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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    2,432,662

    172,047

    2,604,709

    FRA

    139,375

    34,138

    173,513

    OIS

    235,097

    52,097

    287,194

    OTHER*

    7,176

    261,322

    268,497

    TOTAL

    2,814,310

    519,604

    3,333,913

    *OTHER variable 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

    -

    62,783

    62,783

    Cross_Currency Fixed-Fixed

    -

    1,098

    1,098

    Cross_Currency Fixed-Float

    -

    10,139

    10,139

    TOTAL

    -

    74,020

    74,020

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Fixed-Float

    1,130,294

    799,220

    425,013

    117,749

    24,779

    19,110

    88,542

    2,604,709

    OTHER*

    345,536

    102,164

    162,528

    29,229

    53,269

    803

    35,677

    729,204

    TOTAL

    1,475,830

    901,384

    587,541

    146,978

    78,048

    19,913

    124,219

    3,333,913

    *OTHER variable 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

    12,223

    15,692

    8,771

    17,306

    6,041

    2,947

    11,038

    74,020

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60-120

    120-360

    360+

    TOTAL

    Fixed-Float

    623,919

    58,409

    677,704

    446,874

    208,401

    346,537

    209,197

    33,668

    2,604,709

    OTHER*

    433,006

    25,588

    96,608

    39,405

    28,204

    46,545

    53,270

    6,578

    729,204

    TOTAL

    1,056,925

    83,997

    774,312

    486,279

    236,605

    393,082

    262,467

    40,246

    3,333,913

    *OTHER variable 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

    2,922

    6,579

    19,006

    7,195

    8,304

    16,362

    11,901

    1,749

    74,020

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    2,174,089

    204,969

    2,691,235

    139,125

    OTHER*

    531,145

    506,899

    232,148

    188,219

    TOTAL

    2,705,234

    711,868

    2,923,383

    327,344

    *OTHER variable 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 Basis

    -

    94,183

    -

    31,383

    Cross-Currency Fixed-Fixed

    -

    411

    -

    1,784

    Cross-Currency Fixed-Float

    -

    15,780

    -

    4,497

    TOTAL

    -

    110,374

    -

    37,664

    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.