OTC derivatives notional rebounds by 10%

The notional amount of over-the-counter derivatives trades outstanding bounced back to reach $605 trillion by the end of June, according to figures released by the Bank for International Settlements.

The figure is up 10% on the level recorded at the end of 2008. A previous survey in May had reported a provisional notional outstanding amount of $592 trillion at the end of last year - a fall of 13.4% compared with six months before.

The latest survey revises the extent of last year's fall, putting the notional value of trades at the end of last year at $547 trillion. This would represent a plunge of almost 20% compared with mid-2008.

Despite the rebound in notional recorded in the latest survey, the total market value of trades decreased by 21% to $25 trillion at the end of June. Gross credit exposures arising from OTC derivatives trades also fell to $3.7 trillion, from a peak of $4.5 trillion in the previous survey.

In credit default swaps (CDSs), the notional value of outstanding contracts fell by 14% to $36 trillion at the end of June. The total market value of CDS trades fell by 42%.
In interest rates, the notional value of trades outstanding went up by 13% to $437 trillion. At the same time, the gross market value of trades decreased by 14% to $15 trillion.

In foreign exchange derivatives, an uptick in activity led notional outstanding to rise 10% to $49 trillion at the end of June. But the survey reports the total market value of forex derivatives decreased by 31% to $2.5 trillion. Similarly, the notional value of equity derivatives trades inflated 7% to reach $6.6 trillion by the end of June, while the total market value fell 16% compared with the end of 2008.

Elsewhere, the notional outstanding value of commodity derivatives contracts continues to decline in the latest survey, slipping 2% to $3.7 trillion. But this figure has slowed since the last survey in May, which showed commodity derivatives notional plummeting by 71% at the end of 2008. According to the latest survey, the total market value of commodity derivatives trades had contracted 17% by the end of June.