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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    785,237

    1,327,329

    2,112,566

    FRA

    170,410

    36,573

    206,983

    OIS

    410,087

    140,866

    550,953

    OTHER*

    21,907

    320,888

    342,795

    TOTAL

    1,387,641

    1,825,656

    3,213,297

    * 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

    84,431

    84,431

    Cross-Currency Fixed-Fixed

    0

    7,770

    7,770

    Cross-Currency Fixed-Float

    0

    10,144

    10,144

    TOTAL

    0

    102,345

    102,345

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Fixed-Float

    1,323,277

    324,276

    130,028

    17,341

    16,870

    13,441

    287,334

    2,112,566

    OTHER*

    625,157

    201,796

    66,052

    19,939

    106,876

    29,761

    51,147

    1,100,731

    TOTAL

    1,948,434

    526,072

    196,080

    37,280

    123,746

    43,202

    338,481

    3,213,297

    * 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*

    17,523

    30,217

    4,752

    22,067

    11,193

    5,189

    11,406

    102,345

    * 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

    298,687

    25,755

    184,575

    182,045

    355,951

    628,480

    395,317

    41,757

    2,112,566

    OTHER*

    645,543

    47,246

    90,831

    110,125

    59,306

    77,447

    57,695

    12,539

    1,100,731

    TOTAL

    944,230

    73,001

    275,406

    292,170

    415,257

    705,927

    453,012

    54,296

    3,213,297

    * 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*

    6,111

    6,431

    32,976

    14,183

    12,653

    20,238

    7,330

    2,422

    102,345

    * 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

    830,430

    1,383,602

    740,044

    1,271,056

    OTHER*

    638,369

    648,486

    566,438

    348,171

    TOTAL

    1,468,799

    2,032,088

    1,306,482

    1,619,227

    * 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

    150,728

    0

    53,964

    * 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.