ISDA SwapsInfo provides a wealth of information on the OTC derivatives markets, ranging from daily volume-weighted average prices for certain swaps, to weekly market risk activity for CDS and outstanding notionals and trade count for the different types of interest rate contracts.
In this space, we will take a periodic look at the data to discern key trends. How, for example, has the average daily trade size of certain interest rate derivatives contracts changed? What are the current trends in single-name CDS versus index market risk transaction activity?
This month we focus on an analysis of DTCC‚¬„¢s SDR data on interest rate derivatives activity.