
Greenwich Associates finds increase in interest rate derivatives use among European investors
Excluding inter-dealer activity, European investment institutions valued at $10 billion or more traded $769 billion of interest rate derivatives from August 2001 to August 2002, or five times the $152 billion traded by those institutions the year before. These same investors held $993 billion of interest rate derivatives in assets, compared with $254 billion the year before.
Gains in interest rate derivatives usage were less dramatic for smaller European institutional investors.
Institutions with less than $10 billion traded less interest rate derivatives, $369 billion compared with $469 billion the year before, but held more assets - $535 billion this year, compared with $373 billion last year.
Institutions with less than $1 billion traded $407 billion of interest rate derivatives this year, compared with $155 billion, last year. Small investors held $334 million of interest rate derivatives as assets this year, compared with $146 billion last year.
In sheer size, the largest jump in interest rate derivatives usage came from European banks - $1,847 billion this year compared with $726 billion last year.
Credit derivatives usage by European institutional investors also grew, particularly among hedge funds and asset managers.
Institutions $10 billion and larger traded $84 billion of credit derivatives the year ending August 2002, compared with $34 billion last year. These same investors held $76 billion in credit derivatives as assets, compared with $45 billion last year.
Institutions between $1 and $10 billion traded $59 billion of credit derivatives the year ending this summer, compared with $45 billion the year before. Mid-sized investors held $70 billion of credit derivatives as assets this year, compared with $68 billion last year.
Institutions under $1 billion traded $16 billion in credit derivatives this year, compared with $9 billion last year. The smallest investors held $22 billion of credit derivatives as assets this year, compared with $4 billion, the year before.
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