Font Size: AAA // Print // Bookmark

Gross Notional Outstanding - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    117,719,582

    69,066,896

    186,786,478

    FRA

    48,461,573

    7,764,805

    56,226,378

    OIS

    31,194,275

    9,484,066

    40,678,340

    Swaption

    -

    19,810,221

    19,810,221

    OTHER*

    6,564,124

    23,268,530

    29,832,656

    TOTAL

    203,939,554

    129,394,518

    333,334,073

    * OTHER variable includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

    CrossCurrency by Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Cross-Currency Basis

    -

    13,735,791

    13,735,791

    Cross-Currency Fixed-Fixed

    -

    394,149

    394,149

    Cross-Currency Fixed-Float

    -

    1,346,122

    1,346,122

    TOTAL

    -

    15,476,062

    15,476,062

    IRS by Product & Major Currency

    Product1

    USD

    EUR3

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Basis

    7,661,165

    574,417

    2,441,004

    1,958,330

    401,804

    145,832

    238,390

    13,420,942

    Fixed-Float

    73,422,863

    59,612,257

    13,219,830

    17,136,195

    5,458,232

    4,820,262

    13,116,839

    186,786,478

    FRA

    16,104,626

    27,082,536

    8,753,354

    9,978

    290,100

    49,422

    3,936,361

    56,226,378

    OIS

    5,947,464

    24,132,331

    6,701,810

    111,491

    1,627,604

    1,210,847

    946,793

    40,678,340

    Swaption

    7,883,906

    7,593,988

    1,365,981

    2,284,282

    377,682

    21,095

    283,286

    19,810,221

    OTHER*

    8,861,214

    5,637,466

    1,160,996

    296,043

    122,714

    98,873

    234,406

    16,411,714

    TOTAL

    119,881,238

    124,632,995

    33,642,975

    21,796,319

    8,278,136

    6,346,331

    18,756,075

    333,334,073

    *OTHER variable includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

    CrossCurrency by Major Currency

    Product1

    USD

    EUR3

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Cross-Currency Basis

    9,166,887

    2,040,889

    563,268

    822,734

    613,759

    144,531

    383,722

    13,735,791

    Cross-Currency Fixed-Fixed

    171,307

    64,572

    51,081

    34,841

    9,218

    28,605

    34,526

    394,149

    Cross-Currency Fixed-Float

    339,758

    151,894

    41,666

    63,269

    53,289

    15,856

    680,390

    1,346,122

    TOTAL

    9,677,952

    2,257,355

    656,015

    920,844

    676,266

    188,992

    1,098,638

    15,476,062

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60+

    TOTAL

    Basis

    96,914

    77,275

    910,571

    2,529,035

    3,680,772

    6,126,374

    13,420,942

    Fixed-Float

    2,779,908

    1,159,192

    9,138,627

    22,904,936

    43,983,890

    106,819,925

    186,786,478

    FRA

    8,062,890

    11,736,997

    21,421,978

    13,683,538

    1,312,624

    8,350

    56,226,378

    OIS

    7,552,786

    4,587,067

    11,521,644

    11,543,259

    4,114,406

    1,359,179

    40,678,340

    Swaption

    1,097,917

    1,258,199

    2,934,264

    3,070,931

    3,981,028

    7,467,882

    19,810,221

    OTHER*

    3,843,234

    214,434

    648,352

    979,910

    3,021,961

    7,703,820

    16,411,714

    TOTAL

    23,433,649

    19,033,164

    46,575,436

    54,711,609

    60,094,681

    129,485,530

    333,334,073

    *OTHER variable includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

    CrossCurrency by Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60+

    TOTAL

    Cross-Currency Basis

    379,163

    67,446

    753,807

    1,741,663

    3,046,626

    7,747,086

    13,735,791

    Cross-Currency Fixed-Fixed

    7,379

    539

    4,025

    7,475

    54,105

    320,626

    394,149

    Cross-Currency Fixed-Float

    19,926

    12,752

    171,177

    172,706

    322,934

    646,627

    1,346,122

    TOTAL

    406,468

    80,737

    929,009

    1,921,844

    3,423,665

    8,714,339

    15,476,062

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    209,934,395

    92,460,548

    25,504,768

    45,673,244

    FRA

    91,242,460

    12,913,649

    5,680,686

    2,615,961

    OIS

    53,503,487

    13,621,479

    8,885,062

    5,346,652

    OTHER*

    12,303,202

    65,097,754

    825,048

    21,059,746

    TOTAL

    366,983,544

    184,093,430

    40,895,564

    74,695,603

    *OTHER variable includes the following products: Basis, Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

    CrossCurrency by Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Cross-Currency Basis

    -

    25,188,167

    -

    2,283,414

    Cross-Currency Fixed-Fixed

    -

    438,741

    -

    349,558

    Cross-Currency Fixed-Float

    -

    2,005,440

    -

    686,804

    TOTAL

    -

    27,632,348

    -

    3,319,776

    NOTES

    Gross notional amount outstanding, April 11 weekly snapshot, by product type and cleared status (millions of USD), all participant types, tenors and currencies. For cleared swaps, this table reflects only one of the two swaps that results from the clearing process; therefore, the numbers on this table are analogous to the notional value of futures open interest.

    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.