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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    Total

    Fixed-Float

    828,798

    54,343

    883,141

    FRA

    136,894

    1,969

    138,863

    OIS

    243,819

    14,718

    258,538

    OTHER*

    87,686

    177,886

    265,572

    TOTAL

    1,297,198

    248,916

    1,546,114

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

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    Other

    Total

    Fixed-Float

    565,040

    122,026

    34,750

    36,626

    10,612

    114,087

    883,141

    OTHER*

    556,089

    39,082

    17,605

    21,259

    2,795

    26,143

    662,973

    TOTAL

    1,121,129

    161,108

    52,355

    57,885

    13,407

    140,230

    1,546,114

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

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60-120

    120-360

    360+

    Total

    Fixed-Float

    95,667

    10,502

    191,334

    181,694

    87,008

    195,354

    107,053

    14,530

    883,141

    OTHER*

    443,099

    15,374

    62,929

    33,042

    17,962

    29,033

    51,956

    9,579

    662,973

    TOTAL

    538,765

    25,877

    254,263

    214,736

    104,970

    224,387

    159,009

    24,108

    1,546,114

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

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    1,058,518

    51,129

    599,079

    57,557

    OTHER*

    597,495

    262,062

    339,304

    127,084

    TOTAL

    1,656,012

    313,191

    938,383

    184,641

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

    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.