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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    614,428

    101,789

    716,217

    FRA

    185,852

    38,122

    223,974

    OIS

    58,716

    69,054

    127,770

    OTHER*

    17,028

    192,821

    209,849

    TOTAL

    876,024

    401,786

    1,277,810

    * 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

    52,982

    52,982

    Cross-Currency Fixed-Fixed

    0

    804

    804

    Cross-Currency Fixed-Float

    0

    6,057

    6,057

    TOTAL

    0

    59,843

    59,843

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Fixed-Float

    394,112

    75,825

    24,702

    126,684

    17,978

    15,331

    61,585

    716,217

    OTHER*

    326,778

    74,864

    48,995

    16,911

    33,302

    6,978

    53,766

    561,593

    TOTAL

    720,890

    150,689

    73,697

    143,595

    51,280

    22,309

    115,351

    1,277,810

    * 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*

    8,222

    16,745

    4,093

    17,624

    3,645

    3,767

    5,747

    59,843

    * 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

    24,130

    18,038

    111,686

    121,940

    83,540

    195,060

    139,807

    22,015

    716,217

    OTHER*

    317,691

    29,431

    61,940

    39,883

    23,591

    32,942

    48,572

    7,545

    561,593

    TOTAL

    341,821

    47,469

    173,626

    161,823

    107,131

    228,002

    188,379

    29,560

    1,277,810

    * 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*

    3,543

    1,948

    14,513

    9,985

    9,841

    13,836

    6,097

    78

    59,843

    * 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

    680,352

    119,575

    548,505

    84,003

    OTHER*

    423,051

    418,936

    100,142

    181,058

    TOTAL

    1,103,403

    538,511

    648,647

    265,061

    * 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

    104,408

    0

    15,277

    * 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.