This section contains reports on aggregate over-the-counter (OTC) derivatives transaction activity submitted by reporting institutions to DTCC Data Repository (Singapore) Pte Ltd (DDRS) as part of reporting obligations under the Securities and Futures Act (SFA).
Data from the DDRS has been compiled and processed by MAS to minimise erroneous data, and include corrected and revised data submitted by reporting institutions where possible.
For more information on the OTC derivatives trade reporting regime, please refer to Part VIA of the SFA and the Securities and Futures (Reporting of Derivatives Contracts) Regulations 2013. A general guide to the regime is available in the FAQs on the Securities and Futures (Reporting of Derivatives Contracts) Regulation 2013.
Explanatory Notes
(I) General
(a) For transactions that are double-counted in the report (represented by the same transaction identifier), only one transaction out of the pair is included in the computation of transaction count and aggregate notional value.
(b) The notional value of a transaction denominated in a non-USD currency is converted to USD using the prevailing exchange rate as at the transaction execution date.
(II) Types of Reports
(a) Table 1 provides aggregated figures on outstanding positions and new transactions, broken down by asset class and product type.
(b) Table 2 provides aggregated figures on outstanding positions and new transactions for each asset class, broken down by currency of denomination.
(c) Outstanding positions are reported under the following units of measurement:
- number of open positions (as at end of the month)
- aggregate gross notional value of open positions (in USD million, as at the end of the month)
(d) New transactions are reported under the following units of measurements:
- number of new transactions (during the month)
- aggregate notional value of new transactions (in USD million, during the month)
Key Definitions
(I) General
Aggregate Gross Notional Value (Open Positions): Represents the sum of the notional value of all open positions.
Aggregate Notional Value (New Transactions): Represents the sum of the notional value of new transactions.
Notional Value: The face value of the derivatives contract that is used to calculate payments on the contract.
Number of Open Positions: Total count of OTC derivatives transactions reported to DDRS that have been entered into between counterparties but have yet to mature or expire, be closed, liquidated or terminated.
Number of New Transactions: Total count of OTC derivatives transactions entered into in the indicated month.
(II) Asset Class
Below definitions are meant to assist readers for a quick understanding of the reports. Please refer to Securities and Futures (Reporting of Derivatives Contracts) Regulations 2013 for the full definitions.
Credit: A credit derivatives contract refers to a derivatives contract whose value is derived from, or varies to either the value or fluctuation in value of a credit instrument or a credit-linked instrument.
Foreign Exchange (FX): A FX derivatives contract refers to a derivatives contract whose value is derived from, or varies to either the value or fluctuation in value of one or more currencies or currency indices.
Interest Rate: An interest rate derivatives contract refers to a derivatives contract whose value is derived from, or varies to either the value or fluctuation in value of an interest-bearing financial instrument, an interest rate contract or interest rates in general.