DTCC started publishing public information on over-the-counter (OTC) interest rates trades on May 1.
The interest rate data, which joins public data on OTC credit derivatives, is available on DTCC’s website (www.dtcc.com). Interest rates make up the largest single segment of OTC derivatives, with more than $570 trillion gross notional value composed of 4.5 million in interest rate contracts outstanding.
“Publishing public data is a key element of providing greater transparency and understanding of the OTC derivatives market; and having data available on interest rate derivatives, the largest single class of derivatives by gross notional amount, is a critical step in improving the visibility of this market segment,” said Stewart Macbeth, DTCC President and CEO, Deriv/SERV LLC.
More on the data
The public data on interest rates trades will be posted weekly on DTCC’s website and will include aggregated, anonymous position data for all interest rate products, with breakdowns by currency, maturity, sub-product, and whether the product is cleared or uncleared.
No historical data will be published initially, since that data will continue to reside with TriOptima, which had been serving as the industry’s trade repository for interest rates. The publishing of the data to regulators and the public effectively marks the end of the transition for the industry from TriOptima’s earlier repository for interest rates to DTCC’s new Global Trade Repository for Interest Rates, which went live in December 2011.
Between December and May, the major global dealers submitted data in parallel to both TriOptima and DTCC as the industry transitioned to the new DTCC repository, and dealers will now begin submitting new data on interest rate derivatives trades only to DTCC. @
The DTCC GCF Repo Index is the first – and only – index that tracks the average daily interest rate paid on overnight transactions in the $400 billion daily market for general collateral finance repurchase (GCF Repos®) agreements in U.S. Treasury, federal agency and mortgage-backed securities issued by Fannie Mae and Freddie Mac.Read More