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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    1,099,813

    180,794

    1,280,606

    FRA

    1,826,333

    62,668

    1,889,000

    OIS

    956,589

    163,564

    1,120,153

    OTHER*

    205,947

    400,424

    606,371

    TOTAL

    4,088,682

    807,450

    4,896,130

    * 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

    656,420

    78,707

    172,325

    57,171

    49,952

    266,033

    1,280,608

    OTHER*

    3,084,458

    140,492

    156,057

    26,530

    45,546

    162,439

    3,615,522

    TOTAL

    3,740,878

    219,199

    328,382

    83,701

    95,498

    428,472

    4,896,130

    * 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

    156,460

    40,300

    248,280

    225,702

    122,966

    277,342

    181,254

    28,302

    1,280,606

    OTHER*

    2,883,247

    186,211

    219,374

    111,541

    61,378

    73,642

    67,603

    12,529

    3,615,524

    TOTAL

    3,039,707

    226,511

    467,654

    337,243

    184,344

    350,984

    248,857

    40,831

    4,896,130

    * 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

    1,291,784

    209,255

    907,841

    152,332

    OTHER*

    4,756,946

    808,079

    1,220,791

    445,233

    TOTAL

    6,048,730

    1,017,334

    2,128,632

    597,565

    * 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.