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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    Total

    Fixed-Float

    1,507,402

    155,602

    1,663,004

    FRA

    1,008,544

    17,158

    1,025,702

    OIS

    1,619,549

    38,577

    1,658,127

    OTHER*

    80,016

    452,572

    532,588

    TOTAL

    4,215,511

    663,910

    4,879,421

    * 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

    666,941

    283,213

    52,204

    58,123

    28,490

    574,033

    1,663,004

    OTHER*

    1,755,957

    861,592

    404,049

    42,162

    88,071

    64,586

    3,216,417

    TOTAL

    2,422,898

    1,144,805

    456,253

    100,285

    116,561

    638,620

    4,879,421

    * 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

    119,695

    73,962

    355,046

    298,634

    193,279

    366,845

    219,908

    35,637

    1,663,004

    OTHER*

    2,479,941

    128,731

    281,725

    127,033

    54,399

    77,837

    56,629

    10,123

    3,216,417

    TOTAL

    2,599,636

    202,692

    636,771

    425,667

    247,678

    444,681

    276,537

    45,760

    4,879,421

    * 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

    1,965,870

    166,736

    1,048,935

    144,469

    OTHER*

    3,742,896

    637,254

    1,673,322

    379,362

    TOTAL

    5,708,766

    803,990

    2,722,256

    523,831

    * 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.