ISDA Publishes Year-End 2008 Market Survey Results

ISDA®INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC.

NEWS RELEASE

For Immediate Release, Wednesday, April 22, 2009

For More Information, Please Contact:

Beijing Press Room: +86 10 65050879

Donna Chan, ISDA Hong Kong, +852 2200 5906, dchan@isda.org

Cesaltine Gregorio, ISDA New York, +1 212-901-6019, cgregorio@isda.org

Lauren Dobbs, Kennedy & Co., +1 914-961-2436, ext. 15, lauren@kennedycom.com

ISDA Publishes Year-End 2008 Market Survey Results

BEIJING, Wednesday, April 22, 2009 – At its Annual General Meeting in Beijing today, the International Swaps and Derivatives Association, Inc. (ISDA) announced the results of its Year-End 2008 Market Survey of privately negotiated derivatives.

The notional amount outstanding of credit default swaps (CDS) was $38.6 trillion at year-end, down 29 percent from $54.6 trillion at mid-year 2008. CDS notional outstanding for the whole of 2008 was down 38 percent from $62.2 trillion at year-end 2007. The decreases compared to prior-year periods underscore the success of the industry’s portfolio compression efforts, in which firms reduce the number of trades outstanding without affecting their risk profiles. The survey monitors credit default swaps on single names and obligations, baskets and portfolios of credits and index trades. The $38.6 trillion notional amount was approximately evenly divided between bought and sold protection: bought protection notional amount was $19.5 trillion and sold protection was $19.1 trillion, with a net bought notional amount of $400 billion.

Notional amount of interest rate derivatives outstanding was $403.1 trillion at year-end, a decline of 13 percent compared to $464.7 trillion at mid-year 2008. For the year as a whole, interest rate derivatives notionals rose 5 percent over 2007. As with the CDS market, the level of interest rate derivatives outstanding reflects the industry’s focus on reducing the notional amounts of their swaps portfolios, even as new trading activity remains solid. For the purposes of the survey, interest rate derivatives include interest rate swaps and options and cross-currency interest rate swaps.

Notional amounts of equity derivatives fell to $8.7 trillion at year-end 2008. At mid-year 2008, equity derivatives notionals were $11.9 trillion. Equity derivatives notional amount for the year was down 13 percent. Equity derivatives for purposes of the survey comprise equity swaps, options, and forwards.

“The lower notional amounts outstanding in this year's survey reflect the industry's ability to quickly and effectively respond to changing market conditions,” said Robert Pickel, Executive Director and Chief Executive Officer, ISDA. “In the current environment, firms are intensely focused on shrinking their balance sheets and allocating capital most productively. They are also looking to increase operational efficiency. Both of these factors drove a decrease in the level of derivatives notional outstanding compared with mid-year 2008."

The above notional amounts, which total $450.4 trillion across asset classes, are an approximate measure of derivatives activity, and reflect both new transactions and those from previous periods. The amounts, however, are a measure of activity, not a measure of risk. The Bank for International Settlements (BIS) collects both notional amounts and market values in its derivatives statistics and it is possible to use the BIS statistics to determine the amount at risk in the ISDA survey results.

As of June 2008, gross mark-to-market value was approximately 3.0 percent of notional amount outstanding of all products. In addition, net credit exposure (after netting but before collateral) is 0.6 percent of notional amount outstanding. Applying these percentages to the total ISDA Market Survey notional amount outstanding of $450.4 trillion as of December 31, 2008, gross credit exposure before netting is estimated to be $13.5 trillion and credit exposure after netting is estimated to be $2.7 trillion.

The ISDA Year-End 2008 Market Survey reports notional amounts outstanding for the interest rate derivatives, credit default swaps, and over-the-counter equity derivatives as of December 31, 2008. All notional amounts have been adjusted for double counting of inter-dealer transactions. ISDA surveys its Primary Membership twice yearly on a confidential basis. In this survey, 70 firms provided data on interest rate swaps; 63 provided responses on credit derivatives; and 63 provided responses on equity derivatives. Although participation in the Survey is voluntary, all major derivatives houses provided responses.

About ISDA

ISDA, which represents participants in the privately negotiated derivatives industry, is among the world’s largest global financial trade associations as measured by number of member firms. ISDA was chartered in 1985, and today has over 820 member institutions from 57 countries on six continents. These members include most of the world’s major institutions that deal in privately negotiated derivatives, as well as many of the businesses, governmental entities and other end users that rely on over-the-counter derivatives to manage efficiently the financial market risks inherent in their core economic activities. Information about ISDA and its activities is available on the Association's web site: www.isda.org.

^®ISDA is a registered trademark of the International Swaps & Derivatives Association, Inc.