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Transaction Dollar Volume - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    2,109,013

    159,977

    2,268,990

    FRA

    505,493

    47,111

    552,604

    OIS

    332,652

    160,564

    493,216

    OTHER*

    22,358

    245,044

    267,402

    TOTAL

    2,969,516

    612,696

    3,582,212

    *OTHER variable 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

    -

    64,370

    64,370

    Cross_Currency Fixed-Fixed

    -

    1,729

    1,729

    Cross_Currency Fixed-Float

    -

    7,993

    7,993

    TOTAL

    -

    74,092

    74,092

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Fixed-Float

    1,514,471

    337,777

    219,729

    74,090

    21,551

    33,439

    67,933

    2,268,990

    OTHER*

    717,208

    240,350

    134,996

    22,198

    145,610

    1,423

    51,437

    1,313,222

    TOTAL

    2,231,679

    578,127

    354,725

    96,288

    167,161

    34,862

    119,370

    3,582,212

    *OTHER variable 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

    11,039

    28,854

    3,008

    11,604

    8,538

    3,494

    7,554

    74,092

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60-120

    120-360

    360+

    TOTAL

    Fixed-Float

    643,831

    17,674

    454,224

    265,111

    221,762

    385,056

    224,908

    56,425

    2,268,990

    OTHER*

    949,910

    66,622

    114,622

    45,607

    29,791

    54,248

    45,559

    6,862

    1,313,222

    TOTAL

    1,593,741

    84,296

    568,846

    310,718

    251,553

    439,304

    270,467

    63,287

    3,582,212

    *OTHER variable 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

    12,290

    3,064

    16,524

    9,575

    9,972

    12,095

    8,401

    2,171

    74,092

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    1,584,195

    196,871

    2,471,676

    123,082

    OTHER*

    1,530,974

    649,649

    190,032

    255,788

    TOTAL

    3,115,169

    846,520

    2,661,708

    378,870

    *OTHER variable 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 Basis

    -

    93,399

    -

    35,341

    Cross-Currency Fixed-Fixed

    -

    1,803

    -

    1,655

    Cross-Currency Fixed-Float

    -

    10,688

    -

    5,298

    TOTAL

    -

    105,890

    -

    42,294

    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.