Updated 1 March 2020. Our data. Table, PDF, BIS Statistics Explorer. Global tables. D5, Global OTC derivatives market. D5.1, Foreign exchange, interest rate, Swaps Data: Cleared volumes drop for all markets – except FX volumes compared to 4Q 2018 and CCP market share for: Interest Rate Swaps in USD, EUR, We also find a high volume of administrative activity in the IRD data the IRS data set traded more than 150 times per day, on average, and the most frequently The CFTC Swaps Report complements the data made available to the public these tables also display swap transaction dollar volumes by currency, tenor,
Swaps data: SOFR volume and margin insights Data shows recent leap in SOFR trades – and hints at growth in synthetic swaps. Amir Khwaja 11 Feb 2019 it is not straightforward to hedge this delta risk – for interest rate swaptions, the natural hedge would be a swap, but this has to be cleared and so cannot be booked into the non-cleared Interest Rate Derivatives: Benchmark Data. Week Ending March 6, 2020. SOFR traded notional totaled $44.1 billion, including $16.6 billion of basis swaps. Trade count totaled 214, including 44 basis swaps; SONIA traded notional totaled $1.4 trillion, including $16.7 billion of basis swaps. Trade count totaled 868, including 99 basis swaps SwapClear clears more than 50%* of all OTC interest rate swaps and more than 90%* of the overall cleared OTC interest rate swap market. We regularly clear in excess of $3 trillion* notional per day and have more than 2 million cleared trades outstanding.
SwapClear clears more than 50%* of all OTC interest rate swaps and more than 90%* of the overall cleared OTC interest rate swap market. We regularly clear in excess of $3 trillion* notional per day and have more than 2 million cleared trades outstanding. For USD, On-SEF Cleared swaps were the market leader at 52% of volume by DV01. However, Off-SEF Uncleared swaps were larger than their Cleared brethren, representing 26% by DV01. In EUR and GBP swaps, the vast majority of trading remains Off-SEF, but an alarming amount was uncleared – 43% and 37% respectively. Swap Execution Facility (SEF) Historical Data. End Of Day Data Date. Search. Credit; Equities; Foreign Exchange; Interest Rates; Commodities; Instrument Open Price Close Price High Price Low Price Settlement Price Total Volume Block Trade Volume Currency Total Volume (USD) Block Trade Volume (USD) No Results. Loading Start putting knowledge Category: Interest Rates > Interest Rate Swaps, 83 economic data series, FRED: Download, graph, and track economic data. Strength of CME Group's market leading interest rate products business, which is trading over $6 trillion in notional per day in 2017. Unparalleled capital efficiencies via margin offsets of IRS positions against Eurodollar and Treasury Futures with savings up to 90%. CME Group’s Exchange Daily Volume and Open Interest Report summarizes exchange-wide volume, including futures and options volume, for Globex, Clearport/PNT and Open Outcry. Volume figures are reported across divisions and asset classes to give you an instant grasp of market activity.
The SwapClear market share figures for all OTC interest rate swaps data and for all cleared OTC interest rate swaps are derived from the semi-annual BIS report
The CFTC Swaps Report complements the data made available to the public these tables also display swap transaction dollar volumes by currency, tenor, As a result, the majority of interest rate Fixed-for-floating Interest Rate Swaps . available data on derivatives trading and clearing volumes of transactions Together with CNY swaps, OTC Clear also offers clearing services for the popular IRS products traded in USD, EUR and HKD and non-deliverable interest rate provides one rare data source on volumes and turnover, while information on currency interest rate swaps published by the Bank of England's Semi-Annual FX EWMA is used to calculate the volatility weighing more the latest data with a INTEREST RATE SWAP: Transaction in which the Parties agree to exchange with