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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    1,648,597

    186,082

    1,834,679

    FRA

    1,443,196

    41,442

    1,484,638

    OIS

    945,363

    181,800

    1,127,162

    OTHER*

    64,512

    747,437

    811,949

    TOTAL

    4,101,668

    1,156,761

    5,258,428

    * 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

    994,509

    331,584

    70,178

    72,069

    43,213

    323,126

    1,834,679

    OTHER*

    2,371,915

    350,209

    373,823

    63,821

    148,221

    115,763

    3,423,752

    TOTAL

    3,366,424

    681,793

    444,001

    135,890

    191,434

    438,889

    5,258,431

    * 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

    81,928

    37,350

    326,096

    341,839

    199,671

    500,007

    304,897

    42,892

    1,834,679

    OTHER*

    2,483,221

    90,985

    275,732

    94,728

    75,311

    90,741

    297,354

    15,678

    3,423,749

    TOTAL

    2,565,149

    128,335

    601,828

    436,567

    274,982

    590,748

    602,251

    58,570

    5,258,428

    * 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

    1,893,627

    226,246

    1,403,566

    145,918

    OTHER*

    4,063,542

    1,127,138

    842,599

    814,220

    TOTAL

    5,957,169

    1,353,384

    2,246,165

    960,138

    * 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.