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Thread: BIS: OTC Derivatives $684 Trillion

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    jimmygu3's Avatar
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    Default BIS: OTC Derivatives $684 Trillion

    According to this data from the Bank for International Settlements, total notional value of OTC derivatives was $683.7 trillion with market value of $20.4 trillion as of June '08. About two thirds of this is interest rate swaps, dwarfing the CDS market ($57.3T notional / $3.2T market value). Seems to me that since the Fed & Treasury is jumping through hoops to support the CDSs, they are at the very least aware of what interest rate policy will do to the $458T in interest rate swaps. Could these contracts (and the implications of cascading defaults) be dictating rate policy?

    Having very limited knowledge on the subject, I'm wondering who here can comment on this. Also, are there any data on where the OTC derivatives markets stand now compared to June? Thanks.

    Jimmy

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    Default Re: BIS: OTC Derivatives $684 Trillion

    The data is as of June 2008 -- just as the derivatives started unwinding -- the December 2008 numbers would be interesting -- I wonder if there are any data points in between, and where they would be available

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    Default Re: BIS: OTC Derivatives $684 Trillion

    Quote Originally Posted by jimmygu3 View Post
    Also, are there any data on where the OTC derivatives markets stand now compared to June? Thanks.

    Jimmy
    The charts in my Derivatives thread are current and show the history back as far as the public data goes.

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    Default Re: BIS: OTC Derivatives $684 Trillion

    But they are as of June 2008 as well. Is there another source of more recent data?

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    bart's Avatar
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    Default Re: BIS: OTC Derivatives $684 Trillion

    Quote Originally Posted by Rajiv View Post
    But they are as of June 2008 as well. Is there another source of more recent data?
    If there is, I'm unaware of it.

    U.S. data is updated quarterly, and the BIS bi-annual... and both sets of data lag by many months.

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