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Gross Notional Outstanding - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    110,594,765

    66,582,793

    177,177,559

    FRA

    48,989,068

    8,254,133

    57,243,201

    OIS

    40,933,969

    12,184,770

    53,118,739

    OTHER*

    6,443,166

    43,545,418

    49,988,584

    TOTAL

    206,960,968

    130,567,114

    337,528,083

    * OTHER variable 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

    -

    13,779,439

    13,779,439

    Cross-Currency Fixed-Fixed

    -

    455,718

    455,718

    Cross-Currency Fixed-Float

    -

    1,405,004

    1,405,004

    TOTAL

    -

    15,640,161

    15,640,161

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Basis

    7,585,991

    549,584

    2,564,215

    1,787,100

    440,645

    148,550

    241,738

    13,317,823

    Fixed-Float

    66,303,184

    57,777,054

    14,338,778

    15,760,118

    5,416,141

    4,583,077

    12,999,206

    177,177,559

    FRA

    17,036,855

    26,598,315

    9,359,425

    20,840

    298,846

    44,104

    3,884,817

    57,243,201

    OIS

    6,172,477

    30,412,608

    12,866,625

    93,344

    1,785,864

    865,027

    922,794

    53,118,739

    Swaption

    7,946,260

    7,788,311

    1,656,434

    2,172,435

    404,351

    19,141

    260,491

    20,247,425

    OTHER*

    8,606,655

    5,756,042

    1,367,248

    277,072

    101,784

    97,455

    217,083

    16,423,336

    TOTAL

    113,651,422

    128,881,914

    42,152,725

    20,110,909

    8,447,631

    5,757,354

    18,526,129

    337,528,083

    *OTHER variable 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

    9,002,918

    2,049,031

    611,356

    885,252

    679,067

    152,696

    399,118

    13,779,439

    Cross-Currency Fixed-Fixed

    203,738

    78,215

    65,310

    34,017

    8,062

    30,786

    35,592

    455,718

    Cross-Currency Fixed-Float

    355,384

    160,701

    48,163

    59,957

    58,247

    15,593

    706,959

    1,405,004

    TOTAL

    9,562,040

    2,287,947

    724,829

    979,226

    745,376

    199,075

    1,141,669

    15,640,161

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60+

    TOTAL

    Basis

    98,135

    66,659

    810,605

    2,222,029

    3,714,756

    6,405,638

    13,317,823

    Fixed-Float

    2,219,307

    1,024,832

    7,809,675

    21,068,857

    44,972,256

    100,082,633

    177,177,559

    FRA

    7,839,156

    11,967,668

    22,381,896

    13,715,795

    1,330,472

    8,214

    57,243,201

    OIS

    11,210,186

    8,761,323

    15,593,656

    11,397,812

    4,544,555

    1,611,207

    53,118,739

    Swaption

    896,600

    1,379,656

    2,915,449

    3,166,976

    4,119,729

    7,769,016

    20,247,425

    OTHER*

    3,632,313

    231,921

    505,318

    971,973

    3,024,879

    8,056,931

    16,423,336

    TOTAL

    25,895,697

    23,432,059

    50,016,599

    52,543,442

    61,706,647

    123,933,639

    337,528,083

    *OTHER variable 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

    140,915

    115,218

    770,034

    1,712,391

    3,131,209

    7,909,673

    13,779,439

    Cross-Currency Fixed-Fixed

    5,760

    446

    3,791

    8,634

    63,703

    373,385

    455,718

    Cross-Currency Fixed-Float

    21,969

    14,086

    184,966

    182,418

    334,080

    667,485

    1,405,004

    TOTAL

    168,644

    129,750

    958,791

    1,903,443

    3,528,992

    8,950,543

    15,640,161

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    198,136,000

    88,083,692

    23,053,530

    45,081,895

    FRA

    92,359,598

    14,311,010

    5,618,538

    2,197,256

    OIS

    69,200,073

    16,867,670

    12,667,865

    7,501,871

    OTHER*

    12,455,876

    66,480,779

    430,456

    20,610,057

    TOTAL

    372,151,547

    185,743,151

    41,770,389

    75,391,079

    *OTHER variable 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

    -

    25,218,961

    -

    2,339,916

    Cross-Currency Fixed-Fixed

    -

    523,287

    -

    388,149

    Cross-Currency Fixed-Float

    -

    2,086,680

    -

    723,328

    TOTAL

    -

    27,828,928

    -

    3,451,393

    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.