Table 21A: Amounts outstanding of OTC single-currency interest rate derivatives

By instrument and counterparty
In billion of US dollars
Instrument / counterparty
Total contracts

Jun 2006

Notional amounts outstanding
Dec 2006 Jun 2007 Dec 2007

Jun 2008

Gross market values
Dec 2006 Jun 2007 Dec 2007

Jun 2006

Jun 2008

262,526

291,582

347,312

393,138

458,304

5,445

4,826

6,063

7,177

9,263

reporting dealers

114,826

127,432

148,555

157,245

188,982

2,221

1,973

2,375

2,774

3,554

other financial institutions

114,930

125,708

153,370

193,107

223,023

2,516

2,223

2,946

3,786

4,965

non-financial customers

32,770

38,441

45,387

42,786

46,299

708

630

742

617

745

Forward rate agreements

18,117

18,668

22,809

26,599

39,370

25

32

43

41

88

reporting dealers

9,653

10,024

10,754

11,903

19,203

8

9

12

14

34

other financial institutions

7,692

7,394

11,035

13,830

18,426

15

18

27

25

48

772

1,250

1,019

865

1,742

3

5

3

2

6

207,588

229,693

272,216

309,588

356,772

4,840

4,163

5,321

6,183

8,056

87,671

96,279

111,324

119,638

140,489

1,915

1,627

1,982

2,271

2,920

other financial institutions

92,874

102,811

123,916

156,948

179,831

2,276

1,974

2,661

3,382

4,480

non-financial customers

27,043

30,603

36,976

33,002

36,452

650

562

677

530

656
1,120

non-financial customers
Swaps
reporting dealers

Options

36,821

43,221

52,288

56,951

62,162

580

631

700

953

reporting dealers

17,501

21,130

26,477

25,704

29,291

299

337

380

489

599

other financial institutions

14,364

15,502

18,418

22,329

24,766

226

231

258

379

437

4,955

6,588

7,392

8,918

8,106

55

63

62

85

84

non-financial customers

Table 21B: Amounts outstanding of OTC single-currency interest rate derivatives
By currency
In billions of US dollars
Notional amounts outstanding
Currency

Gross market values

Jun 2006

Dec 2006

Jun 2007

Dec 2007

Jun 2008

Jun 2006

Dec 2006

Jun 2007

Dec 2007

Jun 2008

262,526

291,582

347,312

393,138

458,304

5,445

4,826

6,063

7,177

9,263

Australian dollar

983

1,042

1,538

1,701

2,549

9

9

21

35

58

Canadian dollar

2,047

2,125

2,828

3,014

3,286

38

31

43

37

60

All currencies

Danish krone
Euro

233

224

234

313

343

6

6

7

8

10

103,461

111,791

127,648

146,082

171,877

2,299

2,300

2,846

2,688

3,910

Hong Kong dollar
Japanese yen

318

453

516

553

682

4

4

4

7

9

32,581

38,113

48,035

53,099

58,056

463

297

364

401

380

New Zealand dollar

20

26

61

79

97

0

0

1

1

1

562

1,183

1,969

2,381

2,792

5

6

11

10

20

Pound sterling

19,071

22,238

27,676

28,390

38,619

291

311

627

430

684

Swedish krona

3,452

3,594

5,155

5,176

6,454

38

32

48

43

73

Swiss franc

3,647

3,543

3,921

4,101

5,253

46

34

52

42

71

88,115

97,430

114,371

129,756

149,813

2,120

1,661

1,851

3,219

3,601

8,036

9,818

13,360

18,493

18,484

126

136

189

257

386

Norwegian krone

US dollar
Other

BIS Quarterly Review, December 2008

A 105

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