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(Kitco News) - Total notional amounts outstanding of over-the-counter derivatives reached $639 trillion as of the end of June, down 1% from end-2011, the Bank for International Settlements said Tuesday.

The decline in value came on the back of a strong U.S. dollar versus key currencies between the end of 2011 and end of June 2012. That reduced the U.S. dollar value of contracts, particularly those denominated in euros, the BIS said.   

The largest OTC market is in interest rate contracts, which fell 2% to $494 trillion. Credit derivatives notional amounts declined 6% to $27 trillion. In contrast, foreign exchange contracts outstanding rose 5% to $67 trillion. Equity-linked derivatives rose 6% to $6.3 trillion and commodity derivatives fell 3% to $3 trillion. Within the commodity category, contracts on gold remained unchanged at $523 billion.

Total gross market values, which measure the cost of replacing existing contracts, dropped by 7% to $25 trillion. Gross credit exposures, which measure reporting dealers’ exposure after taking account of legally enforceable netting agreements, fell to $3.7 trillion.

By Debbie Carlson of Kitco News dcarlson@kitco.com

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