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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    731,852

    116,790

    848,642

    FRA

    218,162

    40,729

    258,891

    OIS

    176,266

    81,626

    257,892

    OTHER*

    22,024

    352,598

    374,623

    TOTAL

    1,148,304

    591,743

    1,740,048

    * 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

    77,179

    77,179

    Cross-Currency Fixed-Fixed

    0

    909

    909

    Cross-Currency Fixed-Float

    0

    5,767

    5,767

    TOTAL

    0

    83,855

    83,855

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Fixed-Float

    539,085

    111,430

    33,714

    39,199

    7,857

    10,964

    106,393

    848,642

    OTHER*

    424,156

    214,268

    114,035

    12,020

    59,330

    1,404

    66,190

    891,406

    TOTAL

    963,241

    325,698

    147,749

    51,219

    67,187

    12,368

    172,583

    1,740,048

    * 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*

    15,064

    20,385

    10,799

    23,613

    4,334

    3,519

    6,142

    83,855

    * 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

    39,100

    14,997

    126,755

    156,384

    141,829

    201,697

    145,047

    22,832

    848,642

    OTHER*

    437,437

    66,961

    168,148

    73,662

    21,266

    62,685

    52,034

    9,212

    891,406

    TOTAL

    476,537

    81,958

    294,903

    230,046

    163,095

    264,382

    197,081

    32,044

    1,740,048

    * 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*

    17,331

    5,886

    17,060

    11,939

    7,562

    12,343

    10,225

    1,512

    83,855

    * 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

    790,703

    136,498

    673,001

    97,083

    OTHER*

    522,970

    622,296

    309,933

    327,613

    TOTAL

    1,313,673

    758,794

    982,934

    424,696

    * 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

    136,192

    0

    31,519

    * 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.