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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    Total

    Fixed-Float

    1,395,719

    182,106

    1,577,825

    FRA

    1,181,321

    18,576

    1,199,898

    OIS

    774,974

    142,560

    917,534

    OTHER*

    99,412

    531,733

    631,145

    TOTAL

    3,451,427

    874,976

    4,326,403

    * 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

    1,108,246

    150,794

    51,498

    25,240

    27,394

    214,653

    1,577,825

    OTHER*

    2,056,636

    440,294

    100,027

    26,270

    15,787

    109,564

    2,748,577

    TOTAL

    3,164,881

    591,088

    151,525

    51,510

    43,181

    324,217

    4,326,403

    * 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

    67,921

    23,897

    300,001

    250,551

    245,504

    430,608

    219,021

    40,321

    1,577,825

    OTHER*

    1,971,349

    140,855

    225,993

    125,746

    58,484

    93,704

    105,168

    27,279

    2,748,577

    TOTAL

    2,039,270

    164,752

    525,994

    376,297

    303,988

    524,313

    324,189

    67,600

    4,326,403

    * 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

    1,704,326

    136,292

    1,087,112

    227,921

    OTHER*

    3,233,096

    822,809

    878,320

    562,930

    TOTAL

    4,937,422

    959,100

    1,965,431

    790,851

    * 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.