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Gross Notional Outstanding - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    127,153,896

    60,894,868

    188,048,764

    FRA

    50,547,889

    6,060,847

    56,608,736

    OIS

    38,511,416

    9,446,022

    47,957,438

    OTHER*

    6,787,108

    41,872,534

    48,659,642

    TOTAL

    223,000,309

    118,274,271

    341,274,580

    * 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

    13,625,856

    13,625,856

    Cross-Currency Fixed-Fixed

    0

    477,245

    477,245

    Cross-Currency Fixed-Float

    0

    1,356,879

    1,356,879

    TOTAL

    0

    15,459,980

    15,459,980

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Basis

    7,732,117

    516,220

    2,477,961

    1,264,624

    509,846

    144,259

    251,928

    12,896,954

    Fixed-Float

    82,814,927

    53,692,704

    13,957,033

    13,220,805

    5,847,247

    4,936,413

    13,579,635

    188,048,764

    FRA

    18,641,304

    24,118,069

    9,334,776

    8,394

    299,504

    19,716

    4,186,972

    56,608,736

    OIS

    9,309,363

    21,624,097

    13,494,219

    130,815

    1,669,809

    760,120

    969,015

    47,957,438

    Swaption

    9,341,562

    6,948,332

    1,751,809

    1,841,255

    375,285

    21,394

    283,640

    20,563,277

    OTHER*

    8,555,050

    4,651,307

    1,400,510

    230,184

    75,824

    104,110

    182,423

    15,199,411

    TOTAL

    136,394,323

    111,550,729

    42,416,308

    16,696,077

    8,777,515

    5,986,012

    19,453,613

    341,274,580

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

    CrossCurrency by Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Cross-Currency Basis

    9,045,806

    1,896,769

    566,134

    879,227

    673,716

    154,709

    409,494

    13,625,856

    Cross-Currency Fixed-Fixed

    232,362

    88,581

    61,533

    26,339

    6,157

    24,258

    38,015

    477,245

    Cross-Currency Fixed-Float

    330,036

    160,040

    47,464

    50,428

    54,952

    13,178

    700,780

    1,356,879

    TOTAL

    9,608,204

    2,145,390

    675,131

    955,994

    734,825

    192,145

    1,148,289

    15,459,980

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60+

    TOTAL

    Basis

    65,582

    42,671

    700,038

    1,769,155

    3,719,647

    6,599,860

    12,896,954

    Fixed-Float

    5,813,564

    1,341,435

    10,236,976

    21,197,286

    46,735,202

    102,724,301

    188,048,764

    FRA

    9,132,358

    10,903,468

    21,695,335

    13,548,744

    1,321,017

    7,815

    56,608,736

    OIS

    5,764,126

    9,984,018

    15,936,202

    9,985,789

    4,472,278

    1,815,024

    47,957,438

    Swaption

    1,168,756

    1,260,469

    3,230,724

    3,296,787

    4,207,599

    7,398,942

    20,563,277

    OTHER*

    3,599,681

    199,000

    506,206

    928,615

    2,931,941

    7,033,969

    15,199,411

    TOTAL

    25,544,067

    23,731,061

    52,305,481

    50,726,376

    63,387,684

    125,579,911

    341,274,580

    * 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

    72,215

    263,790

    928,811

    1,608,465

    3,153,444

    7,599,132

    13,625,856

    Cross-Currency Fixed-Fixed

    7,432

    3,268

    5,143

    10,477

    60,327

    390,598

    477,245

    Cross-Currency Fixed-Float

    24,408

    22,740

    212,939

    174,017

    303,003

    619,772

    1,356,879

    TOTAL

    104,055

    289,798

    1,146,893

    1,792,959

    3,516,774

    8,609,502

    15,459,980

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    222,940,041

    79,820,235

    31,367,752

    41,969,500

    FRA

    95,142,551

    10,431,184

    5,953,226

    1,690,511

    OIS

    69,615,334

    13,383,974

    7,407,497

    5,508,071

    OTHER*

    13,140,864

    64,230,568

    433,351

    19,514,502

    TOTAL

    400,838,790

    167,865,961

    45,161,826

    68,682,584

    * 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

    0

    25,410,425

    0

    1,841,287

    Cross-Currency Fixed-Fixed

    0

    547,282

    0

    407,208

    Cross-Currency Fixed-Float

    0

    2,034,418

    0

    679,339

    TOTAL

    0

    27,992,125

    0

    2,927,834

    NOTES

    Gross notional amount outstanding, current 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.