Font Size: AAA // Print // Bookmark

Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    513,714

    199,859

    713,573

    FRA

    139,044

    25,461

    164,505

    OIS

    153,145

    55,772

    208,918

    OTHER*

    20,370

    154,606

    174,975

    TOTAL

    826,273

    435,698

    1,261,971

    * 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

    53,665

    53,665

    Cross-Currency Fixed-Fixed

    0

    1,029

    1,029

    Cross-Currency Fixed-Float

    0

    5,858

    5,858

    TOTAL

    0

    60,552

    60,552

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Fixed-Float

    430,236

    51,248

    21,002

    15,505

    4,867

    12,943

    177,772

    713,573

    OTHER*

    319,549

    77,604

    54,784

    11,680

    15,934

    7,546

    61,301

    548,398

    TOTAL

    749,785

    128,852

    75,786

    27,185

    20,801

    20,489

    239,073

    1,261,971

    * 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*

    7,884

    18,664

    4,381

    8,523

    7,893

    3,336

    9,871

    60,552

    * 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

    14,176

    10,332

    170,745

    105,532

    98,132

    167,505

    121,975

    25,176

    713,573

    OTHER*

    316,401

    27,950

    60,586

    17,460

    20,197

    57,678

    39,527

    8,601

    548,398

    TOTAL

    330,577

    38,282

    231,331

    122,992

    118,329

    225,183

    161,502

    33,777

    1,261,971

    * 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*

    6,552

    3,544

    14,235

    10,345

    11,903

    8,228

    5,600

    144

    60,552

    * 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

    606,663

    226,927

    420,764

    172,791

    OTHER*

    349,060

    312,327

    276,058

    159,349

    TOTAL

    955,723

    539,254

    696,822

    332,140

    * 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

    103,075

    0

    18,029

    * 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.