Font Size: AAA // Print // Bookmark

Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    1,014,356

    186,379

    1,200,735

    FRA

    119,556

    29,435

    148,992

    OIS

    104,777

    179,978

    284,756

    OTHER*

    17,473

    313,335

    330,808

    TOTAL

    1,256,162

    709,127

    1,965,291

    * 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

    48,837

    48,837

    Cross-Currency Fixed-Fixed

    0

    1,939

    1,939

    Cross-Currency Fixed-Float

    0

    14,517

    14,517

    TOTAL

    0

    65,293

    65,293

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Fixed-Float

    827,772

    135,454

    57,499

    44,189

    17,100

    17,229

    101,493

    1,200,735

    OTHER*

    379,677

    123,351

    76,281

    1,640

    130,700

    3,183

    49,723

    764,556

    TOTAL

    1,207,449

    258,805

    133,780

    45,829

    147,800

    20,412

    151,216

    1,965,291

    * 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*

    16,220

    17,303

    2,924

    10,870

    5,403

    2,251

    10,323

    65,293

    * 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

    28,367

    9,453

    279,668

    229,856

    154,372

    273,507

    185,768

    39,744

    1,200,735

    OTHER*

    408,552

    19,103

    139,177

    37,080

    26,946

    56,784

    63,652

    13,264

    764,556

    TOTAL

    436,919

    28,556

    418,845

    266,936

    181,318

    330,291

    249,420

    53,008

    1,965,291

    * 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*

    11,562

    7,020

    13,409

    6,623

    12,148

    7,736

    5,948

    848

    65,293

    * 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

    857,227

    222,117

    1,171,485

    150,642

    OTHER*

    312,552

    686,674

    171,061

    358,824

    TOTAL

    1,169,779

    908,791

    1,342,546

    509,466

    * 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

    101,509

    0

    29,077

    * 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.