ISDA Mid-Year 2006 Market Survey: Credit Derivatives at $26.0 Trillion

LONDON, Tuesday, September 19, 2006 – At its 2006 Regional Member Conference in London today, 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.

"The rapid pace of innovation in privately negotiated derivatives, coupled with ISDA’s ongoing work to standardize documentation, continues to fuel the growth of the business by enabling more and more firms to benefit from these risk management tools," said Robert Pickel, Executive Director and Chief Executive Officer of ISDA. "This growth comes during a time in which ISDA, our members and our industry have made substantial progress in increasing operational efficiency and reducing operational risk. We remain focused on further improvements."

The survey collects and aggregates notional amounts outstanding as of the reporting date, adjusted for double counting of inter-dealer transactions. ISDA surveys its Primary Membership twice yearly on a confidential basis. In this survey, 101 firms provided data. All major dealers responded.

ISDA, which represents participants in the privately negotiated derivatives industry, is the largest global financial trade association by number of member firms. ISDA was chartered in 1985, and today has over 725 member institutions from 50 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 website: www.isda.org

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