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Gross Notional Outstanding - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    123,948,819

    61,280,121

    185,228,941

    FRA

    48,104,995

    6,476,003

    54,580,998

    OIS

    42,334,229

    9,830,814

    52,165,043

    OTHER*

    6,680,136

    42,830,350

    49,510,484

    TOTAL

    221,068,179

    120,417,288

    341,485,466

    * 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

    13,461,751

    13,461,751

    Cross-Currency Fixed-Fixed

    0

    463,799

    463,799

    Cross-Currency Fixed-Float

    0

    1,382,659

    1,382,659

    TOTAL

    0

    15,308,209

    15,308,209

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Basis

    7,756,923

    511,866

    2,478,710

    1,552,499

    499,823

    140,661

    249,505

    13,189,987

    Fixed-Float

    80,839,470

    52,613,128

    14,022,978

    13,701,827

    5,813,094

    4,818,508

    13,419,936

    185,228,941

    FRA

    18,502,217

    22,767,836

    9,001,378

    8,840

    320,702

    19,609

    3,960,416

    54,580,998

    OIS

    8,833,741

    22,379,824

    17,259,577

    140,906

    1,808,438

    772,491

    970,066

    52,165,043

    Swaption

    9,550,193

    7,258,521

    1,726,137

    1,935,694

    360,959

    21,023

    292,540

    21,145,066

    OTHER*

    8,457,835

    4,760,679

    1,353,430

    233,437

    85,828

    100,604

    183,619

    15,175,431

    TOTAL

    133,940,379

    110,291,854

    45,842,210

    17,573,203

    8,888,844

    5,872,896

    19,076,082

    341,485,466

    * 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

    8,893,116

    1,875,704

    570,832

    903,257

    658,148

    153,393

    407,302

    13,461,751

    Cross-Currency Fixed-Fixed

    221,104

    82,572

    62,955

    31,036

    7,219

    21,968

    36,945

    463,799

    Cross-Currency Fixed-Float

    327,467

    155,439

    47,602

    56,355

    55,286

    14,301

    726,209

    1,382,659

    TOTAL

    9,441,687

    2,113,715

    681,389

    990,648

    720,653

    189,662

    1,170,456

    15,308,209

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60+

    TOTAL

    Basis

    65,800

    57,952

    718,210

    1,859,227

    3,790,129

    6,698,670

    13,189,987

    Fixed-Float

    5,502,053

    1,231,901

    9,931,514

    20,812,161

    45,932,675

    101,818,637

    185,228,941

    FRA

    7,709,081

    10,842,224

    21,291,885

    13,456,805

    1,273,157

    7,846

    54,580,998

    OIS

    6,685,675

    11,799,372

    16,904,762

    10,399,946

    4,619,703

    1,755,585

    52,165,043

    Swaption

    1,470,391

    1,318,740

    3,180,055

    3,310,972

    4,284,832

    7,580,077

    21,145,066

    OTHER*

    3,574,844

    217,356

    478,095

    915,669

    2,902,541

    7,086,929

    15,175,431

    TOTAL

    25,007,844

    25,467,545

    52,504,521

    50,754,780

    62,803,037

    124,947,744

    341,485,466

    * 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

    81,971

    292,362

    904,847

    1,622,097

    3,128,856

    7,431,618

    13,461,751

    Cross-Currency Fixed-Fixed

    7,222

    2,114

    4,446

    9,365

    59,941

    380,711

    463,799

    Cross-Currency Fixed-Float

    24,888

    22,966

    220,048

    178,702

    306,145

    629,911

    1,382,659

    TOTAL

    114,081

    317,442

    1,129,341

    1,810,164

    3,494,942

    8,442,240

    15,308,209

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    217,483,339

    80,555,775

    30,414,299

    42,004,468

    FRA

    90,723,085

    11,232,377

    5,486,905

    1,719,630

    OIS

    76,601,498

    14,098,023

    8,066,960

    5,563,605

    OTHER*

    12,958,968

    65,778,549

    401,303

    19,882,151

    TOTAL

    397,766,890

    171,664,724

    44,369,467

    69,169,854

    * 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

    25,046,472

    0

    1,877,031

    Cross-Currency Fixed-Fixed

    0

    527,600

    0

    399,998

    Cross-Currency Fixed-Float

    0

    2,078,673

    0

    686,646

    TOTAL

    0

    27,652,745

    0

    2,963,675

    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.