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Gross Notional Outstanding - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    72,340,427

    52,506,560

    124,846,988

    FRA

    39,901,077

    2,289,640

    42,190,717

    OIS

    24,943,232

    6,286,573

    31,229,805

    OTHER*

    7,267,264

    39,484,744

    46,752,009

    TOTAL

    144,452,000

    100,567,517

    245,019,519

    * 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

    8,412,670

    8,412,670

    Cross-Currency Fixed-Fixed

    0

    464,884

    464,884

    Cross-Currency Fixed-Float

    0

    1,858,600

    1,858,600

    TOTAL

    0

    10,736,154

    10,736,154

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Basis

    7,230,118

    501,386

    2,464,301

    1,298,656

    576,112

    149,117

    256,472

    12,476,163

    Fixed-Float

    49,135,428

    31,649,456

    8,282,226

    12,463,386

    5,391,368

    4,266,952

    13,658,171

    124,846,988

    FRA

    17,880,017

    14,357,319

    6,465,240

    210

    264,717

    11,189

    3,212,027

    42,190,717

    OIS

    8,438,154

    11,444,671

    7,238,137

    175,564

    2,198,566

    708,438

    1,026,276

    31,229,805

    Swaption

    8,599,585

    6,031,417

    1,866,875

    1,626,499

    291,922

    24,597

    239,234

    18,680,129

    OTHER*

    8,142,866

    5,166,330

    1,428,462

    278,810

    85,244

    107,601

    386,401

    15,595,717

    TOTAL

    99,426,168

    69,150,579

    27,745,241

    15,843,125

    8,807,929

    5,267,894

    18,778,581

    245,019,519

    * 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

    4,432,828

    1,447,428

    537,675

    870,638

    559,529

    175,905

    388,668

    8,412,670

    Cross-Currency Fixed-Fixed

    238,394

    82,991

    47,181

    26,614

    6,331

    24,753

    38,619

    464,884

    Cross-Currency Fixed-Float

    356,319

    148,169

    44,666

    46,745

    47,659

    11,023

    1,204,019

    1,858,600

    TOTAL

    5,027,541

    1,678,588

    629,522

    943,997

    613,519

    211,681

    1,631,306

    10,736,154

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60+

    TOTAL

    Basis

    64,187

    57,925

    520,595

    1,414,538

    3,542,498

    6,876,421

    12,476,163

    Fixed-Float

    552,808

    1,162,163

    5,621,001

    13,037,309

    30,726,201

    73,747,504

    124,846,988

    FRA

    6,279,578

    10,305,464

    15,628,750

    8,880,151

    1,090,544

    6,231

    42,190,717

    OIS

    3,706,690

    5,616,960

    9,554,357

    6,787,086

    3,498,974

    2,065,738

    31,229,805

    Swaption

    891,899

    1,132,220

    3,239,208

    2,879,672

    3,723,411

    6,813,720

    18,680,129

    OTHER*

    619,704

    213,451

    707,748

    1,114,923

    4,457,583

    8,482,308

    15,595,717

    TOTAL

    12,114,866

    18,488,183

    35,271,659

    34,113,679

    47,039,211

    97,991,922

    245,019,519

    * 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

    51,181

    113,132

    717,106

    826,053

    1,888,107

    4,817,091

    8,412,670

    Cross-Currency Fixed-Fixed

    3,820

    1,707

    10,693

    14,245

    58,409

    376,011

    464,884

    Cross-Currency Fixed-Float

    16,717

    19,820

    222,103

    175,679

    307,665

    1,116,617

    1,858,600

    TOTAL

    71,718

    134,659

    949,902

    1,015,977

    2,254,181

    6,309,719

    10,736,154

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    126,711,527

    66,272,369

    17,969,328

    38,740,752

    FRA

    75,713,478

    3,726,257

    4,088,677

    853,023

    OIS

    44,341,438

    9,587,412

    5,545,026

    2,985,733

    OTHER*

    14,026,075

    59,789,702

    508,455

    19,179,785

    TOTAL

    260,792,518

    139,375,740

    28,111,486

    61,759,294

    * 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

    15,258,736

    0

    1,566,604

    Cross-Currency Fixed-Fixed

    0

    540,884

    0

    388,884

    Cross-Currency Fixed-Float

    0

    2,519,915

    0

    1,197,284

    TOTAL

    0

    18,319,535

    0

    3,152,772

    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.