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The OTC interest rate derivatives market in 2013

Author

Listed:
  • Jacob Gyntelberg
  • Christian Upper

Abstract

This feature analyses the market for OTC interest rate derivatives using data from the Triennial Central Bank Survey. Low and stable interest rates after the financial crisis went hand in hand with low but still positive turnover growth in most currencies. The increase was entirely driven by a larger volume of contracts with financial institutions other than dealers. The share of inter-dealer trades has shrunk to 35%, the lowest since the survey's inception. Despite rapid growth in emerging market currencies, trading remains concentrated in major currencies and financial centres. Changes in regulation have led to more contracts being centrally cleared.

Suggested Citation

  • Jacob Gyntelberg & Christian Upper, 2013. "The OTC interest rate derivatives market in 2013," BIS Quarterly Review, Bank for International Settlements, December.
    • Handle: RePEc:bis:bisqtr:1312h
    as

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    References listed on IDEAS

    as
    1. Torsten Ehlers & Frank Packer, 2013. "FX and derivatives markets in emerging economies and the internationalisation of their currencies," BIS Quarterly Review, Bank for International Settlements, December.
    2. Dagfinn Rime & Andreas Schrimpf, 2013. "The anatomy of the global FX market through the lens of the 2013 Triennial Survey," BIS Quarterly Review, Bank for International Settlements, December.
    3. Chernenko, Sergey & Faulkender, Michael, 2011. "The Two Sides of Derivatives Usage: Hedging and Speculating with Interest Rate Swaps," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1727-1754, December.
    4. Elisabeth Ledrut & Christian Upper, 2007. "Changing post-trading arrangements for OTC derivatives," BIS Quarterly Review, Bank for International Settlements, December.
    5. Michael Faulkender, 2005. "Hedging or Market Timing? Selecting the Interest Rate Exposure of Corporate Debt," Journal of Finance, American Finance Association, vol. 60(2), pages 931-962, April.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Koziol, Philipp, 2014. "Inflation and interest rate derivatives for FX risk management: Implications for exporting firms under real wealth," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 459-472.
    2. Binbin Deng, 2017. "Counterparty risk, central counterparty clearing and aggregate risk," Annals of Finance, Springer, vol. 13(4), pages 355-400, November.
    3. Lawrence Kreicher & Robert N McCauley & Philip Wooldridge, 2014. "Benchmark tipping in the global bond market," BIS Working Papers 466, Bank for International Settlements.
    4. Torsten Ehlers & Bryan Hardy, 2019. "The evolution of OTC interest rate derivatives markets," BIS Quarterly Review, Bank for International Settlements, December.

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    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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