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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    1,393,822

    634,863

    2,028,685

    FRA

    152,692

    311,750

    464,442

    OIS

    95,447

    196,847

    292,295

    OTHER*

    10,957

    504,049

    515,005

    TOTAL

    1,652,918

    1,647,509

    3,300,427

    * 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

    0

    60,922

    60,922

    Cross-Currency Fixed-Fixed

    0

    6,707

    6,707

    Cross-Currency Fixed-Float

    0

    12,161

    12,161

    TOTAL

    0

    79,790

    79,790

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Fixed-Float

    1,412,089

    212,329

    172,741

    69,435

    37,927

    16,482

    107,682

    2,028,685

    OTHER*

    712,781

    212,829

    171,263

    11,870

    120,408

    4,856

    37,736

    1,271,742

    TOTAL

    2,124,870

    425,158

    344,004

    81,305

    158,335

    21,338

    145,418

    3,300,427

    * 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*

    10,137

    19,512

    2,487

    23,645

    7,931

    7,436

    8,640

    79,790

    * Includes the following cross-currency products: Basis, Fixed-Fixed, and Fixed-Float.

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60-120

    120-360

    360+

    TOTAL

    Fixed-Float

    437,121

    14,085

    371,247

    197,755

    201,046

    491,417

    276,243

    39,771

    2,028,685

    OTHER*

    685,971

    58,484

    58,649

    58,998

    45,717

    277,873

    79,111

    6,938

    1,271,742

    TOTAL

    1,123,092

    72,569

    429,896

    256,753

    246,763

    769,290

    355,354

    46,709

    3,300,427

    * 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*

    14,195

    3,030

    19,090

    11,102

    9,724

    16,089

    6,070

    491

    79,790

    * Includes the following cross-currency products: Basis, Fixed-Fixed, and Fixed-Float.

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    1,327,793

    674,403

    1,459,851

    595,323

    OTHER*

    425,739

    1,190,483

    92,452

    834,809

    TOTAL

    1,753,532

    1,864,886

    1,552,303

    1,430,132

    * 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 Total*

    0

    131,882

    0

    27,698

    * Includes the following cross-currency products: Basis, Fixed-Fixed, and Fixed-Float.

    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.