ch 1 market statistics

7/25/2019 Ch 1 Market Statistics

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IN BILLI

INTEREST RATE SWAPS CURREN

Activity Outstandings Activity

1H87 181.50 43.50

2H87 206.30 682.80 42.30

1H88 250.50 60.30

2H88 317.60 1010.20 62.30

1H89 389.20 77.60

2H89 444.40 1502.60 92.00

1H90 561.50 94.602H90 702.80 2311.50 118.10

1H91 762.10 161.30

2H91 859.70 3065.10 167.10

1H92 1318.30 156.10

2H92 1504.30 3850.80 145.80

1H93 1938.40 156.80

2H93 2166.20 6177.30 138.40

1H94 3182.90 181.00

2H94 3058.00 8815.60 198.30

1H95 3428.90 10817.00 153.80

2H95 5269.90 12810.70 301.30

1H96 6520.30 15584.20 374.00

2H96 7157.90 19170.90 385.10

1H97 10792.20 22115.40 463.10

2H97 6274.90 22291.30 672.30



NS

Y SWAPS INTEREST RATE OPTIONS

Outstandings Activity Outstandings

1H87

182.80 2H87

1H88

316.80 327.30 2H88

186.80 1H89

434.80 148.70 537.30 2H89

138.00 1H90577.50 154.30 561.30 2H90

198.80 1H91

807.20 183.90 577.20 2H91

293.60 1H92

860.40 298.80 634.50 2H92

509.70 1H93

899.60 607.30 1397.60 2H93

850.20 1H94

914.80 663.00 1572.80 2H94

1039.70 675.80 2066.20 1H95

1197.40 1339.60 3704.50 2H95

1294.70 1415.70 4190.10 1H96

1559.60 1921.50 4722.60 2H96

1584.80 2566.60 5033.10 1H97

1823.60 1411.80 4920.10 2H97

1H98

2H98

1H99

2H99



1H00



TOTAL OF ALL ACTIVITY

Activity Outstandings

$225.0

$248.6 $865.6

$310.8

$379.9 $1,654.3

$653.6

$685.1 $2,474.7

$794.1$975.2 $3,450.3

$1,122.2

$1,210.7 $4,449.5

$1,768.0

$1,948.9 $5,345.7

$2,604.9

$2,911.9 $8,474.5

$4,214.1

$3,919.3 $11,303.2

$4,258.5 $13,922.9

$6,910.8 $17,712.6

$8,310.0 $21,068.9

$9,464.5 $25,453.1

$13,821.9 $28,733.3

$8,359.0 $29,035.0

$36,974.0

$50,997.0

$52,710.5

$58,265.0



$60,366.0



TABLE 19

AO!"T# O

B/ )%# AT

-%n iins

******************************************************************

"tina aunts

1998 1999 1999

c un c

******************************************************************

TOTAL O"T)AT# 80317 81458 88201

'ign :c;ang cntacts 18011 14899 14344

Outig;t <ads and : s<a=s 12063 9541 9593

uncy s<a=s 2253 2350 2444

O=tins 3695 3009 2307

%ntst at cntacts 50015 54072 60091 ')As 5756 7137 6775

#<a=s 36262 38372 43936

O=tins 7997 8562 9380

E>uity*in?d cntacts 1488 1511 1809

'<ads and s<a=s 146 198 283

O=tins 1342 1313 1527

dity cntacts 415 441 548

&d 182 189 243

Ot; cditis 233 252 305

'<ads and s<a=s 137 127 163 O=tins 97 125 143

Ot; 10388 10536 11408

andu it@

&)O## )E%T EO#!)E

******************************************************************

TABLE 20 A

AO!"T# O

B/ %"#T)!

-%n iins

****************************************************************** "tina aunts

1998 1999 1999

c un c un c u

******************************************************************

TOTAL O"T)AT# 18011 14899 14344

<it; =ting das 7284 5464 5392



<it; t; inancia institutins 7440 6429 6102

<it; nn*inancia custs 3288 3007 2850

Outig;t <ads and ign

:c;ang s<a=s 12063 9541 9593

<it; =ting das 5203 3667 3870



uncy s<a=s 2253 2350 2444

<it; =ting das 565 628 651



O=tins 3695 3009 2307

<it; =ting das 1516 1169 871


<it; nn*inancia custs 847 639 529 ******************************************************************



T#TA"%"& O' O(E)*T+E*O!"TE) -OT E)%(AT%(E#

&O)/ A" %"#T)!E"T

# das

*****************************************************************

&ss a?t vaus

2000 1998 1999 1999

un c un c

***************************************************************

94037 3231 2628 2813

15494 786 582 662

10504 491 329 352

2605 200 192 250

2385 96 61 60

64125 1675 1357 13046771 15 12 12

47993 1509 1222 1150

9361 152 123 141

1671 236 244 359

348 44 52 71

1323 192 193 288

584 43 45 60

261 13 23 23

323 30 22 37

169 .. .. ..154 .. .. ..

12163 492 400 429

1329 1119 1023

*****************************************************************

!T#TA"%"& O' OT 'O)E%&" E+A"&E E)%(AT%(E#

E"T A" O!"TE)A)T/

# das

***************************************************************** &ss a?t vaus

2000 1998 1999 1999

c un

***************************************************************

15494 786 582 662

5827 336 200 214



6421 297 246 281

3246 153 136 167

10504 491 329 352

4210 254 135 149

4417 172 136 142

1877 65 58 61

2605 200 192 250

691 43 42 45

1123 89 87 119

792 68 62 87

2385 96 61 60

926 40 22 20

881 36 23 21

577 20 16 20*****************************************************************



2000

un

2581

578

283

239

55

123013

1072

145

293

62

231

80

19

61

....

400

937

2000

578

168



242

168

283

110

112

60

239

41

113

86

55

17

17

21



%#ACB%# data

"tina =inci=a utstanding &ss a?t vau

%)# #

87 0.683 0.183 0.6828 0.1828

88 1.010 0.317 1.0102 0.3168

89 1.503 0.435 1.5026 0.4348

90 2.312 0.578 2.3115 0.5775

91 3.065 0.807 3.0651 0.8072

92 3.851 0.860 3.8508 0.8604

93 6.177 0.900 6.1773 0.8996

94 8.816 0.915 8.8156 0.9148

95 12.811 1.197 12.8107 1.1974

96 19.171 1.560 19.1709 1.5596

97 22.291 1.824 22.2913 1.8236

98 36.262 2.253 36.262 2.253 98 1.51 0.2099 43.936 2.444 43.936 2.444 99 1.15 0.25

00 48.768 3.194 48.768 3.194 00 1.26 0.31

01 58.897 3.942 01 1.97 0.34

02 79.161 4.509 02 3.86 0.34

un*00 47.993 2.605 47.993 2.605 un*00 1.072 0.239



87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02

0.000

20.000

40.000

60.000

80.000

100.000

Size of the Swap Market (notional principal ot!tan"in# $tr%

%)# #



B%# data

"tina =inci=a utstanding

Annua

Tta g<t; ' %)

un*98 72.143 14.256 18.719 42.368

c*98 80.317 13.92 23D *5D 18.011 50.015

un*99 81.458 15.488 3D 23D 14.899 54.072

c*99 88.201 13.497 17D *26D 14.344 60.091

un*00 94.037 13.904 13D 6D 15.494 64.125

c*00 95.199 14.215 2D 4D 15.666 64.668

un*01 99.755 19.522 10D 75D 16.910 67.465

c*01 111.178 23.798 23D 44D 16.748 77.568

un*02 127.564 24.083 29D 2D 18.075 89.995

c*02 141.737 23.874 22D *2D 18.469 101.699c*03 197.167 36.740 78D 108D 24.475 141.991

un*04 220.058 52.802 23D 87D 26.997 164.626

22.1D 28.8D



&n'98 ec'98 &n'99 ec'99 &n'00 ec'00 &n'01 ec'01 &n'02 ec'0

0

20

40

60

80

100

120

140

)otal eri*ati*e Market (+S trillion!%

,ntere!t rate -

&n'

98

ec'

98

&n'

99

ec'

99

&n'

00

ec'

00

&n'

01

ec'

01

&n'

02

ec'

02

ec'

03

&n'

04

0

50

100

150

200

250

)otal /) eri*ati*e Market (+S trillion!%

/) chan#e'tra"e"



2



ata taken fro ,S report for ec 2000

' %) E

tta 15.666 64.668 1.891 82.225

1 12.888 24.107 0.83 37.825 46.00D

1*5 1.902 25.923 0.95 28.775 35.00D

F5 0.876 14.638 0.11 15.624 19.00D

tta ' %) %) '

A$ 0.387 0.184 0.71D 0.28D 1.24D

$ 0.623 0.84 1.82D 1.30D 1.99D

0.04 0.308 0.43D 0.48D 0.13D

E 5.981 21.311 33.97D 32.95D 19.09D

+$ 0.45 0.186 0.79D 0.29D 1.44D

/ 4.254 13.107 21.61D 20.27D 13.58D

"G$ 0.003 0.003 0.01D 0.00D 0.01D

" 0.103 0.295 0.50D 0.46D 0.33D&B 2.391 4.852 9.02D 7.50D 7.63D

# 0.456 1.136 1.98D 1.76D 1.46D

+' 0.848 1.356 2.74D 2.10D 2.71D

T+B 0.018 0.02D 0.00D 0.06D

!#$ 14.073 19.421 41.69D 30.03D 44.92D

Ot; 1.45 1.316 3.44D 2.04D 4.63D



ata taken fro ,S report for &ne 2001

' %) E

tta 16.91 67.466 84.376

1 13.012 25.605 38.617 45.77D

1*5 2.833 26.308 29.141 34.54D

F5 1.065 15.553 16.618 19.70D

tta ' %) %) '

A$ 0.00D 0.00D 0.00D

$ 0.675 0.785 1.73D 1.16D 2.00D

0.00D 0.00D 0.00D

E 6.425 22.405 34.17D 33.21D 19.00D

+$ 0.00D 0.00D 0.00D

/ 4.254 11.278 18.41D 16.72D 12.58D

"G$ 0.00D 0.00D 0.00D

" 0.00D 0.00D 0.00D&B 2.472 5.178 9.07D 7.67D 7.31D

# 0.501 0.997 1.78D 1.48D 1.48D

+' 0.829 1.167 2.37D 1.73D 2.45D

T+B 0.00D 0.00D 0.00D

!#$ 15.141 23.083 45.30D 34.21D 44.77D

Ot; 3.523 2.572 7.22D 3.81D 10.42D

33.82 67.465 100.00D 100.00D



ata taken fro ,S report for ec 2001

' %) Tta

tta 16.748 77.513 94.261

1 13.427 80D 27.879 36D 41.306 43.82D

1*5 2.34 14D 30.542 39D 32.882 34.88D

F5 0.981 6D 19.092 25D 20.073 21.30D

tta ' %) %) '

A$ 0.00D 0.00D 0.00D

$ 0.593 0.781 1.46D 1.01D 1.77D

0.00D 0.00D 0.00D

E 6.368 26.185 34.53D 33.78D 19.01D

+$ 0.00D 0.00D 0.00D

/ 4.178 11.799 16.95D 15.22D 12.47D

"G$ 0.00D 0.00D 0.00D

" 0.00D 0.00D 0.00D&B 2.315 6.215 9.05D 8.02D 6.91D

# 0.551 1.057 1.71D 1.36D 1.64D

+' 0.8 1.362 2.29D 1.76D 2.39D

T+B 0.00D 0.00D 0.00D

!#$ 15.41 27.422 45.44D 35.38D 46.01D

Ot; 3.281 2.692 6.34D 3.47D 9.80D

33.496 77.513 100.00D 100.00D




' %) Tta

tta 18.075 89.995 108.07

1 14.403 80D 33.688 37D 48.091 44.50D

1*5 2.541 14D 34.458 38D 36.999 34.24D

F5 1.131 6D 21.849 24D 22.98 21.26D

100D 100D

tta ' %) %) '

A$ 0.00D 0.00D 0.00D

$ 0.746 0.859 1.49D 0.95D 2.06D

0.00D 0.00D 0.00D

E 7.298 30.671 35.13D 34.08D 20.19D

+$ 0.00D 0.00D 0.00D

/ 4.461 13.473 16.59D 14.97D 12.34D

"G$ 0.00D 0.00D 0.00D

" 0.00D 0.00D 0.00D&B 2.522 6.978 8.79D 7.75D 6.98D

# 0.766 1.070 1.70D 1.19D 2.12D

+' 0.861 1.591 2.27D 1.77D 2.38D

T+B 0.00D 0.00D 0.00D

!#$ 15.979 32.178 44.56D 35.76D 44.20D

Ot; 3.517 3.175 6.19D 3.53D 9.73D

36.150 89.995 100.00D 100.00D



ata taken fro ,S report for eceer 2002

' %) Tta

tta 18.469 101.699 120.168

1 14.536 79D 36.95 36D 51.486 42.85D

1*5 2.725 15D 40.161 39D 42.886 35.69D

F5 1.208 7D 24.588 24D 25.796 21.47D

100D 100D

tta ' %) %) '

A$ 0.00D 0.00D 0.00D

$ 0.701 0.828 1.27D 0.81D 1.90D

0.00D 0.00D 0.00D

E 7.819 38.429 38.49D 37.79D 21.17D

+$ 0.00D 0.00D 0.00D

/ 4.800 14.691 16.22D 14.45D 12.99D

"G$ 0.00D 0.00D 0.00D

" 0.00D 0.00D 0.00D&B 2.462 7.442 8.24D 7.32D 6.67D

# 0.708 1.094 1.50D 1.08D 1.92D

+' 0.936 1.726 2.22D 1.70D 2.53D

T+B 0.00D 0.00D 0.00D

!#$ 16.509 34.400 42.36D 33.83D 44.69D

Ot; 3.003 3.089 5.07D 3.04D 8.13D

36.938 101.699 100.00D 100.00D

18.469




' %) Tta

tta 22.088 121.799 143.9

1 17.56 80D 44.93 37D 62.49 43.43D

1*5 3.13 14D 46.65 38D 49.78 34.59D

F5 1.4 6D 30.23 25D 31.63 21.98D

100D 100D

tta ' %) %) '

A$ 0.00D 0.00D 0.00D

$ 1.000 1.100 1.46D 0.90D 2.26D

0.00D 0.00D 0.00D

E 9.900 50.000 41.63D 41.05D 22.41D

+$ 0.00D 0.00D 0.00D

/ 4.900 15.300 14.04D 12.56D 11.09D

"G$ 0.00D 0.00D 0.00D

" 0.00D 0.00D 0.00D&B 3.100 8.300 7.92D 6.81D 7.02D

# 0.700 1.100 1.25D 0.90D 1.58D

+' 1.200 2.000 2.22D 1.64D 2.72D

T+B 0.00D 0.00D 0.00D

!#$ 19.400 40.100 41.35D 32.92D 43.92D

Ot; 3.900 3.900 5.42D 3.20D 8.83D

44.100 121.800 100.00D 99.83D

22.05



459




' %) Tta

tta 24.484 141.991 166.45

1 18.9 77D 46.5 33D 65.35 39.26D

1*5 3.9 16D 58.9 41D 62.8 37.73D

F5 1.7 7D 36.6 26D 38.3 23.01D

100D 100D

tta ' %) %) '

A$ 0.00D 0.00D 0.00D

$ 1.00 1.30 1.38D 0.92D 2.04D

0.00D 0.00D 0.00D

E 10.10 55.80 39.59D 39.30D 20.63D

+$ 0.00D 0.00D 0.00D

/ 5.50 19.50 15.02D 13.73D 11.23D

"G$ 0.00D 0.00D 0.00D

" 0.00D 0.00D 0.00D&B 4.30 9.90 8.53D 6.97D 8.78D

# 0.80 1.50 1.38D 1.06D 1.63D

+' 1.30 2.40 2.22D 1.69D 2.65D

T+B 0.00D 0.00D 0.00D

!#$ 21.40 46.20 40.61D 32.54D 43.70D

Ot; 4.40 5.30 5.83D 3.73D 8.99D

48.800 141.900 99.94D 99.66D

24.4



459




' %) Tta

tta 26.997 164.626 191.7

1 21.3 79D 57.2 35D 78.5 40.95D

1*5 3.9 14D 66.1 40D 70 36.52D

F5 1.8 7D 41.4 25D 43.2 22.54D

100D 100D

tta ' %) %) '

A$ 0.00D 0.00D 0.00D

$ 0.97 1.30 1.18D 0.79D 1.80D

0.00D 0.00D 0.00D

E 10.30 63.00 38.25D 38.27D 19.08D

+$ 0.00D 0.00D 0.00D

/ 6.50 21.10 14.40D 12.82D 12.04D

"G$ 0.00D 0.00D 0.00D

" 0.00D 0.00D 0.00D&B 4.60 11.87 8.60D 7.21D 8.52D

# 0.77 1.65 1.26D 1.00D 1.43D

+' 1.34 2.65 2.08D 1.61D 2.48D

T+B 0.00D 0.00D 0.00D

!#$ 24.60 57.83 43.02D 35.13D 45.56D

Ot; 4.90 5.23 5.29D 3.18D 9.08D

53.980 164.630 100.00D 99.97D

26.99



459



!#

Eu

/n

&B

+'

A"

#)



36.6D 72.2

38.8D 76.4

12.8D 25.2

8.4D 16.6

1.4D 2.8

0.8D 1.6

1.1D 2.2

197



T;is <?s;t suaiss B%# statistics v t; =ast yas

%)# #

c*00 48.8 3.2 1.3 0.3

un*01 51.4 3.8 1.4 0.3

c*01 58.9 3.9 2 0.3

un*02 68.3 4.2 2.2 0.3

c*02 79.2 4.5 3.9 0.3

un*03 94.6 6.4 5 0.4

c*03 111.2 6.4 3.9 0.6

un*04 127.6 7 3.6 0.4

c*04 150.6 8.2 4.9 0.7

un*05 163.7 8.2 6.1 0.5

Dec-00 May-01 Oct-01 Mar-02 Aug-02 a!-0" u!-0" N#$-0" A%r-0& Se%-0& Fe'-0(

0

20

&0

)0

*0

100

120

1&0

1)0

1*0

IRS

CCS

&

(

)

,

IRS CCS



Dec-00 u+-01 Fe'-02 Se%-02 A%r-0" N#$-0" u!-0& a!-0(

0

1

2

"



197



220 252 270

22D 27D 14D



21D

10.7

0.03963



2 3 4 5 6

c*02 c*03 c*04 c*05 c*06

# 4,502 6,371 8,223 8,504 10,792

%)# 79,120 111,209 150,631 169,106 229,693

c*04 un*05 c*05 un*06 c*06

# 6,396 10,211 13,908 20,352 28,650

"tina =inci=a &ss

ec'06 ec'07 &n'08 ec'08 &n'08

- 40,271 56,238 62,983 49,753 2,262

-orwar"! 19,882 29,144 31,966 24,562 802

Swap! 10,792 14,347 16,307 14,725 1,071

/ption! 9,597 12,748 14,701 10,466 388

, 291,582 393,138 458,304 418,678 9,263

-! 18,668 26,599 39,370 39,262 88

Swap! 229,693 309,588 356,772 328,114 8,056

/ption! 43,221 56,951 62,162 51,301 1,120

it 7,488 8,469 10,177 6,494 1,146

oo"it 7,115 8,455 13,229 4,427 2,209

S 28,650 57,894 57,325 41,868 3,172

S': S 17,879 32,246 33,334 25,730 1,889

M': S 10,771 25,648 23,991 16,138 1,283

+nallocate" 39,740 71,146 81,708 70,742 2,301

chan#e'tra"e" 70,444 79,078 82,008 57,876



32375 65.1D

9664 19.4D

7715 15.5D

49754



137278 33D

138263 33D

143137 34D

418678

un*08 c*08

149813 146249 35D 36.6D

171877 154773 40D 38.7D

58056 56419 13D 14.1D

38619 29593 9D 7.4D

5253 4967 1.2D 1.2D

3286 2701 0.8D 0.7D

6454 5104 1.5D 1.3D433358 399806



7 8

c*07 c*08

14,347 14,725

309,588 328,114

un*07 c*07 un*08 c*08

42,580 57,894 57,325 41,868

vaus

ec'08

3,917

1,732

1,588

597

18,420

153

16,573

1,694

1,113

955

5,652

3,695

1,957

3,831

Jan-02 Jan-040

50,000

100,000

150,000

200,000

250,000

300,000

350,000

Size of Swap market

!!

S"#S



Jan-06 Jan-08

($bn of notional principal

ch 1 market statistics

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