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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    1,320,985

    186,780

    1,507,764

    FRA

    149,988

    37,156

    187,144

    OIS

    259,430

    67,594

    327,024

    OTHER*

    14,436

    336,465

    350,902

    TOTAL

    1,744,839

    627,995

    2,372,834

    * 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

    103,266

    103,266

    Cross-Currency Fixed-Fixed

    0

    1,393

    1,393

    Cross-Currency Fixed-Float

    0

    10,845

    10,845

    TOTAL

    0

    115,504

    115,504

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Fixed-Float

    1,035,085

    176,345

    129,608

    34,280

    11,641

    10,164

    110,642

    1,507,764

    OTHER*

    476,490

    117,780

    123,004

    16,979

    72,117

    4,239

    54,462

    865,070

    TOTAL

    1,511,575

    294,125

    252,612

    51,259

    83,758

    14,403

    165,104

    2,372,834

    * 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*

    20,242

    35,593

    6,990

    22,924

    7,762

    9,349

    12,646

    115,504

    * 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

    104,383

    10,992

    243,634

    267,625

    167,448

    359,886

    292,658

    61,139

    1,507,764

    OTHER*

    455,060

    35,127

    109,015

    72,515

    34,545

    56,853

    85,521

    16,432

    865,070

    TOTAL

    559,443

    46,119

    352,649

    340,140

    201,993

    416,739

    378,179

    77,571

    2,372,834

    * 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*

    7,794

    6,819

    23,893

    21,001

    17,613

    27,270

    9,670

    1,443

    115,504

    * 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

    1,445,475

    216,930

    1,196,495

    156,630

    OTHER*

    393,971

    628,035

    453,738

    254,394

    TOTAL

    1,839,446

    844,965

    1,650,233

    411,024

    * 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

    196,077

    0

    34,933

    * 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.