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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    1,517,724

    264,001

    1,781,725

    FRA

    128,142

    44,777

    172,920

    OIS

    89,436

    71,081

    160,517

    OTHER*

    22,411

    353,531

    375,942

    TOTAL

    1,757,713

    733,390

    2,491,104

    * 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

    78,831

    78,831

    Cross-Currency Fixed-Fixed

    0

    3,040

    3,040

    Cross-Currency Fixed-Float

    0

    9,298

    9,298

    TOTAL

    0

    91,169

    91,169

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Fixed-Float

    1,232,648

    230,061

    138,050

    25,070

    34,914

    17,934

    103,047

    1,781,725

    OTHER*

    388,030

    130,772

    81,615

    5,311

    56,513

    4,216

    42,919

    709,379

    TOTAL

    1,620,678

    360,833

    219,665

    30,381

    91,427

    22,150

    145,966

    2,491,104

    * 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*

    13,507

    24,248

    5,279

    16,822

    16,374

    5,433

    9,507

    91,169

    * 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

    344,058

    16,103

    254,420

    191,409

    201,813

    473,739

    260,968

    39,214

    1,781,725

    OTHER*

    301,186

    32,335

    113,163

    69,960

    58,366

    63,187

    62,744

    8,438

    709,379

    TOTAL

    645,244

    48,438

    367,583

    261,369

    260,179

    536,926

    323,712

    47,652

    2,491,104

    * 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*

    11,520

    3,225

    20,034

    13,986

    11,340

    16,477

    13,251

    1,338

    91,169

    * 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

    1,407,733

    299,816

    1,627,714

    228,186

    OTHER*

    360,906

    605,413

    119,074

    333,365

    TOTAL

    1,768,639

    905,229

    1,746,788

    561,551

    * 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

    142,707

    0

    39,630

    * 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.