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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    Total

    Fixed-Float

    2,181,181

    339,179

    2,520,360

    FRA

    1,117,219

    15,725

    1,132,943

    OIS

    775,276

    55,788

    831,064

    OTHER*

    147,002

    1,075,450

    1,222,452

    TOTAL

    4,220,678

    1,486,142

    5,706,820

    * 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

    1,722,169

    196,390

    91,377

    91,473

    63,028

    355,923

    2,520,360

    OTHER*

    2,540,648

    279,440

    156,579

    30,408

    57,238

    122,146

    3,186,460

    TOTAL

    4,262,817

    475,829

    247,956

    121,882

    120,266

    478,069

    5,706,820

    * 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

    144,797

    37,619

    415,571

    418,852

    363,586

    696,002

    374,187

    69,745

    2,520,360

    OTHER*

    2,012,708

    115,636

    330,340

    237,093

    97,115

    175,076

    169,832

    48,660

    3,186,460

    TOTAL

    2,157,505

    153,255

    745,911

    655,946

    460,701

    871,078

    544,019

    118,405

    5,706,820

    * 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

    2,526,975

    283,744

    1,835,387

    394,614

    OTHER*

    3,174,795

    1,358,862

    904,198

    935,065

    TOTAL

    5,701,770

    1,642,606

    2,739,585

    1,329,679

    * 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.