Notional Value of Exchange-Traded and Over the Counter Contracts
Currently, the Commission receives swap data on special price discovery contracts (SPDC) under provisions of the Food, Conservation and Energy Act of 2008 (Farm Bill). The estimated annual volume for SPDC in 2011 is about 244 million contracts with an estimated notional value of $147 million on May 2, 2011. The contracts declared SPDCs are a fraction of the commodity swaps market which had an outstanding notional value of $2.9 trillion at the end of first half of 2010 according to the Bank for International Settlements (BIS). Furthermore, the commodity swaps market is the smallest sector of the overall swaps market comprising only 0.4 percent of the $583 trillion total notional value.
| 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2009 | 2010 | 2011 | |
|---|---|---|---|---|---|---|---|---|---|---|
| Exchange-Traded Futures and Options1 | 16 | 23 | 38 | 38 | 43 | 43 | 30 | 34 | 36 | 38 |
| OTC Contracts (OCC)2 | 51 | 64 | 83 | 95 | 124 | 158 | 165 | 276 | 287 | 287 |
| OTC Contracts (BIS)3 | 142 | 197 | 258 | 298 | 415 | 596 | 598 | 604 | 583 | 583 |
1 Exchange-Traded Futures/Options are those traded on CFTC Designated Contract Markets. (back to text) 2 Office of the Comptroller of the Currency (OCC) data is for the top 25 bank holding companies with the most derivative contracts and "OTC" includes: Forwards, Swaps, Options, and Credit Derivatives. (back to text) 3 Bank for International Settlements (BIS) OTC data includes "Foreign Exchange", "Interest Rates", "Equity-linked", "Commodity", "Credit Default Swaps", and "Unallocated" contracts. (back to text) |
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