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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    1,134,319

    196,489

    1,330,807

    FRA

    270,702

    49,471

    320,172

    OIS

    62,361

    111,961

    174,323

    OTHER*

    15,066

    426,092

    441,158

    TOTAL

    1,482,448

    784,013

    2,266,460

    *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

    -

    64,286

    64,286

    Cross_Currency Fixed-Fixed

    -

    5,957

    5,957

    Cross_Currency Fixed-Float

    -

    9,372

    9,372

    TOTAL

    -

    79,615

    79,615

    IRS by Product & Major Currency

    Product1

    USD

    EUR3

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Fixed-Float

    808,674

    262,871

    88,486

    31,448

    20,074

    30,660

    88,593

    1,330,807

    OTHER*

    329,948

    331,602

    95,150

    23,604

    118,417

    3,144

    33,788

    935,653

    TOTAL

    1,138,622

    594,473

    183,636

    55,052

    138,491

    33,804

    122,381

    2,266,460

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

    CrossCurrency by Major Currency

    Product1

    USD

    EUR3

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Cross-Currency Total

    21,846

    11,498

    5,043

    16,491

    8,805

    5,216

    10,716

    79,615

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60-120

    120-360

    360+

    TOTAL

    Fixed-Float

    177,262

    38,507

    114,429

    179,015

    384,173

    246,304

    170,249

    20,868

    1,330,807

    OTHER*

    406,547

    151,402

    82,219

    58,856

    64,705

    89,710

    76,123

    6,091

    935,653

    TOTAL

    583,809

    189,909

    196,648

    237,871

    448,878

    336,014

    246,372

    26,959

    2,266,460

    *OTHER variable 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

    9,758

    2,890

    21,977

    8,115

    8,149

    13,435

    13,670

    1,623

    79,615

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    961,720

    254,786

    1,306,918

    138,191

    OTHER*

    635,175

    811,887

    61,081

    363,163

    TOTAL

    1,596,895

    1,066,673

    1,367,999

    501,354

    *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

    -

    91,972

    -

    36,599

    Cross-Currency Fixed-Fixed

    -

    3,282

    -

    8,632

    Cross-Currency Fixed-Float

    -

    13,140

    -

    5,605

    TOTAL

    -

    108,394

    -

    50,836

    NOTES

    Swap dollar volumes, week ending April 4, 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.