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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    1,132,377

    348,882

    1,481,259

    FRA

    1,800,276

    19,646

    1,819,922

    OIS

    537,216

    123,070

    660,286

    OTHER*

    111,830

    597,000

    708,831

    TOTAL

    3,581,699

    1,088,598

    4,670,298

    * 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

    CAD

    Other

    TOTAL

    Fixed-Float

    724,681

    296,909

    61,511

    57,933

    60,821

    66,384

    213,020

    1,481,259

    OTHER*

    1,820,523

    560,135

    446,913

    80,966

    180,005

    25,236

    75,259

    3,189,039

    TOTAL

    2,545,204

    857,044

    508,424

    138,899

    240,826

    91,620

    288,279

    4,670,298

    * 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

    109,097

    62,232

    203,699

    257,517

    196,463

    429,527

    191,584

    31,141

    1,481,259

    OTHER*

    2,294,326

    252,581

    204,754

    107,644

    72,173

    123,269

    121,540

    12,749

    3,189,039

    TOTAL

    2,403,423

    314,813

    408,453

    365,161

    268,636

    552,796

    313,124

    43,890

    4,670,298

    * 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

    1,516,700

    392,616

    748,055

    305,148

    OTHER*

    4,386,789

    929,698

    511,855

    549,734

    TOTAL

    5,903,489

    1,322,314

    1,259,910

    854,882

    * 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.