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OTC Derivative Data Sources


ISDA, OTC Derivative Data Sources, here.

OTC derivatives (all)
Global notional amounts (1987-present) ISDA ISDA Market Survey
Global notional amounts and market values (1998-present) Bank for International Settlements (BIS) BIS Semiannual Derivatives Statistics
United States (1995-present) notional amounts and credit exposures Office of the Comptroller of the Currency (OCC) OCC Quarterly Report on Bank Derivatives Activities
Japanese notional amounts and market values (1998-present) Bank of Japan Regular Derivatives Market Statistics in Japan
Australian OTC and listed derivatives Australian Financial Markets Association (AFMA) Australian Financial Markets Report
Largest dealers (IRS, CDS, and equity trade volumes and operational statistics) Markit MarkitMetrics
Close-out netting benefit – Global (BIS) and US (OCC) ISDA Netting Benefit Statistics
Transaction volumes and other statistics by product ISDA ISDA Operations Benchmarking Survey
Collateral statistics ISDA ISDA Margin Survey
Interest rate derivatives
Notional amounts outstanding by product (2010-present) TriOptima OTC Derivatives Interest Rate Trade Reporting Repository
Interest rate swap clearing London Clearing House LCH.Clearnet SwapClear Statistics
CME Group Interest Rate Swaps Market Data Reports
Singapore Exchange (SGX) AsiaClear
Interest rate swap terminations TriOptima triReduce Statistics
Foreign exchange
FX and OTC derivatives turnover and notional amounts BIS Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity
FX spot, forward, and swap turnover (North America) FX Committee/Federal Reserve Bank of New York FX Volume Survey
Foreign exchange rates Federal Reserve H.10 Statistical Release
Credit derivatives
Gross and net notional amounts of single-name, index, and tranche CDS Depository Trust Clearing Corporation (DTCC) DTCC Trade Information Warehouse
CDS prices, exposures, and activity ISDA CDS Marketplace
Credit events (2005-present) Creditex Credit Event Fixings
Credit events (2005-present) ISDA Determinations Committee
CDS prices (most liquid) Markit CDS Data Portal
CDS clearing InterContinental Exchange (ICE) ICE Trust: Credit Default Swap Clearing
CME Group CDS Market Data Reports
Eurex Eurex Credit Clear – Cleared Volume
London Clearing House LCH.Clearnet SA
CDS portfolio compression TriOptima triReduce Statistics
Commodity derivatives
London commodities trading (gas and power) TheCityUK IFSL Derivatives 2009
OTC clearing (number of contracts) CME Group CME ClearPort
Exchange-traded (listed) derivatives
Turnover and outstanding amounts BIS Bank for International Settlements
Volume statistics Futures Industry Association Futures Industry Association
Equity options volumes; cash bond and equity statistics World Federation of Exchanges World Federation of Exchanges
Money and capital markets
U.S. interest rates Federal Reserve H.15 Statistical Release
Euro area interest rates European Central Bank ECB Monetary and Financial Statistics
U.S. bond and money market volumes Securities Industry and Financial Markets Association (SIFMA) SIFMA Research and Statistics
European high yield bonds and securitization Association for Financial Markets in Europe (AFME) AFME Reports
Libor historical data British Bankers Association BBA Libor
Euribor historical data Euribor-EBF Euribor Rates
Global CDO and US ABS/MBS issuance SIFMA Structured finance
Emerging markets
OTC Markets and Derivatives Trading in Emerging Markets (pdf only) International Organization of Securities Commissions (IOSCO) Final Report of the Emerging Markets Committee of IOSCO
Hedge funds
Various statistics TheCityUK Hedge Funds 2010 (datasheet)

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