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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    Total

    Fixed-Float

    1,333,692

    181,575

    1,515,267

    FRA

    1,054,561

    20,150

    1,074,711

    OIS

    1,467,130

    165,752

    1,632,882

    OTHER*

    126,405

    639,806

    766,211

    TOTAL

    3,981,788

    1,007,283

    4,989,071

    * 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

    665,841

    214,323

    136,118

    59,479

    59,417

    380,089

    1,515,267

    OTHER*

    2,488,618

    295,505

    399,206

    55,708

    33,360

    201,407

    3,473,804

    TOTAL

    3,154,459

    509,828

    535,325

    115,187

    92,777

    581,496

    4,989,071

    * 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

    118,382

    38,928

    271,193

    291,349

    158,520

    370,816

    234,352

    31,728

    1,515,267

    OTHER*

    2,580,102

    150,752

    250,430

    143,366

    70,898

    97,259

    166,741

    14,255

    3,473,804

    TOTAL

    2,698,485

    189,680

    521,623

    434,715

    229,418

    468,075

    401,093

    45,983

    4,989,071

    * 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

    1,690,210

    203,736

    977,174

    159,414

    OTHER*

    3,622,800

    1,027,444

    1,673,393

    623,972

    TOTAL

    5,313,010

    1,231,180

    2,650,567

    783,386

    * 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.