The OTC Interest Rate Derivatives Market in 2013

14 Pages Posted: 28 Apr 2014

See all articles by Jacob Gyntelberg

Jacob Gyntelberg

Nordea Group; University of Copenhagen - Department of Economics

Christian Upper

Bank for International Settlements (BIS)

Date Written: December 2013

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 interdealer 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.

JEL Classification: E43, G15, G23

Suggested Citation

Gyntelberg, Jacob and Upper, Christian, The OTC Interest Rate Derivatives Market in 2013 (December 2013). BIS Quarterly Review, December 2013. Available at SSRN: https://ssrn.com/abstract=2404449

Jacob Gyntelberg (Contact Author)

Nordea Group ( email )

Grønjordsvej 10
Copenhagen, DK - 2300
Denmark

University of Copenhagen - Department of Economics ( email )

Øster Farimagsgade 5, Bygn 26
Copenhagen, 1353
Denmark

Christian Upper

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

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