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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    1,369,673

    178,182

    1,547,855

    FRA

    1,651,919

    27,226

    1,679,145

    OIS

    767,949

    67,498

    835,447

    OTHER*

    172,341

    532,734

    705,075

    TOTAL

    3,961,882

    805,640

    4,767,522

    * 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

    904,436

    255,940

    54,773

    78,935

    53,148

    200,623

    1,547,855

    OTHER*

    2,373,307

    559,817

    112,375

    38,744

    55,476

    79,948

    3,219,667

    TOTAL

    3,277,743

    815,757

    167,148

    117,679

    108,624

    280,571

    4,767,522

    * 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

    103,690

    36,379

    250,247

    283,426

    161,682

    414,985

    256,428

    41,018

    1,547,855

    OTHER*

    2,316,442

    222,693

    294,589

    77,585

    90,776

    92,782

    110,467

    14,332

    3,219,667

    TOTAL

    2,420,132

    259,072

    544,836

    361,011

    252,458

    507,767

    366,895

    55,350

    4,767,522

    * 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

    1,606,756

    185,109

    1,132,590

    171,256

    OTHER*

    4,112,787

    740,326

    1,071,631

    514,589

    TOTAL

    5,719,543

    925,435

    2,204,221

    685,845

    * 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.