The evolution of OTC interest rate derivative market: The FRA case

摘要

Trading on OTC interest rate derivatives market in developed countries is one of the opportunities that a client of a bank is been offered by the financial market. We asked ourselves which is the dimension of these markets given the fact that in Romania we can find these interest rate derivatives between the products and services offered by the bank but the usual clients of these banks know just a few things about them or they did not heard about it. So, the objective of this paper is to investigate the evolution of the interest rate derivative OTC market. We will focus in the beginning on the evolution of the OTC interest rate market in terms of turnover by instruments, by counterparty and currency on the basis of the data that can be accessed on the site of Bank of International Settlements, the principal international institution who provides data about derivatives generally through its department of statistics. We will insist on the Forward Rate Agreement contract, one of the most transacted interest rate derivatives on the OTC market.