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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    641,108

    92,391

    733,499

    FRA

    1,296,082

    14,929

    1,311,011

    OIS

    262,430

    98,209

    360,640

    OTHER*

    73,554

    462,703

    536,258

    TOTAL

    2,273,174

    668,232

    2,941,408

    * 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

    CAD

    Other

    TOTAL

    Fixed-Float

    448,448

    46,314

    33,531

    72,581

    15,142

    16,791

    100,692

    733,499

    OTHER*

    1,460,512

    359,240

    118,090

    81,009

    94,415

    16,234

    78,407

    2,207,909

    TOTAL

    1,908,960

    405,554

    151,621

    153,590

    109,557

    33,025

    179,099

    2,941,408

    * 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

    39,144

    16,720

    84,602

    134,192

    102,515

    195,403

    129,123

    31,799

    733,499

    OTHER*

    1,522,341

    176,037

    189,752

    89,169

    51,163

    90,262

    74,232

    14,957

    2,207,909

    TOTAL

    1,561,485

    192,757

    274,354

    223,361

    153,678

    285,665

    203,355

    46,756

    2,941,408

    * 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

    754,445

    114,276

    527,770

    70,505

    OTHER*

    3,196,574

    820,126

    67,558

    331,559

    TOTAL

    3,951,019

    934,402

    595,328

    402,064

    * 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.