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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    1,187,634

    150,052

    1,337,686

    FRA

    1,039,994

    36,535

    1,076,529

    OIS

    1,033,894

    129,041

    1,162,934

    OTHER*

    181,582

    583,002

    764,585

    TOTAL

    3,443,104

    898,630

    4,341,734

    * 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

    766,853

    139,145

    63,824

    87,339

    51,422

    229,102

    1,337,685

    OTHER*

    1,937,252

    280,380

    568,955

    45,372

    37,125

    134,963

    3,004,047

    TOTAL

    2,704,105

    419,525

    632,779

    132,711

    88,547

    364,065

    4,341,732

    * 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

    98,120

    31,891

    185,436

    219,174

    165,119

    355,276

    239,429

    43,240

    1,337,686

    OTHER*

    2,176,034

    122,560

    310,073

    113,949

    69,465

    93,995

    96,966

    21,007

    3,004,048

    TOTAL

    2,274,154

    154,451

    495,509

    333,123

    234,584

    449,271

    336,395

    64,247

    4,341,734

    * 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

    1,426,814

    171,532

    948,454

    128,571

    OTHER*

    3,475,022

    915,839

    1,035,917

    581,315

    TOTAL

    4,901,836

    1,087,371

    1,984,371

    709,886

    * 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.