Swap Market's Value Up 41% in First Half

NEW YORK - The value of interest rate and currency swaps posted strong gains in the first half of 1991, with several non-U.S. dollar sectors showing considerable new activity.

The International Swap Dealers Association said in its latest semiannual survey of swap market activity that in the first half of 1991 the total notional value of swap contracts written was $923.4 billion, up 41% over the level in the first half of 1990.

But such sectors as Italian lira interest rate swaps posted rises of 452% in the same period.

Swedish krona interest rate activity exceeded $10 billion and is now ranked the 11th most active currency in interest rate swaps, the swap dealers association said.

Dollar Activity Greatest

"U.S. dollar swaps still represent the largest portion of the market," said Katherine MacWilliams, chairman of the association's market survey committee.

"The survey confirmed that the U.S. dollar, yen, sterling, and Deutschemark remained the top four currencies in interest rate swaps, with the Swiss franc and French franc showing considerable growth," Ms. MacWilliams said.

The Swiss franc has also posted notable gains in the currency swap sector, Ms. MacWilliams added.

Overall the total number of interest rate and currency swap contracts written rose 23% in the first six months of 1991 over the same period of 1990.

Of the total notional value of $923.4 billion, interest rate swaps accounted for $762.1 billion and currency swaps $161.3 billion, representing increases of 36% and 70% respectively over first half of 1990.

Related swap products, which includes caps, collars, floors, and swap options, reached a total of $198.8 billion, up 44% on the first half of 1990.

The market for caps, floors, and collars has risen 50% during the survey period.

Subscribe Now

Access to authoritative analysis and perspective and our data-driven report series.

14-Day Free Trial

No credit card required. Complete access to articles, breaking news and industry data.