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Gross Notional Outstanding - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    118,988,874

    69,441,402

    188,430,276

    FRA

    47,551,100

    7,775,986

    55,327,086

    OIS

    32,999,875

    10,146,079

    43,145,954

    Swaption

    -

    20,539,199

    20,539,199

    OTHER*

    6,489,178

    24,136,413

    30,625,590

    TOTAL

    206,029,027

    132,039,079

    338,068,105

    * 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

    -

    14,192,946

    14,192,946

    Cross-Currency Fixed-Fixed

    -

    425,166

    425,166

    Cross-Currency Fixed-Float

    -

    1,344,266

    1,344,266

    TOTAL

    -

    15,962,378

    15,962,378

    IRS by Product & Major Currency

    Product1

    USD

    EUR3

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Basis

    7,801,931

    578,040

    2,504,993

    1,942,699

    397,658

    145,897

    235,028

    13,606,247

    Fixed-Float

    73,225,604

    61,421,197

    13,091,118

    17,615,283

    5,336,848

    4,778,730

    12,961,495

    188,430,276

    FRA

    16,159,519

    26,346,152

    8,651,559

    9,806

    297,605

    49,229

    3,813,216

    55,327,086

    OIS

    5,856,688

    27,114,553

    6,515,724

    111,570

    1,458,915

    1,205,850

    882,653

    43,145,954

    Swaption

    8,304,133

    7,820,614

    1,456,007

    2,265,544

    392,854

    21,938

    278,108

    20,539,199

    OTHER*

    9,159,514

    5,909,227

    1,192,165

    305,837

    122,716

    98,280

    231,606

    17,019,343

    TOTAL

    120,507,389

    129,189,783

    33,411,566

    22,250,739

    8,006,596

    6,299,924

    18,402,106

    338,068,105

    *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

    9,381,093

    2,216,198

    588,182

    856,546

    617,756

    146,847

    386,324

    14,192,946

    Cross-Currency Fixed-Fixed

    181,508

    75,568

    62,222

    34,099

    9,179

    27,555

    35,035

    425,166

    Cross-Currency Fixed-Float

    343,851

    161,548

    45,000

    62,938

    53,497

    15,718

    661,715

    1,344,266

    TOTAL

    9,906,452

    2,453,314

    695,404

    953,583

    680,432

    190,120

    1,083,074

    15,962,378

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60-120

    120-360

    360+

    TOTAL

    Basis

    1,364,589

    984,273

    2,065,130

    2,578,256

    3,546,289

    1,728,897

    1,253,471

    85,340

    13,606,247

    Fixed-Float

    10,584,977

    8,098,742

    15,982,470

    29,193,549

    62,250,768

    40,561,951

    19,775,703

    1,982,116

    188,430,276

    FRA

    25,700,426

    12,997,190

    12,978,305

    3,475,554

    175,612

    -

    -

    -

    55,327,086

    OIS

    18,385,701

    7,282,419

    9,466,445

    5,245,521

    2,069,975

    442,097

    234,160

    19,637

    43,145,954

    Swaption

    3,350,030

    1,932,917

    3,584,332

    3,964,483

    4,463,875

    2,226,526

    1,002,342

    14,693

    20,539,199

    OTHER*

    1,309,714

    759,147

    1,449,531

    2,261,438

    4,873,099

    3,916,873

    2,257,549

    191,994

    17,019,343

    TOTAL

    60,695,437

    32,054,688

    45,526,213

    46,718,801

    77,379,618

    48,876,344

    24,523,225

    2,293,780

    338,068,105

    *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

    1,303,797

    713,549

    2,599,020

    2,208,013

    3,684,257

    3,684,309

    14,192,946

    Cross-Currency Fixed-Fixed

    14,537

    15,752

    24,102

    47,986

    118,709

    204,080

    425,166

    Cross-Currency Fixed-Float

    148,960

    87,164

    194,625

    261,041

    412,711

    239,764

    1,344,266

    TOTAL

    1,467,294

    816,465

    2,817,747

    2,517,040

    4,215,677

    4,128,153

    15,962,378

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    212,571,199

    93,137,242

    25,406,549

    45,745,562

    FRA

    89,690,618

    12,959,327

    5,411,583

    2,592,645

    OIS

    56,284,311

    14,394,836

    9,715,438

    5,897,322

    OTHER*

    12,153,688

    67,774,470

    824,667

    21,576,753

    TOTAL

    370,699,816

    188,265,875

    41,358,237

    75,812,282

    *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

    -

    26,089,861

    -

    2,296,030

    Cross-Currency Fixed-Fixed

    -

    479,177

    -

    371,154

    Cross-Currency Fixed-Float

    -

    1,993,198

    -

    695,335

    TOTAL

    -

    28,562,236

    -

    3,362,519

    NOTES

    Gross notional amount outstanding, April 4 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.