The smirking gorilla

Interest rates are the 800-pound gorilla of the derivatives industry. Thus, while the US Office of the Comptroller of the Currency reported that US commercial banks had a total credit derivatives notional exposure of $635 billion in the fourth quarter of 2002, that is no more than the outstanding interest rate derivatives notional exposure of Wells Fargo Bank – hardly the largest player in the market.

The International Swaps and Derivatives Association recently estimated that the global credit

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