Credit derivatives identified as fast-growing market segment

At its 2006 Regional Member Conference in London on 19 September, the International Swaps and Derivatives Association, Inc. (ISDA) announced the results of its Mid-Year 2006 Market Survey of privately negotiated derivatives.

According to the Survey, notional amount outstanding of credit derivatives grew by 52% in the first six months of the year to $26.0 trillion from $17.1 trillion. The annual growth rate for credit derivatives is 109% from $12.4 trillion at mid-year 2005. For the purposes of the Survey, credit derivatives comprise credit default swaps referencing single names, indexes, baskets, and portfolios.

Notional amount outstanding of interest rate derivatives, which include interest rate swaps and options and cross-currency swaps, grew by 18 percent to $250.8 trillion from $213.2 trillion. The annual growth rate for interest rate derivatives to mid-2006 is 25 percent from $201.4 trillion in mid-2005.

Notional amount outstanding of equity derivatives, which consist of equity swaps, options, and forwards, grew by 15 percent from $5.5 trillion to $6.4 trillion. This represents year-on-year growth of 32 percent from $4.8 trillion at mid-year 2005.

Source: ISDA


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