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Gross Notional Outstanding - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    94,473,933

    51,230,805

    145,704,738

    FRA

    35,379,984

    2,058,244

    37,438,228

    OIS

    23,106,383

    5,228,521

    28,334,903

    OTHER*

    7,545,371

    41,059,782

    48,605,153

    TOTAL

    160,505,671

    99,577,352

    260,083,022

    * 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

    8,475,041

    8,475,041

    Cross-Currency Fixed-Fixed

    0

    489,128

    489,128

    Cross-Currency Fixed-Float

    0

    2,460,827

    2,460,827

    TOTAL

    0

    11,424,996

    11,424,996

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Basis

    7,373,461

    537,466

    2,536,978

    1,217,889

    594,871

    138,093

    234,083

    12,632,841

    Fixed-Float

    66,126,540

    33,471,600

    10,910,754

    12,798,030

    4,683,970

    4,316,089

    13,397,755

    145,704,738

    FRA

    16,088,287

    11,864,718

    6,186,106

    5,553

    245,359

    5,565

    3,042,640

    37,438,228

    OIS

    8,807,310

    10,179,422

    6,147,411

    178,319

    1,270,963

    587,443

    1,164,036

    28,334,903

    Swaption

    9,046,557

    6,128,700

    1,967,286

    1,551,573

    273,062

    29,443

    224,434

    19,221,055

    OTHER*

    9,047,082

    5,328,236

    1,547,977

    281,262

    76,760

    105,758

    364,182

    16,751,257

    TOTAL

    116,489,237

    67,510,142

    29,296,512

    16,032,626

    7,144,985

    5,182,391

    18,427,130

    260,083,022

    * 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

    4,399,456

    1,474,206

    584,154

    901,553

    552,811

    175,082

    387,779

    8,475,041

    Cross-Currency Fixed-Fixed

    245,413

    94,396

    54,612

    25,679

    6,144

    23,497

    39,386

    489,128

    Cross-Currency Fixed-Float

    993,479

    137,223

    52,473

    44,840

    45,122

    10,161

    1,177,529

    2,460,827

    TOTAL

    5,638,348

    1,705,825

    691,239

    972,072

    604,077

    208,740

    1,604,694

    11,424,996

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60+

    TOTAL

    Basis

    50,921

    60,752

    534,416

    1,363,563

    3,546,901

    7,076,290

    12,632,841

    Fixed-Float

    3,936,726

    1,219,768

    9,614,285

    16,362,953

    32,550,407

    82,020,598

    145,704,738

    FRA

    5,749,841

    9,382,270

    13,794,718

    7,548,628

    956,635

    6,136

    37,438,228

    OIS

    3,501,225

    5,897,410

    7,815,989

    5,544,223

    3,386,908

    2,189,148

    28,334,903

    Swaption

    1,199,636

    1,300,154

    3,136,949

    2,753,959

    3,678,432

    7,151,925

    19,221,055

    OTHER*

    436,853

    240,891

    972,598

    1,183,583

    5,401,329

    8,516,002

    16,751,257

    TOTAL

    14,875,202

    18,101,245

    35,868,955

    34,756,909

    49,520,612

    106,960,099

    260,083,022

    * 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

    44,371

    122,315

    774,942

    873,164

    2,002,649

    4,657,600

    8,475,041

    Cross-Currency Fixed-Fixed

    3,583

    1,389

    10,980

    13,312

    62,058

    397,807

    489,128

    Cross-Currency Fixed-Float

    14,420

    20,149

    206,769

    292,170

    533,629

    1,393,690

    2,460,827

    TOTAL

    62,374

    143,853

    992,691

    1,178,646

    2,598,336

    6,449,097

    11,424,996

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    158,340,973

    64,847,292

    30,606,893

    37,614,319

    FRA

    66,193,932

    3,300,783

    4,566,036

    815,704

    OIS

    40,224,074

    7,609,241

    5,988,691

    2,847,801

    OTHER*

    14,494,748

    61,754,151

    595,994

    20,365,413

    TOTAL

    279,253,727

    137,511,467

    41,757,614

    61,643,237

    * 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

    15,285,477

    0

    1,664,604

    Cross-Currency Fixed-Fixed

    0

    575,222

    0

    403,034

    Cross-Currency Fixed-Float

    0

    3,334,118

    0

    1,587,536

    TOTAL

    0

    19,194,817

    0

    3,655,174

    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.