The latest survey on OTC derivatives market activity in the first half of 2009 from the Bank of International Settlements in Basle shows that daily activity has picked up, while overall risk has decreased. Looking at FX specifically, BIS says that there was a 10% rebound to $49 trillion in notional amounts of FX derivatives outstanding. However, gross market values declined by 31%, partly reversing the 59% increase in the second half of 2008. According to BIS, notional amounts outstanding, “are defined as the gross nominal or notional value of all deals concluded and not yet settled on the reporting date.”
It adds: “Gross market values are defined as the sums of the absolute values of all open contracts with either positive or negative replacement values evaluated at market prices prevailing on the reporting date.”