A new trade repository for OTC interest rate derivatives

BIS Quarterly Review  | 
14 June 2010

(Extract from page 26 of BIS Quarterly Review, June 2010)

The OTC Derivatives Interest Rate Trade Reporting Repository (IR TRR) launched by TriOptima in early 2010 is an important step towards improving transparency in the global OTC derivatives markets. The IR TRR collects data on all transactions in OTC interest rate derivatives from a group of 14 major dealers. It complements the trade repository for credit default swaps (CDS) run by the Depository Trust & Clearing Corporation (see BIS Quarterly Review, December 2009, pp 24-25).

In April 2010, the IR TRR published its first monthly report summarising outstanding notional volumes at end-March 2010. The report provides a detailed breakdown of outstanding volumes by currency, maturity and type of contract. In contrast to the BIS data, the IR TRR does not publish information on market values or counterparty exposures.

The total amount outstanding of interest rate derivatives of the 14 participants in the new trade repository (13 of which are included in the sample of 57 dealers reporting to the BIS OTC derivatives statistics) at the end of March 2010 is very close to the market totals reported by the BIS statistics (Table A).1 This suggests that market concentration is high and that the coverage of the IR TRR data is near comprehensive.

A detailed comparison of the IR TRR and BIS data is complicated by the different counterparty classifications used in the two datasets. The IR TRR provides separate information on the use of central clearing counterparties (CCPs). By contrast, contracts with CCPs are currently reported as part of deals with other financial institutions in the BIS data.

The new IR TRR data show that at end-March 2010 CCPs (essentially SwapClear) covered around 45% of the total market in terms of amounts outstanding. This included business with all 30 SwapClear members and not just with the 14 dealers participating in the IR TRR. Currently, 99% of instruments covered by the CCP are standard interest rate swaps, while more exotic swaps and interest rate options continue to be traded without the use of a CCP.

1 The figures adjust inter-dealer positions to account for double-reporting and exclude cross-currency swaps.