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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    1,194,350

    180,175

    1,374,525

    FRA

    118,108

    52,785

    170,894

    OIS

    82,664

    96,815

    179,479

    OTHER*

    5,559

    290,756

    296,315

    TOTAL

    1,400,681

    620,531

    2,021,213

    *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

    -

    100,886

    100,886

    Cross_Currency Fixed-Fixed

    -

    4,305

    4,305

    Cross_Currency Fixed-Float

    -

    18,998

    18,998

    TOTAL

    -

    124,189

    124,189

    IRS by Product & Major Currency

    Product1

    USD

    EUR3

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Fixed-Float

    730,329

    378,390

    93,824

    57,274

    24,820

    23,549

    66,840

    1,375,025

    OTHER*

    239,016

    147,689

    57,310

    29,454

    83,591

    457

    88,668

    646,188

    TOTAL

    969,345

    526,079

    151,134

    86,728

    108,411

    24,006

    155,508

    2,021,213

    *OTHER variable includes the following products: Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, Basis, OIS, and FRA.

    CrossCurrency by Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60-120

    120-360

    360+

    TOTAL

    Cross-Currency TOTAL

    4,966

    1,968

    18,969

    8,613

    19,622

    49,925

    18,809

    1,318

    124,189

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60-120

    120-360

    360+

    TOTAL

    Fixed-Float

    237,306

    15,729

    232,587

    245,979

    188,115

    310,307

    125,408

    19,096

    1,374,525

    OTHER*

    305,779

    43,762

    58,173

    37,352

    47,556

    77,797

    71,851

    4,419

    646,688

    TOTAL

    543,085

    59,491

    290,760

    283,331

    235,671

    388,104

    197,259

    23,515

    2,021,213

    *OTHER variable includes the following products: FRA, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, OIS, Swaption, and Basis.

    CrossCurrency by Major Currency

    Product1

    USD

    EUR3

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Cross-Currency Total

    15,182

    25,196

    3,227

    14,546

    6,456

    4,968

    54,616

    124,189

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    968,377

    226,990

    1,420,323

    133,360

    OTHER*

    340,565

    621,134

    72,099

    259,578

    TOTAL

    1,308,942

    848,124

    1,492,422

    392,938

    *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

    -

    160,752

    -

    41,020

    Cross-Currency Fixed-Fixed

    -

    2,728

    -

    5,883

    Cross-Currency Fixed-Float

    -

    33,567

    -

    4,430

    TOTAL

    -

    197,047

    -

    51,333

    NOTES

    Swap dollar volumes, week ending April 11, 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.