OTC Derivatives Data Sources

Data on the OTC derivatives market, including its size, clearing volumes and portfolio compression.

OTC derivatives (all)

Global notional amounts outstanding and gross market values of OTC derivatives (1998-present)

Bank for International Settlements (BIS)

BIS Semiannual Survey

OTC derivatives turnover

Bank for International Settlements (BIS)

Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity

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 (OTC Commodity, CDS, equity and IRS trade volumes and operational statistics)

Markit

MarkitMetrics

Close-out netting benefit

Global (BIS) and US (OCC)

BIS Semiannual Survey

Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity

Collateral statistics

ISDA

ISDA Margin Survey

     

 

Interest rate derivatives

Notional amounts outstanding by product

The Depository Trust & Clearing Corporation (DTCC)

DTCC Global Trade Repository (GTR)

Global notional amounts outstanding and gross market values of OTC interest rate derivatives (1998-present)

Bank for International Settlements (BIS)

BIS Semiannual Survey

Interest rate derivatives turnover

Bank for International Settlements (BIS)

Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity

Daily IRD prices and trading volumes / Weekly notional outstanding, and outstanding trade counts, for the range of IRD products

ISDA

ISDA SwapsInfo

Interest rate swap clearing

London Clearing House

LCH.Clearnet SwapClear Statistics

 

CME Group

Interest Rate Swaps Market Data Reports

Interest rate swap compression

TriOptima

triReduce Statistics

 

 

Credit derivatives

Gross and net notional amounts of single-name, index, and tranche CDS

Depository Trust Clearing Corporation (DTCC)

DTCC Trade Information Warehouse

Global notional amounts outstanding and gross market values of OTC credit derivatives (1998-present)

Bank for International Settlements (BIS)

BIS Semiannual Survey

Daily CDS prices and trading volumes / Market risk activity / Gross and net notional outstanding, and outstanding trade count, for single names CDS and CDS indices

ISDA

ISDA SwapsInfo

Credit events (2005-present)

Creditex

Credit Event Fixings

 

ISDA

Determinations Committee

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

 

InterContinental Exchange (ICE)

Creditex Post-Trade Processing

 

 Markit

Markit Portfolio Compression

 

 

Commodity derivatives

Global notional amounts outstanding and gross market values of OTC commodity derivatives (1998-present)

Bank for International Settlements (BIS)

BIS Semiannual Survey

OTC clearing (number of contracts)

CME Group

CME ClearPort

 

 

Exchange-traded (listed) derivatives

Turnover and outstanding amounts

Bank for International Settlements (BIS)

Exchange traded derivatives statistics

Global futures and options volume 

Futures Industry Association (FIA)

Annual futures and options volume survey report

Equity options volumes; cash bond and equity statistics

World Federation of Exchanges (WFE)

WFE Database

 

 

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