Сергій Кабуд ( Кий ) (xyu) wrote,
Сергій Кабуд ( Кий )

was it 2005? notional amount outstanding of $236 trillion

In the most recent BIS report, gross mark-to-market value is approximately 4% of notional amount outstanding. In addition, net credit exposure (after netting but before collateral) is 0.7% of notional amount outstanding.

Applying these percentages to the total Isda market survey

notional amount outstanding of $236 trillion,
gross credit exposure before netting is estimated to be $9.4 trillion and credit exposure after netting is estimated to be $1.7 trillion.

Overall, the total notional amount of derivatives outstanding across asset classes was $236 trillion, which reflects both new transactions and those from previous periods. The amounts do not, however, represent the risks associated with the activity. To determine the risk, it is necessary to estimate net replacement cost, which Isda does not collect, the association said.

Isda added that the Bank for International Settlements (BIS) collects both notional amounts and market values in its derivatives statistics and it is possible to use the BIS statistics to determine the amount at risk in the Isda survey results.



Other derivatives markets grew, the ISDA said in its statement yesterday. The notional amount of derivatives used to hedge against changes in interest rates increased 22 percent during the first half of 2008 to $464.7 trillion. Contracts linked to equities grew by 19 percent to $11.9 trillion.

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