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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    584,031

    93,957

    677,988

    FRA

    105,492

    26,783

    132,275

    OIS

    176,416

    99,515

    275,931

    OTHER*

    23,366

    242,000

    265,366

    TOTAL

    889,305

    462,255

    1,351,560

    * 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

    57,159

    57,159

    Cross-Currency Fixed-Fixed

    0

    3,331

    3,331

    Cross-Currency Fixed-Float

    0

    6,692

    6,692

    TOTAL

    0

    67,182

    67,182

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Fixed-Float

    474,014

    63,325

    30,577

    23,760

    5,229

    6,270

    74,814

    677,988

    OTHER*

    376,861

    94,554

    66,527

    12,252

    106,475

    683

    16,222

    673,572

    TOTAL

    850,875

    157,879

    97,104

    36,012

    111,704

    6,953

    91,036

    1,351,560

    * 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*

    12,477

    15,936

    4,865

    15,411

    4,493

    2,570

    11,431

    67,182

    * 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

    4,459

    8,638

    138,544

    129,031

    81,804

    159,895

    136,847

    18,770

    677,988

    OTHER*

    379,101

    30,892

    68,012

    47,534

    29,779

    53,760

    55,201

    9,295

    673,572

    TOTAL

    383,560

    39,530

    206,556

    176,565

    111,583

    213,655

    192,048

    28,065

    1,351,560

    * 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*

    6,303

    2,173

    16,891

    9,969

    9,477

    15,097

    6,286

    985

    67,182

    * 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

    542,444

    121,965

    625,618

    65,949

    OTHER*

    361,510

    536,882

    249,035

    199,715

    TOTAL

    903,954

    658,847

    874,653

    265,664

    * 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

    112,005

    0

    22,360

    * 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.