EconStor >
Federal Reserve Bank of New York >
Staff Reports, Federal Reserve Bank of New York >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/60931
  
Title:An analysis of OTC interest rate derivatives transactions: Implications for public reporting PDF Logo
Authors:Fleming, Michael
Jackson, John
Li, Ada
Sarkar, Asani
Zobel, Patricia
Issue Date:2012
Series/Report no.:Staff Report, Federal Reserve Bank of New York 557
Abstract:This paper examines the over-the-counter (OTC) interest rate derivatives (IRD) market in order to inform the design of post-trade price reporting. Our analysis uses a novel transaction-level data set to examine trading activity, the composition of market participants, levels of product standardization, and market-making behavior. We find that trading activity in the IRD market is dispersed across a broad array of product types, currency denominations, and maturities, leading to more than 10,500 observed unique product combinations. While a select group of standard instruments trade with relative frequency and may provide timely and pertinent price information for market participants, many other IRD instruments trade infrequently and with diverse contract terms, limiting the impact on price formation from the reporting of those transactions. Nonetheless, we find evidence of dealers hedging rapidly after large interest rate swap trades, suggesting that, for this product, a price-reporting regime could be designed in a manner that does not disrupt market-making activity.
Subjects:interest rate derivatives
price reporting
public transparency
standardization
JEL:G12
G13
G18
Document Type:Working Paper
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

Files in This Item:
File Description SizeFormat
715049887.pdf279.74 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/60931

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.