Font Size: AAA // Print // Bookmark

Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    1,608,394

    225,425

    1,833,819

    FRA

    211,021

    33,565

    244,586

    OIS

    108,585

    50,170

    158,755

    OTHER*

    15,455

    275,601

    291,055

    TOTAL

    1,943,455

    584,761

    2,528,215

    * 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

    56,444

    56,444

    Cross-Currency Fixed-Fixed

    0

    1,455

    1,455

    Cross-Currency Fixed-Float

    0

    16,174

    16,174

    TOTAL

    0

    74,073

    74,073

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Fixed-Float

    1,202,470

    191,532

    275,434

    23,998

    23,800

    30,021

    86,565

    1,833,819

    OTHER*

    315,586

    215,606

    57,312

    9,527

    45,844

    14,318

    36,206

    694,396

    TOTAL

    1,518,056

    407,138

    332,746

    33,525

    69,644

    44,339

    122,771

    2,528,215

    * 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*

    7,778

    12,669

    5,648

    17,997

    6,712

    7,180

    16,089

    74,073

    * 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

    606,064

    9,501

    259,791

    192,800

    181,896

    354,741

    192,133

    36,894

    1,833,819

    OTHER*

    311,606

    83,730

    95,671

    50,808

    33,383

    48,797

    64,191

    6,215

    694,396

    TOTAL

    917,670

    93,231

    355,462

    243,608

    215,279

    403,538

    256,324

    43,109

    2,528,215

    * 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*

    11,049

    2,162

    20,581

    8,473

    13,636

    12,616

    4,829

    725

    74,073

    * 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

    1,446,955

    267,304

    1,769,833

    183,546

    OTHER*

    574,283

    488,147

    95,839

    230,527

    TOTAL

    2,021,238

    755,451

    1,865,672

    414,073

    * 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

    116,549

    0

    31,594

    * 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.