Table 19: Amounts outstanding of over-the-counter (OTC) derivatives

By risk category and instrument

In billions of US dollars
Notional amounts outstanding Gross market values
Risk Category / Instrument Dec 2007 Jun 2008 Dec 2008 Jun 2009 Dec 2009 Dec 2007 Jun 2008 Dec 2008 Jun 2009 Dec 2009
Total contracts 595,738 683,814 547,983 604,617 614,674 15,834 20,375 32,375 25,372 21,583

Foreign exchange contracts 56,238 62,983 44,200 48,775 49,196 1,807 2,262 3,591 2,470 2,069
Forwards and forex swaps 29,144 31,966 21,266 23,107 23,129 675 802 1,615 870 683
Currency swaps 14,347 16,307 13,322 15,072 16,509 817 1,071 1,421 1,211 1,043
Options 12,748 14,710 9,612 10,596 9,558 315 388 555 389 343

Interest rate contracts 393,138 458,304 385,896 437,198 449,793 7,177 9,263 18,011 15,478 14,018
Forward rate agreements 26,599 39,370 35,002 46,798 51,749 41 88 140 130 80
Interest rate swaps 309,588 356,772 309,760 341,886 349,236 6,183 8,056 16,436 13,934 12,574
Options 56,951 62,162 41,134 48,513 48,808 953 1,120 1,435 1,414 1,364

Equity-linked contracts 8,469 10,177 6,155 6,615 6,591 1,142 1,146 1,051 879 710
Forwards and swaps 2,233 2,657 1,553 1,709 1,830 239 283 323 225 179
Options 6,236 7,521 4,602 4,906 4,762 903 863 728 654 531

Commodity contracts 8,455 13,229 4,364 3,729 2,944 1,898 2,209 946 689 545
Gold 595 649 332 425 423 70 68 55 43 48
Other commodities 7,861 12,580 4,032 3,304 2,521 1,829 2,141 890 646 497
Forwards and swaps 5,085 7,561 2,471 1,772 1,675
Options 2,776 5,019 1,561 1,533 846

Credit default swaps 58,244 57,403 41,883 36,046 32,693 2,020 3,192 5,116 2,987 1,801
Single-name instruments 32,486 33,412 25,740 24,112 21,917 1,158 1,901 3,263 1,953 1,243
Multi-name instruments 25,757 23,991 16,143 11,934 10,776 862 1,291 1,854 1,034 559

Unallocated 71,194 81,719 65,487 72,255 73,456 1,790 2,303 3,660 2,868 2,440

Memorandum Item:
Gross Credit Exposure 3,256 3,859 4,555 3,744 3,520

Table 20A: Amounts outstanding of OTC foreign exchange derivatives

By instrument and counterparty
In billions of US dollars
Notional amounts outstanding Gross market values
Instrument / counterparty Dec 2007 Jun 2008 Dec 2008 Jun 2009 Dec 2009 Dec 2007 Jun 2008 Dec 2008 Jun 2009 Dec 2009
Total contracts 56,238 62,983 44,200 48,775 49,196 1,807 2,262 3,591 2,470 2,069
reporting dealers 21,334 24,845 18,810 18,891 18,911 594 782 1,459 892 732
other financial institutions 24,357 26,775 17,223 21,441 21,445 806 995 1,424 1,066 888
non-financial customers 10,548 11,362 8,166 8,442 8,840 407 484 708 512 449
Outright forwards and foreign
exchange swaps 29,144 31,966 21,266 23,107 23,129 675 802 1,615 870 683
reporting dealers 9,899 10,897 8,042 7,703 7,683 228 281 635 301 235
other financial institutions 13,102 14,444 8,646 10,653 10,497 292 348 636 374 300
non-financial customers 6,143 6,624 4,577 4,751 4,949 154 172 343 195 148
Currency swaps 14,347 16,307 13,322 15,072 16,509 817 1,071 1,421 1,211 1,043
reporting dealers 5,487 6,599 5,807 6,330 7,112 215 315 544 402 332
other financial institutions 6,625 7,367 5,610 6,717 7,282 406 520 627 568 478
non-financial customers 2,234 2,341 1,906 2,025 2,115 196 237 250 241 233
Options 12,748 14,710 9,612 10,596 9,558 315 388 555 389 343
reporting dealers 5,948 7,349 4,961 4,858 4,117 151 186 280 190 165
other financial institutions 4,629 4,964 2,968 4,071 3,666 108 127 161 125 111
non-financial customers 2,171 2,397 1,683 1,666 1,775 57 75 115 75 67

BIS Quarterly Review, June 2010 A 121