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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    Total

    Fixed-Float

    1,445,654

    174,434

    1,620,088

    FRA

    1,403,170

    23,135

    1,426,305

    OIS

    874,667

    31,054

    905,721

    OTHER*

    96,702

    679,879

    776,582

    TOTAL

    3,820,193

    908,502

    4,728,696

    * 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

    727,440

    352,188

    60,450

    87,234

    37,326

    355,451

    1,620,088

    OTHER*

    2,374,282

    287,954

    269,624

    26,063

    40,195

    110,490

    3,108,608

    TOTAL

    3,101,722

    640,142

    330,073

    113,297

    77,520

    465,941

    4,728,696

    * 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

    91,140

    91,844

    213,481

    314,918

    186,197

    413,249

    263,294

    45,965

    1,620,088

    OTHER*

    2,227,279

    128,763

    323,626

    153,599

    85,161

    85,429

    87,818

    16,932

    3,108,608

    TOTAL

    2,318,419

    220,607

    537,107

    468,517

    271,358

    498,678

    351,113

    62,896

    4,728,696

    * 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

    1,971,205

    194,207

    920,103

    154,661

    OTHER*

    3,755,770

    889,902

    993,309

    578,234

    TOTAL

    5,726,975

    1,084,109

    1,913,412

    732,895

    * 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.