I'd known that derivatives are a huge market; what I hadn't realised was that the overwhelming majority of the contracts are related to interest rates.
The graph below is a visualisation of data from this Wikipedia article on the derivatives market:
Theoretically all the bets net off against each other, but we've seen what happens when a counterparty defaults (Lehman etc). Now consider that the annual GDP of the USA is only 3% of the notional value of interest rate contracts alone.
Frightening.
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