Jun 1999 Dec 1999 Jun 2000 Dec 2000 Jun 2001 Dec 2001 Jun 2002 Dec 2002 Jun 2003 Dec 2003 Jun 2004 Dec 2004 Jun 2005 Dec 2005 Jun 2006 Dec 2006 Jun 2007 Dec 2007 Jun 2008 Dec 2008 Jun 2009 Dec 2009 Jun 2010 Dec 2010 Jun 2011
1
1
US dollar
4 2
Swiss franc
4 2
Euro
4 2
Sterling Opts. FRAs 591 583 584 619 618 642 636 558 600 575 605 649 556 547 557 577 616 669 665 720 670 690 699 652 646
4 2
Japanese yen Opts. FRAs 866 678 1,145 928 886 795 826 828 786 685 670 661 721 845 842 870 908 890 801 832 813 857 929 1,045 1,184 999 1,053
4 2
Swedish krona
4 2
IRS
Opts. FRAs 1,193 1,041 1,436 1,341 1,212 1,622 1,558 1,474 1,720 2,426 2,695 2,811 2,722 3,135 2,333 2,659 2,686 2,738 2,342 2,578 2,641 2,851 3,202 2,508 2,451 2,229 1,930
IRS
Opts. FRAs 1,110 1,458 1,044 1,371 1,495 1,186 1,350 1,041 1,220 1,441 1,487 1,347 1,691 1,634 1,223 1,214 1,296 1,034 901 935 844 929 1,097 1,022 1,045 964 1,155
IRS
IRS
IRS
Opts. FRAs 489 521 546 795 822 876 803 1,381 1,665 1,749 1,423 1,383 1,158 855 871 903 881 842 972 814 1,063 993 947 946 1,056 1,053 1,219
IRS
Opts. FRAs 816 876 786 859 969 900 857 898 1,143 1,148 1,101 1,232 1,111 1,098 1,036 1,265 1,830 1,350 1,504 2,278 1,721 1,280 1,193 1,316 1,545 1,982 1,649
IRS3 454 421 537 508 533 562 577 784 719 757 757 751 678 716 682 729 695 683 672 694 764 917 811 775 723 803 754
Opts.4 722 896 873 822 858 931 832 1,111 1,239 1,144 991 899 820 770 783 807 979 880 889 767 925 1,076 998 993 987 837 878
972 983 1,008 1,707 1,594 1,876 1,365 2,266 1,992 2,325 2,000 1,814 2,118 2,218 1,815 1,979 1,698 1,687 1,246 1,088 1,315 1,126 1,256 1,088 1,488 1,257 1,278
740 671 772 834 876 910 818 1,008 949 893 974 1,018 1,008 1,045 938 978 996 1,007 952 945 978 1,050 1,109 1,076 1,051 1,017 974
1,231 1,194 1,176 1,480 1,505 1,256 1,211 1,270 1,262 1,594 1,606 1,475 1,348 1,401 1,244 1,710 1,813 2,321 2,086 2,183 1,868 1,998 2,026 2,199 2,189 2,522 1,950
551 530 776 701 724 708 705 822 854 890 835 833 800 815 932 1,043 1,169 1,229 1,217 1,176 1,470 1,420 1,483 1,518 1,681 1,630 1,542
744 961 956 1,071 954 727 540 547 555 540 506 576 661 679 707 819 701 637 642 654 608 630 660 591 598
595 549 543 530 506 571 503 505 474 478 474 470 483 496 515 514 512 542 566 703 590 523 524 529 477
673 862 982 736 666 788 769 697 647 648 576 746 1,012 939 977 1,180 1,090 1,024 936 1,003 1,177 1,738 1,396 1,149 1,310 956 954
414 400 408 456 427 468 458 490 497 550 522 547 723 691 695 751 756 702 729 799 944 1,646 1,131 1,040 859 857 869
832 869 894 973 1,073 1,386 2,319 2,194 2,095 2,316 2,379 1,803 1,463 2,291 3,163 3,447 3,841 3,662 2,354 2,853 2,279 2,411 2,359 1,810 1,417 1,056 1,192
494 460 501 568 600 629 691 801 866 895 935 894 843 792 749 706 661 646 705 731 748 726 678 594 559 538 504
1,021 897 819 862 964 939 1,279 979 962 938 970 1,211 1,125 996 902 769 771 892 918 1,131 1,193 1,151 1,142 1,070 1,075 862 872
610 591 563 617 607 662 601 623 530 570 569 602 651 664 641 650 658 654 676 744 785 941 974 1,074 1,200 1,140 1,204
653 631 692 757 932 894 934 1,046 1,070 1,440 1,142 978 791 625 604 703 782 884 825 916 952 1,069 1,041 1,098 1,043 1,153 1,063
Reporters (reporting dealers) are defined as those institutions whose head office is located in one of the 11 reporting countries and which participate in the semiannual OTC derivatives market statistics; in addition, reporting dealers include all branches and subsidiaries of these entities worldwide; reporting dealers will mainly be commercial and investment banks and securities houses, including their branches and subsidiaries and other entities which are active dealers. 2 Forward rate agreements. 3 Interest rate swaps. 4 Interest rate options.
23
Table 9e Herfindahl indices for OTC foreign exchange derivatives contracts between reporters1
Period Jun 1998 Dec 1998 Jun 1999 Dec 1999 Jun 2000 Dec 2000 Jun 2001 Dec 2001 Jun 2002 Dec 2002 Jun 2003 Dec 2003 Jun 2004 Dec 2004 Jun 2005 Dec 2005 Jun 2006 Dec 2006 Jun 2007 Dec 2007 Jun 2008 Dec 2008 Jun 2009 Dec 2009 Jun 2010 Dec 2010 Jun 2011
1
Forwards, forex swaps and currency swaps 323 342 385 425 437 430 411 464 444 452 478 463 499 491 493 534 532 523 516 544 557 575 647 650 602 606 559
Options
527 517 539 543 550 558 496 614 526 512 538 518 683 700 635 705 656 603 588 634 761 711 767 740 681 689 664
Reporters (reporting dealers) are defined as those institutions whose head office is located in one of the eleven reporting countries and which participate in the semiannual OTC derivatives market statistics; in addition, reporting dealers include all branches and subsidiaries of these entities worldwide; reporting dealers will mainly be commercial and investment banks and securities houses, including their branches and subsidiaries and other entities which are active dealers.
24
Table 9f Herfindahl indices for OTC equity-linked derivatives contracts between reporters1
Europe
Japan
Latin America
Other Asia
United States
Forwards and swaps
Options
Forwards and swaps 4,147 4,424 4,756 2,539 3,614 5,209 2,844 2,541 3,220 2,435 2,225 2,789 1,275 2,395 2,068 1,836 1,600 1,699 1,495 1,904 1,335 1,414 1,323 973 737 701 1,036
Options
Options
Options
Forwards and swaps 1,648 1,154 1,157 1,049 850 1,136 2,424 1,315 2,542 1,632 708 889 800 931 870 787 629 1,118 679 879 825 1,053 1,143 1,170 1,220 1,036 963
Options
1
1,539 1,192 851 883 694 938 948 859 840 753 639 705 582 669 618 757 568 705 862 1,068 796 838 1,093 935 949 921 793
796 582 725 750 943 874 834 912 737 728 655 676 697 714 748 779 829 873 760 751 832 1,104 1,074 987 1,252 1,141 963
1,042 1,081 1,403 1,316 1,288 1,758 908 924 1,137 968 2,433 1,698 1,127 1,116 838 5,063 3,606 2,216 1,218 1,147 989 897 1,104 940 819 846 894
2,815 2,127 3,206 6,936 7,398 3,433 3,613 4,273 4,772 8,724 3,090 7,515 5,133 4,587 5,707 9,957 1,784 3,253 3,744 2,948 5,032 4,112 4,184 6,205 6,196 8,835 2,444
2,477 2,001 2,386 5,268 2,502 1,604 2,152 2,120 3,290 3,678 3,520 3,166 2,526 874 1,000 995 873 931 982 991 1,159 1,270 1,439 1,228 1,408 1,398 1,489
906 1,347 1,448 1,796 975 1,020 753 783 765 951 1,555 668 774 762 803 851 1,316 915 882 765 796 941 1,130 1,162 1,255 1,367 1,179
25
26
Table 9g Herfindahl indices for OTC interest rate derivatives contracts between reporters1 and non-reporters
Canadian dollar FRAs Jun 1998 Dec 1998 Jun 1999 Dec 1999 Jun 2000 Dec 2000 Jun 2001 Dec 2001 Jun 2002 Dec 2002 Jun 2003 Dec 2003 Jun 2004 Dec 2004 Jun 2005 Dec 2005 Jun 2006
2
Swiss franc
4 2
Euro
4 2
Sterling Opts. FRAs

4 2
Japanese yen Opts. FRAs

4 2
Swedish krona
4 2
US dollar
4 2
IRS
Opts. FRAs 1,072 1,047 1,500 1,589 1,963 2,065 1,917 2,111 1,996 2,451 2,174 2,269 2,448 2,817 3,559 3,339 2,763 3,167 3,563 3,137 3,661 3,428 3,013 3,572 3,611 3,653 1,961
IRS
Opts. FRAs 909 731
IRS
IRS
IRS
Opts. FRAs 660 466 2,701 688 729 759 656 1,009 946 1,402 911 802 1,008 1,087 670 732 901 901 1,103 1,716 3,196 1,964 1,507 1,351 1,040 1,426 913
IRS
Opts. FRAs 1,570 1,121 1,100 1,398 1,260
IRS3 512 501 526 558 545 574 538 731 694 683 725 674 661 683 702 747 757 765 794 844 891 940 1,208 1,130 1,112 1,015 921
Opts.4 1,483 987 980 756 815 814 792 1,275 1,058 1,018 1,030 915 937 793 770 751 718 863 940 1,745 1,944 2,253 2,092 1,983 1,550 1,408 945
828 885 1,026 1,613
826 786 885 982
862 1,959 1,055 1,063 1,961 1,638 1,639 2,171 2,250 2,079 1,933 1,990 2,049 1,376 1,490 1,907 1,744 3,516 2,011 1,737 1,329 1,605 2,138 1,413 2,059 2,082 2,000
820 711 696 763 741 725 703 951 1,082 1,099 1,261 1,035 1,026 1,075 1,074 1,125 1,086 1,185 1,208 1,248 1,282 1,355 1,274 1,342 1,397 1,473 1,411
645 597 557 513 515 540 529 559 563 551 565 541 545 556 570 685 851 779 683 703 799 781 748 720 668
859
561 521 599 503 541 503 489 562 599 604 669 685 546 549 602 687 757 773 823 904 965 983 952 944 1,148 952 976
739 1,033 663 1,709 704 3,035 634 3,055 689 3,153 717 2,502 704 3,915 766 4,132 772 4,983 719 3,782 797 2,431 781 2,105 946 1,692 2,755 1,304 2,907 1,503 1,127 1,409 1,285 1,581 1,144 2,406 951 4,351 1,409 1,893 1,731 1,837 1,862 3,690 1,858 2,786 1,919 2,913 1,744 3,051 2,153 3,737 1,229 4,332
518 501 578 592 571 632 575 625 717 739 767 762 807 757 775 775 736 734 785 822 820 999 1,084 1,037 937 835 868
1,703 1,371 1,272 1,535 1,340 1,341 2,073 1,771 1,849 1,690 916 879 980 917 1,097 1,174 1,459 2,006 1,737 1,852 1,801 1,593 1,812 2,300 1,707 1,814 1,253
717 649 710 799 760 784 716 771 751 717 707 638 662 840 572 611 660 708 829 857 946 841 1,009 878 875 726 813
666 750 939 883 805
1,234 567 973 615 541 543 578 499 607 707 684 861 835 716 632 583 698 697 798 888 868 988 1,086 938 1,009 767 1,372 754 735 884 683 797 773 879 1,247 2,928 881 1,210 1,158 1,693 1,741 1,449 2,149 2,995 2,896 3,056 2,611 3,239 1,975 3,433 1,197
936 1,415 928 999
1,567 1,050 1,412 1,050 2,114 1,167 2,003 1,495 1,681 1,568 1,991 1,631 1,681 1,374 2,079 1,366 2,092 1,423 1,635 1,305 1,978 1,235 1,448 1,220 2,003 1,177 1,656 1,158 1,144 1,159 1,811 1,158 1,783 1,097 1,554 1,707 1,590 1,601 2,333 1,343 1,791 1,188 2,597 1,014 2,581 753
1,361 1,294 4,531 1,449 1,147 1,032 2,146 1,040 2,061 2,254 2,354 831 931 814
1,444 1,338 1,209 1,395 1,379 1,978 1,221 1,089 1,339 1,319 1,330 1,265 1,327 1,322 1,159 1,187 1,531 859 813 871 923 928
2,140 1,209 1,929 1,295 1,682 1,943 2,054 1,847 847 859 891 959
2,240 1,001 2,065 1,404 2,426 1,132 2,531 1,289 2,344 1,232 1,584 1,566 1,960 1,300 3,486 1,750 3,453 1,334 3,781 1,321 3,012 934
Dec 2006 Jun 2007 Dec 2007 Jun 2008 Dec 2008 Jun 2009 Dec 2009 Jun 2010 Dec 2010 Jun 2011
1
1,644 1,032 1,598 1,467 1,498 1,759 1,709 1,849 1,487 1,110 1,393 1,502 1,210 1,521 1,112 1,049 1,316 1,874 1,704 763
Reporters (reporting dealers) are defined as those institutions whose head office is located in one of the eleven reporting countries and which participate in the semiannual OTC derivatives market statistics; in addition, reporting dealers include all branches and subsidiaries of these entities worldwide; reporting dealers will mainly be commercial and investment banks and securities houses, including their branches and subsidiaries and other entities which are active dealers. 2 Forward rate agreements. 3 Interest rate swaps. 4 Interest rate options.
Table 9h Herfindahl indices for OTC foreign exchange derivatives contracts between reporters1 and nonreporters
Period Jun 1998 Dec 1998 Jun 1999 Dec 1999 Jun 2000 Dec 2000 Jun 2001 Dec 2001 Jun 2002 Dec 2002 Jun 2003 Dec 2003 Jun 2004 Dec 2004 Jun 2005 Dec 2005 Jun 2006 Dec 2006 Jun 2007 Dec 2007 Jun 2008 Dec 2008 Jun 2009 Dec 2009 Jun 2010 Dec 2010 Jun 2011
1
Forwards, forex swaps and currency swaps 330 357 401 432 438 444 453 516 469 468 460 443 445 476 454 461 475 484 492 533 531 563 630 627 690 643 570
Options
691 640 596 646 566 576 646 675 638 603 592 995 670 656 672 645 659 635 632 673 744 691 769 811 936 897 684
27
Table 9i Herfindahl indices for OTC equity derivatives contracts between reporters1 and non-reporters
Europe
Japan
Latin America
Other Asia
United States
Forwards and swaps
Options
Forwards and swaps 2,508 2,691 1,877 4,186 2,616 2,359 1,924 2,494 2,059 2,458 2,910 5,520 3,114 2,165 2,330 3,014 1,942 1,645 1,582 1,316 1,217 1,038 1,304 1,051 993 936 1,308
Options
Options
Forwards and swaps 1,468 1,487 3,134 2,677 3,734 1,645 1,848 1,676 2,256 2,088 1,273 1,485 1,536 1,282 1,313 1,431 1,240 1,189 1,549 1,483 1,207 1,091 962 1,209 1,329 2,209 1,476
Options
Forwards and swaps 1,227 1,260 1,304 2,277 1,290 1,228 1,321 1,288 1,390 1,229 1,265 1,419 1,276 1,242 929 1,187 1,234 1,709 1,415 1,028 1,014 825 848 862 1,142 897 986
Options
1
1,158 1,187 802 900 706 841 733 831 824 947 984 857 879 767 837 767 803 748 822 603 949 729 872 805 910 873 745
995 1,254 892 945 743 1,312 1,962 1,541 2,235 1,327 1,788 1,863 2,227 852 794 814 721 1,140 1,073 965 918 1,066 1,325 1,447 1,325 990 995
1,236 912 2,028 1,909 1,822 918 1,412 1,108 1,096 2,110 2,132 1,988 4,446 1,810 1,583 2,080 3,099 4,896 4,599 2,197 1,786 2,688 2,984 2,115 2,515 2,231 2,579
3,715 4,570 7,075 4,538 7,794 6,875 4,945 8,829 8,324 9,561 9,622 7,604 6,678 4,534 4,623 5,481 3,971 3,953 3,842 4,486 6,527 5,063 6,404 4,178 6,478 2,807 2,863
812 1,357 1,680 1,527 1,346 1,702 1,146 1,352 1,059 2,443 2,454 6,074 6,013 2,275 1,616 6,399 7,619 7,309 1,513 5,165 1,841 1,262 1,254 1,233 1,224 1,074 1,045
1,700 941 1,450 1,774 884 1,023 851 955 1,212 812 809 1,457 1,063 1,282 852 962 1,612 896 924 861 836 1,053 1,571 2,361 2,019 1,344 1,770
28

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OTC derivatives market activity in the first half of 2011

Monetary and Economic Department

Statistical notes ...............................................................................................................4

Statistical tables ............................................................................................................12

OTC derivatives market activity, first half 2011

OTC market developments in the first half of 2011

Global OTC derivatives

Notional amounts outstanding

Gross market values and gross credit exposure

Sources: Central banks of the G10 countries and Switzerland; BIS.

OTC derivatives market activity, first half 2011

Global OTC derivatives

Interest rate derivatives by currency1

Interest rate derivatives by data type and instrument

Credit default swaps, by data type and instrument

Sterling Other 450

0 Swaps Options FRAs

0 2005 2007 2009

Notional amounts outstanding (right-hand scale).

As a percentage of the notional amount outstanding. Graph 2

Sources: Central banks of the G10 countries and Switzerland; BIS.

Credit default swaps

OTC derivatives market activity, first half 2011

Credit default swaps

Notional amounts outstanding.

Gross market values. Graph 3

Sources: Central banks of the G10 countries and Switzerland; BIS.

OTC derivatives market activity, first half 2011

OTC derivatives market activity, first half 2011

Types of data collected

OTC derivatives market activity, first half 2011

Foreign exchange swap:

OTC derivatives market activity, first half 2011

Interest rate option:

OTC derivatives market activity, first half 2011

OTC derivatives market activity, first half 2011

OTC derivatives market activity, first half 2011

OTC derivatives market activity, first half 2011

Location of the counterparty (for credit default swaps)

Data availability and next publication date

OTC derivatives market activity, first half 2011

Table 1 Global OTC derivatives market1 Amounts outstanding, in billions of US dollars

Gross market value

H1 2011 H2 2009 H1 2010 H2 2010 H1 2011

Memo: Exchange-traded contracts

OTC derivatives market activity, first half 2011

49,181 18,896 21,445 8,840

53,153 19,924 23,476 9,753

57,796 21,956 25,636 10,204

64,698 26,170 28,854 9,675

2,070 732 888 449

2,544 890 1,100 554

2,482 899 1,050 534

2,336 875 973 489

30,614 9,712 8,855

33,637 10,738 8,778

37,987 10,135 9,674

47,732 11,904 5,061

40,921 20,364 11,238 5,929 3,106 1,858 1,309 13,637 292

45,133 20,114 11,824 6,624 3,859 2,236 1,371 15,144 348

48,741 21,913 12,574 6,584 4,213 2,421 1,589 17,556 316

54,035 24,972 13,068 7,011 4,876 3,065 1,739 20,629 389

1,662 864 539 282 98 78 39 578