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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    Total

    Fixed-Float

    1,528,230

    169,147

    1,697,377

    FRA

    1,830,983

    15,759

    1,846,741

    OIS

    1,803,174

    54,240

    1,857,413

    OTHER*

    102,974

    641,418

    744,392

    TOTAL

    5,265,360

    880,564

    6,145,924

    * 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

    Other

    Total

    Fixed-Float

    1,033,999

    191,838

    67,309

    63,189

    36,193

    304,849

    1,697,377

    OTHER*

    3,241,322

    788,179

    167,576

    49,444

    75,702

    126,324

    4,448,546

    TOTAL

    4,275,320

    980,017

    234,885

    112,634

    111,895

    431,173

    6,145,924

    * 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

    86,224

    45,779

    309,350

    290,112

    184,760

    431,642

    274,143

    75,367

    1,697,377

    OTHER*

    3,530,553

    145,082

    338,777

    131,792

    63,139

    107,580

    116,062

    15,561

    4,448,546

    TOTAL

    3,616,776

    190,861

    648,127

    421,904

    247,899

    539,222

    390,206

    90,928

    6,145,924

    * 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

    1,898,180

    165,404

    1,158,280

    172,890

    OTHER*

    5,679,574

    917,442

    1,794,686

    505,391

    TOTAL

    7,577,754

    1,082,846

    2,952,966

    678,281

    * 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.