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Lesson 2: Forward Contracts I Part 2

OTC Derivative Statistics

View the following over-the-counter (OTC) derivatives from the Bank for International Settlements. Notice the relative size of notional amount and gross market value for each OTC derivative category.

The following graph displays the Notional Amounts Outstanding in relation to the data table, Table 19. Pay close attention to the values for the following data fields: total contracts, foreign exchange contracts, interest rate contracts, and credit default swaps. In order to view the Gross Market Values, click on the link either above the graph or within Table 19, located at the top of the table on the left-side. You can also view the data for amounts outstanding of OTC foreign exchange derivatives by instrument and counterparty in Table 20A by clicking on the Tab Table 20A directly above the data table values.

Note: The graph only displays information based on the data from Table 19: Notional Amounts Outstanding and from Table 19: Gross Market Values graphs.

 

Notional Amounts Outstanding | Gross Market Values
Table 19: Notional Amounts Outstanding (in trillions)
 06-9812-9806-9912-9906-0012-0006-0112-0106-0212-0206-0312-0306-0412-0406-0512-0506-0612-0606-0712-0706-0812-0806-0912-0906-1012-1006-11
Total contracts728081889495100111128142170197220259283299373418508586673598595604583601708
Foreign exchange contracts191815141516171718182224272931313840495663504949535865
Interest rate contracts425054606465677890102122142165191205212263292347393458433437450452465554
Credit default swaps0000000000000610142029435857423633303032
Table 19: Gross Market Values (in trillions)
 06-9812-9806-9912-9906-0012-0006-0112-0106-0212-0206-0312-0306-0412-0406-0512-0506-0612-0606-0712-0706-0812-0806-0912-0906-1012-1006-11
Total contracts3333333446876911101010111620352522252120
Foreign exchange contracts111111111111121111122422322
Interest rate contracts121111222454457555679201514181513
Credit default swaps000000000000000000123532211
Table 19: Amounts outstanding of over-the-counter (OTC) derivatives by risk category and instrument in billions of US dollars
 Notional amounts outstandingGross market values
Risk Category/InstrumentJun.2009Dec.2009Jun.2010Dec.2010Jun.2011Jun.2009Dec.2009Jun.2010Dec.2010Jun.2011
Total contracts 594,553 603,900 582,685 601,046 707,569 25,298 21,542 24,697 21,296 19,518

Foreign exchange contracts

 48,732 49,181 53,153 57,796 64,698 2,470 2,070 2,544 2,482 2,336

Forwards and forex swaps

 23,105 23,129 25,624 28,433 31,113 870 683 930 886 777

Currency swaps

 15,072 16,509 16,360 19,271 22,228 1,211 1,043 1,201 1,235 1,227

Options

 10,555 9,543 11,170 10,092 11,358 389 344 413 362 332
Interest rate contracts 437,228 449,875 451,831 465,260 553,880 15,478 14,020 17,533 14,746 13,244

Forward rate agreements

 46,812 51,779 56,242 51,587 55,842 130 80 81 206 60

Interest rate swaps

 341,903 349,288 347,508 364,377 441,615 13,934 12,576 15,951 13,139 11,864

Options

 48,513 48,808 48,081 49,295 56,423 1,414 1,364 1,501 1,401 1,319
Equity-linked contracts 6,584 5,937 6,260 5,635 6,841 879 708 706 648 708

Forwards and swaps

 1,678 1,652 1,754 1,828 2,029 225 176 189 167 176

Options

 4,906 4,285 4,506 3,807 4,813 654 532 518 480 532
Commodity contracts 3,619 2,944 2,852 2,922 3,197 682 545 458 526 471

Gold

 425 423 417 397 468 43 48 45 47 50

Other commodities

 3,194 2,521 2,434 2,525 2,729 638 497 413 479 421

Forwards and swaps

 1,715 1,675 1,551 1,781 1,846     

Options

 1,479 846 883 744 883     
Credit default swaps 36,098 32,693 30,261 29,898 32,409 2,973 1,801 1,666 1,351 1,345

Single-name instruments

 24,165 21,917 18,494 18,145 18,105 1,950 1,243 993 884 854

Multi-name instruments

 11,933 10,776 11,767 11,753 14,305 1,023 558 673 466 490

of which index products

 -  -  7,500 7,476 12,473     
Unallocated 62,291 63,270 38,329 39,536 46,543 2,816 2,398 1,789 1,543 1,414
Memorandum Item:

Gross Credit Exposure

      3,744 3,521 3,581 3,480 2,971
Table 20A: Amounts outstanding of OTC foreign exchange derivatives by instrument and counterparty in billions of US dollars
 Notional amounts outstandingGross market values
Instrument/CounterpartyJun.2009Dec.2009Jun.2010Dec.2010Jun.2011Jun.2009Dec.2009Jun.2010Dec.2010Jun.2011
Total contracts48732.02749181.02153152.7957795.89164698.1262470.4462069.7262544.3212482.4742336.183

Reporting dealers

18848.70818896.09119924.43121955.55526169.959892.392732.381890.088898.646874.529

Other financial institutions

21440.98521445.02123475.5825636.26428853.6131066.411888.4191100.1791049.945973.14

Non-financial customers

8442.3428839.9239752.78310204.0729674.578511.65448.939554.057533.897488.536
Outright forwards and foreign exchange swaps23105.00923129.18725623.54728433.27331112.632870.106683.223930.055885.581777.286

Reporting dealers

7700.8647682.9788370.3289262.39510932.329300.626234.998315.397326.22317.923

Other financial institutions

10652.80910496.97711877.54813018.29514529.045374.186300.24400.118365.205302.165

Non-financial customers

4751.3384949.2335375.676152.5815651.26195.297147.984214.543194.158157.206
Currency swaps15071.93516509.00716359.55919271.07322228.0041211.0251042.6261201.1141234.761227.373

Reporting dealers

6329.8877111.8397026.5578320.22910074.81402.143331.554388.236389.946387.012

Other financial institutions

6716.7427281.9317273.688801.5719749.237567.655477.67561.193586.341575.94

Non-financial customers

2025.3062115.2412059.3232149.2742403.959241.229233.407251.682258.474264.422
Options10555.0919542.82811169.68410091.54511357.502389.316343.883413.153362.14331.532

Reporting dealers

4817.9574101.2744527.5464372.9315162.82189.623165.829186.455182.48169.594

Other financial institutions

4071.4343666.1134324.3523816.3984575.331124.57110.509138.86898.39995.035

Non-financial customers

1665.6981775.4492317.791902.2171619.35975.12467.54887.83281.26566.908

Source: Bank for International Settlements ("BIS"). (2011). Semiannual OTC derivatives statistics at end-June 2011. Retrieved from http://www.bis.org/statistics/derstats.htm

 


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