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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    1,121,726

    170,106

    1,291,832

    FRA

    1,306,338

    33,351

    1,339,688

    OIS

    639,943

    114,934

    754,877

    OTHER*

    94,541

    663,385

    757,925

    TOTAL

    3,162,548

    981,776

    4,144,322

    * 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

    CAD

    Other

    TOTAL

    Fixed-Float

    722,281

    151,718

    67,864

    47,660

    35,586

    138,972

    127,751

    1,291,832

    OTHER*

    1,910,095

    406,742

    211,814

    71,865

    146,451

    45,861

    59,659

    2,852,490

    TOTAL

    2,632,376

    558,460

    279,678

    119,525

    182,037

    184,833

    187,410

    4,144,322

    * 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

    71,816

    33,551

    219,827

    228,397

    179,795

    328,908

    195,917

    33,621

    1,291,832

    OTHER*

    1,952,333

    132,148

    270,710

    168,503

    56,948

    120,569

    131,807

    19,469

    2,852,490

    TOTAL

    2,024,149

    165,699

    490,537

    396,900

    236,743

    449,477

    327,724

    53,090

    4,144,322

    * 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

    1,363,002

    199,734

    880,450

    140,478

    OTHER*

    3,459,148

    1,000,966

    622,496

    622,369

    TOTAL

    4,822,150

    1,200,700

    1,502,946

    762,847

    * 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.