DERIVATIVES

Cleared US dollar IRSs increase ahead of buy-side deadline

The number of US dollar-denominated interest rate swaps being cleared has gone up by six percentage points since US rules kicked in two months ago, according to a new tool using data from the Depository Trust and Clearing Corporation.

By Paloma Migone paloma.migone@information-partners.com May 16, 2013 12:21 PM GMT

The number of US dollar-denominated interest rate swaps (IRSs) being cleared has gone up by six percentage points since US rules kicked in two months ago, according to a new tool using data from the Depository Trust and Clearing Corporation (DTCC).

The programme shows about 62% of US$37.3 billion worth of standardised US$ interest rate swaps trades were cleared on March 11, when new clearing rules took effect for swap dealers in the United States. There has been a steady increase since, with 68% of US$45.7 billion worth of trades being cleared yesterday.

"The data adds value to anyone in the marketplace," Amir Khwaja, CEO of Clarus, said. "Market participants can see what's being traded. This is unprecedented in the history of these markets."

Under the US' Dodd-Frank Act, standardised swaps must be centrally cleared and reported to an SDR. The reported data is available for monitoring by regulators as part of efforts to reduce systemic risk and increase oversight.

Clearing for the largest users of index credit default swaps and interest rate swaps came into force in March, while a June deadline will capture most buy-side firms. Rules under the European markets infrastructure regulation, which also require the clearing and reporting of swaps, are expected to take effect mid-year.

Khwaja said Clarus took Excel-like files published by DTCC and created interpretable-graphics, giving value to the data.

"For the first time, it is possible for all market participants (sell-side or buy-side) and for all market observers to see the actual trading activity in the OTC derivatives markets," he said.

SDR View gives daily summaries of trades reported to DTCC, which includes volumes, currency and prices. Users can also look back in history to learn about trades.

DTCC launched its interest rate derivatives trade repository last December, with 15 of the largest global dealers now submitting data.

Alongside DTCC, there are two other SDRs in the US -  IntercontinentalExchange and CME Group. Clarus has plan to upgrade its service to include data from both as well as data from trade repositories in the future.