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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    1,427,819

    143,829

    1,571,648

    FRA

    1,126,601

    39,788

    1,166,388

    OIS

    425,060

    84,301

    509,361

    OTHER*

    47,327

    305,921

    353,249

    TOTAL

    3,026,807

    573,839

    3,600,646

    * 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

    62,086

    62,086

    Cross-Currency Fixed-Fixed

    0

    1,900

    1,900

    Cross-Currency Fixed-Float

    0

    6,096

    6,096

    TOTAL

    0

    70,082

    70,082

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Fixed-Float

    1,116,970

    142,868

    139,379

    33,773

    19,705

    29,560

    89,392

    1,571,648

    OTHER*

    1,312,245

    373,107

    201,012

    15,842

    72,918

    5,356

    48,519

    2,028,998

    TOTAL

    2,429,215

    515,975

    340,391

    49,615

    92,623

    34,916

    137,911

    3,600,646

    * 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*

    13,117

    22,217

    4,686

    11,910

    7,522

    4,899

    5,732

    70,082

    * 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

    33,382

    21,835

    176,680

    259,278

    204,402

    501,524

    311,332

    63,214

    1,571,648

    OTHER*

    1,535,303

    124,581

    141,286

    53,553

    35,834

    46,836

    70,225

    21,380

    2,028,998

    TOTAL

    1,568,685

    146,416

    317,966

    312,831

    240,236

    548,360

    381,557

    84,594

    3,600,646

    * 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*

    9,971

    665

    15,519

    10,663

    8,745

    16,416

    7,275

    828

    70,082

    * 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

    1,777,376

    186,819

    1,078,261

    100,839

    OTHER*

    2,739,706

    598,415

    458,268

    261,604

    TOTAL

    4,517,082

    785,234

    1,536,529

    362,443

    * 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

    114,025

    0

    26,139

    * 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.