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Gross Notional Outstanding - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    121,919,441

    62,459,416

    184,378,857

    FRA

    45,959,472

    6,401,167

    52,360,638

    OIS

    41,576,696

    9,625,599

    51,202,294

    OTHER*

    6,341,511

    42,104,652

    48,446,163

    TOTAL

    215,797,120

    120,590,834

    336,387,952

    * 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

    13,470,482

    13,470,482

    Cross-Currency Fixed-Fixed

    0

    444,090

    444,090

    Cross-Currency Fixed-Float

    0

    1,383,919

    1,383,919

    TOTAL

    0

    15,298,491

    15,298,491

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Basis

    7,286,301

    493,173

    2,469,645

    1,561,789

    463,230

    140,646

    242,070

    12,656,854

    Fixed-Float

    79,935,254

    52,934,615

    14,370,214

    13,863,979

    5,565,761

    4,721,949

    12,987,083

    184,378,857

    FRA

    17,731,026

    21,695,540

    8,875,398

    7,364

    285,697

    24,315

    3,741,298

    52,360,638

    OIS

    8,336,307

    21,133,151

    18,118,086

    124,749

    1,767,414

    752,739

    969,847

    51,202,294

    Swaption

    9,288,610

    7,060,829

    1,717,892

    2,035,984

    363,244

    20,632

    271,590

    20,758,782

    OTHER*

    8,357,194

    4,751,231

    1,318,429

    248,575

    75,411

    102,711

    176,978

    15,030,527

    TOTAL

    130,934,692

    108,068,539

    46,869,664

    17,842,440

    8,520,757

    5,762,992

    18,388,866

    336,387,952

    * 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

    8,996,942

    1,884,126

    560,836

    855,848

    637,484

    147,961

    387,285

    13,470,482

    Cross-Currency Fixed-Fixed

    207,674

    74,211

    58,524

    32,271

    6,847

    29,038

    35,526

    444,090

    Cross-Currency Fixed-Float

    352,035

    150,897

    47,271

    59,304

    56,365

    14,006

    704,041

    1,383,919

    TOTAL

    9,556,651

    2,109,234

    666,631

    947,423

    700,696

    191,005

    1,126,852

    15,298,491

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60+

    TOTAL

    Basis

    72,806

    68,184

    686,147

    1,842,716

    3,570,238

    6,416,762

    12,656,854

    Fixed-Float

    5,106,556

    1,199,426

    9,866,097

    20,823,114

    45,765,339

    101,618,324

    184,378,857

    FRA

    6,522,999

    10,777,649

    20,705,071

    13,113,996

    1,233,038

    7,886

    52,360,638

    OIS

    6,081,835

    11,112,911

    17,157,207

    10,593,645

    4,549,681

    1,707,016

    51,202,294

    Swaption

    1,433,676

    1,382,724

    3,159,174

    3,220,568

    4,222,926

    7,339,714

    20,758,782

    OTHER*

    3,586,164

    205,293

    479,977

    917,860

    2,842,163

    6,999,069

    15,030,527

    TOTAL

    22,804,036

    24,746,187

    52,053,673

    50,511,899

    62,183,385

    124,088,771

    336,387,952

    * 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

    75,228

    263,735

    846,430

    1,577,016

    3,139,607

    7,568,467

    13,470,482

    Cross-Currency Fixed-Fixed

    2,802

    2,335

    3,995

    8,777

    59,442

    366,738

    444,090

    Cross-Currency Fixed-Float

    22,277

    18,357

    198,566

    186,304

    327,402

    631,013

    1,383,919

    TOTAL

    100,307

    284,427

    1,048,991

    1,772,097

    3,526,451

    8,566,218

    15,298,491

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    214,004,551

    82,857,359

    29,834,331

    42,061,472

    FRA

    87,133,512

    11,300,731

    4,785,432

    1,501,603

    OIS

    73,744,023

    13,879,644

    9,409,368

    5,371,553

    OTHER*

    12,319,501

    64,111,135

    363,521

    20,098,166

    TOTAL

    387,201,587

    172,148,869

    44,392,652

    69,032,794

    * 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

    24,831,091

    0

    2,109,872

    Cross-Currency Fixed-Fixed

    0

    505,293

    0

    382,887

    Cross-Currency Fixed-Float

    0

    2,061,804

    0

    706,033

    TOTAL

    0

    27,398,188

    0

    3,198,792

    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.