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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    908,612

    104,652

    1,013,264

    FRA

    112,991

    51,372

    164,363

    OIS

    62,919

    34,492

    97,411

    OTHER*

    4,787

    80,560

    85,346

    TOTAL

    1,089,309

    271,076

    1,360,384

    * 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

    43,924

    43,924

    Cross-Currency Fixed-Fixed

    0

    342

    342

    Cross-Currency Fixed-Float

    0

    6,254

    6,254

    TOTAL

    0

    50,520

    50,520

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Fixed-Float

    557,475

    243,236

    81,496

    11,165

    32,973

    25,119

    61,799

    1,013,264

    OTHER*

    134,481

    118,151

    14,918

    7,552

    47,475

    101

    24,444

    347,120

    TOTAL

    691,956

    361,387

    96,414

    18,717

    80,448

    25,220

    86,243

    1,360,384

    * 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*

    5,010

    24,923

    2,203

    4,426

    7,721

    2,573

    3,665

    50,520

    * 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

    212,023

    13,608

    103,870

    129,868

    137,820

    233,791

    155,235

    27,049

    1,013,264

    OTHER*

    207,522

    33,696

    18,741

    32,956

    7,862

    17,837

    26,058

    2,446

    347,120

    TOTAL

    419,545

    47,304

    122,611

    162,824

    145,682

    251,628

    181,293

    29,495

    1,360,384

    * 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*

    4,783

    3,336

    11,003

    6,116

    5,117

    14,606

    5,326

    233

    50,520

    * 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

    734,375

    135,173

    1,082,849

    74,130

    OTHER*

    305,257

    242,965

    56,135

    89,881

    TOTAL

    1,039,632

    378,138

    1,138,984

    164,011

    * 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

    79,532

    0

    21,511

    * 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.