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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    Total

    Fixed-Float

    2,067,389

    306,436

    2,373,825

    FRA

    1,637,920

    12,851

    1,650,771

    OIS

    2,824,182

    41,301

    2,865,483

    OTHER*

    160,472

    831,805

    992,277

    TOTAL

    6,689,963

    1,192,393

    7,882,355

    * 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

    1,265,291

    338,866

    99,262

    77,804

    60,416

    532,184

    2,373,825

    OTHER*

    4,065,489

    990,300

    202,433

    52,455

    119,663

    78,191

    5,508,531

    TOTAL

    5,330,780

    1,329,167

    301,695

    130,259

    180,079

    610,375

    7,882,355

    * 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

    142,407

    57,142

    379,358

    415,672

    298,696

    623,446

    409,285

    47,818

    2,373,825

    OTHER*

    4,342,879

    95,304

    457,537

    211,455

    108,396

    130,203

    139,103

    23,653

    5,508,531

    TOTAL

    4,485,286

    152,446

    836,895

    627,127

    407,092

    753,650

    548,388

    71,471

    7,882,355

    * 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

    2,436,403

    302,326

    1,698,375

    310,545

    OTHER*

    6,411,701

    1,096,849

    2,833,446

    675,065

    TOTAL

    8,848,104

    1,399,175

    4,531,821

    985,610

    * 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.