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).

Other derivatives data sources

The Bank for International Settlements began regular reports of OTC derivatives activity in June 1998. The BIS publishes two reports, namely, the semiannual OTC Derivatives Market Statistics and the Triennial Central Bank Survey of Foreign Exchange and Derivatives Markets Activity. The semiannual OTC Derivatives Market Statistics reports notional amounts outstanding and gross market values outstanding of the OTC derivatives exposure of major banks and dealers in the G10 countries. Of particular interest to ISDA, the report includes netted OTC derivatives credit exposure. For its part, the Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity reports derivatives turnover along with notional amounts and market values.

For those interested only in derivatives at banking organizations in the United States, the Office of the Comptroller of the Currency compiles a quarterly OCC Bank Derivatives Report based on information submitted in regulatory reports. The Report can be accessed from
http://www.occ.treas.gov/deriv/deriv.htm.

The British Bankers' Association conducts a detailed survey every two years of credit derivatives activity. Their survey of major dealers, and covers the size, applications, products, and constraints of credit derivatives activity. Click here for an Executive Summary of the 2005/2006 Report.