ISDA SwapsInfo aims to enhance transparency in the over-the-counter (OTC) derivatives markets by pulling together in one place a wealth of publicly available data on interest rate derivatives (IRD) and credit default swaps (CDS). The data is available in a consistent format and the resulting consolidated time series are easy to download and analyze. The website allows for the transformation of the following data into interactive charts:
For IRD:
• Daily volume-weighted average IRD prices (for select products) and trading volumes, measured by notionals and trade count, as of January 2013.
• Weekly notional outstanding and trade count for a range of IRD products since 2012.
For CDS:
• Daily volume-weighted average CDS prices (for select products) and trading volumes, measured by notionals and trade count, as of January 2013.
• Weekly market risk activity, measured by notional outstanding and trade count, for CDS single names and indices since 2010.
• Weekly gross and net notional outstanding and trade count for CDS single names and indices since 2008.
In addition, ISDA SwapsInfo includes a Monthly Market Commentary in which the Association analyzes the data on the website to highlight key trends in the OTC derivatives markets.
ISDA SwapsInfo uses publicly reported price and transaction data on IRD and CDS from the
Depository Trust & Clearing Corporation’s (DTCC) swap data repository (SDR) service operated by DTCC Data Repository (US) LLC. Market risk activity and notional outstanding on CDS is displayed from the Trade Information Warehouse service operated by DTCC Derivatives Repository (UK) Limited and IRD notional outstanding from the OTC Derivatives Regulators’ Forum (ODRF) reporting service operated by DTCC Derivatives Repository (UK) Limited.
ISDA plans to continually review and enhance the website in the future. This may include providing other price, notional and trade count information, as well as data on other asset classes and from other repositories or trade reporting venues for the OTC derivatives markets.
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