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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    940,613

    108,940

    1,049,553

    FRA

    194,782

    55,502

    250,284

    OIS

    309,486

    91,329

    400,815

    OTHER*

    40,277

    337,217

    377,494

    TOTAL

    1,485,158

    592,988

    2,078,146

    * Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, and Swaption.

    CrossCurrency by Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Cross-Currency Basis

    0

    82,990

    82,990

    Cross-Currency Fixed-Fixed

    0

    4,718

    4,718

    Cross-Currency Fixed-Float

    0

    11,333

    11,333

    TOTAL

    0

    99,041

    99,041

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Fixed-Float

    692,585

    102,632

    114,950

    23,410

    15,647

    12,363

    87,966

    1,049,553

    OTHER*

    526,089

    183,990

    146,282

    16,217

    94,935

    4,468

    56,613

    1,028,593

    TOTAL

    1,218,674

    286,622

    261,232

    39,627

    110,582

    16,831

    144,579

    2,078,146

    * Includes the following products: Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, Basis, OIS, and FRA.

    CrossCurrency by Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Cross-Currency Total*

    16,337

    26,115

    7,753

    15,618

    9,652

    8,300

    15,266

    99,041

    * Includes the following cross-currency products: Basis, Fixed-Fixed, and Fixed-Float.

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60-120

    120-360

    360+

    TOTAL

    Fixed-Float

    14,928

    9,672

    171,525

    225,116

    125,767

    288,387

    189,684

    24,473

    1,049,553

    OTHER*

    605,905

    49,396

    179,859

    53,124

    33,301

    46,118

    51,535

    9,355

    1,028,593

    TOTAL

    620,833

    59,068

    351,384

    278,240

    159,068

    334,505

    241,219

    33,828

    2,078,146

    * Includes the following products: FRA, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, OIS, Swaption, and Basis.

    CrossCurrency by Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60-120

    120-360

    360+

    TOTAL

    Cross-Currency Total*

    14,045

    6,927

    28,696

    16,239

    11,163

    12,214

    9,191

    567

    99,041

    * Includes the following cross-currency products: Basis, Fixed-Fixed, and Fixed-Float.

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    875,547

    136,344

    1,005,679

    81,536

    OTHER*

    634,388

    661,770

    454,702

    306,326

    TOTAL

    1,509,935

    798,114

    1,460,381

    387,862

    * Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, FRA, Fixed-Fixed, Inflation, OIS, and Swaption.

    CrossCurrency by Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Cross-Currency Total*

    0

    164,578

    0

    33,505

    * Includes the following cross-currency products: Basis, Fixed-Fixed, and Fixed-Float.

    NOTES

    Swap dollar volumes for current week, by product type and major currency (notional value of all new trades in millions of USD), all participant types and tenors, cleared and uncleared. For cleared swaps, this table reflects the notional value of the creation of only one of the two swaps that results from the clearing process. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes.

    1 See Data Dictionary for product descriptions and Explanatory Notes for data sources.

    2 See Explanatory Notes for cleared and uncleared descriptions.

    3 See Explanatory Notes for currency descriptions.

    4 See Explanatory Notes for tenor bucket descriptions.

    5 See Explanatory Notes for participant type descriptions.

    The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to swapsreport@cftc.gov.