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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    Total

    Fixed-Float

    1,644,091

    187,993

    1,832,084

    FRA

    3,749,035

    34,114

    3,783,149

    OIS

    1,815,681

    60,259

    1,875,939

    OTHER*

    99,865

    591,801

    691,666

    TOTAL

    7,308,671

    874,167

    8,182,838

    * 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

    857,817

    331,752

    66,491

    76,593

    58,891

    440,540

    1,832,084

    OTHER*

    5,204,820

    735,802

    132,849

    27,266

    111,969

    138,049

    6,350,754

    TOTAL

    6,062,637

    1,067,554

    199,340

    103,859

    170,860

    578,589

    8,182,838

    * 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

    114,482

    82,949

    321,837

    343,013

    229,584

    450,644

    246,480

    43,095

    1,832,084

    OTHER*

    5,304,220

    233,796

    276,970

    138,657

    76,047

    198,295

    105,422

    17,348

    6,350,754

    TOTAL

    5,418,702

    316,745

    598,807

    481,670

    305,632

    648,939

    351,903

    60,442

    8,182,838

    * 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

    2,081,514

    197,920

    1,206,668

    178,065

    OTHER*

    9,102,325

    932,930

    2,226,837

    439,418

    TOTAL

    11,183,839

    1,130,850

    3,433,504

    617,483

    * 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.