A note on ISDA data sources

From 1987 through 1997, ISDA conducted detailed surveys measuring activity (new transactions since the previous survey date) and outstandings (notional amounts of transactions of reporting institutions as of the reporting date) of interest rate swaps, currency swaps and interest rate options. Summary results of these Surveys are available in PDF file form in the Historical Data section of this site. When the Bank for International Settlements began to collect detailed global derivatives statistics semiannually in June 1998, ISDA discontinued the detailed Survey and began publishing a Flash Survey every six months to give an indication of the overall trend in outstanding interest rate swap, currency swap and interest rate option transactions. ISDA's Flash Survey measures total notional amount outstanding of interest rate swaps and options and currency swaps; respondents report only one aggregate amount and do not break out the components. In 2001, ISDA began surveying outstandings of credit default swaps, which consist of single-name credit default swaps, default swaps on baskets of up to ten credits, and portfolio transactions of ten or more credits. Again, respondents report only aggregate CDS notionals outstanding and do not provide further breakdown. Finally, equity derivatives, defined as the sum of equity swap, forward, and option notionals, were added to the 2002 Mid-Year Survey. ISDA surveys its Primary Membership twice yearly on a confidential basis. All notional amounts outstanding have been adjusted for double-counting of inter-dealer transactions; the adjustment for double counting is based on the proportion of reporting dealers relative to all counterparties in the sample. ISDA’s adjustment is similar in form to that used by the Bank for International Settlements in its Semiannual OTC Derivatives Statistics (see below).