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Gross Notional Outstanding - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    117,425,054

    70,838,218

    188,263,272

    FRA

    49,313,231

    9,435,470

    58,748,701

    OIS

    39,293,002

    12,508,140

    51,801,142

    OTHER*

    6,462,005

    42,742,234

    49,204,240

    TOTAL

    212,493,292

    135,524,062

    348,017,355

    * 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

    -

    13,438,930

    13,438,930

    Cross-Currency Fixed-Fixed

    -

    424,735

    424,735

    Cross-Currency Fixed-Float

    -

    1,391,321

    1,391,321

    TOTAL

    -

    15,254,986

    15,254,986

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Basis

    7,524,850

    553,667

    2,565,818

    1,763,684

    446,105

    148,746

    241,536

    13,244,406

    Fixed-Float

    78,389,538

    56,943,419

    14,538,385

    15,239,290

    5,475,846

    4,677,383

    12,999,411

    188,263,272

    FRA

    18,050,142

    26,838,932

    9,566,831

    20,984

    293,374

    43,763

    3,934,676

    58,748,701

    OIS

    6,687,598

    26,951,363

    14,227,776

    99,653

    2,043,438

    824,791

    966,522

    51,801,142

    Swaption

    8,046,768

    7,669,297

    1,550,278

    2,141,410

    379,359

    19,379

    255,232

    20,061,723

    OTHER*

    8,221,082

    5,659,196

    1,331,874

    270,856

    100,625

    96,622

    217,857

    15,898,111

    TOTAL

    126,919,978

    124,615,874

    43,780,962

    19,535,877

    8,738,747

    5,810,684

    18,615,234

    348,017,355

    *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

    8,981,578

    1,882,481

    577,890

    823,421

    644,319

    146,326

    382,916

    13,438,930

    Cross-Currency Fixed-Fixed

    194,422

    67,287

    55,152

    34,577

    8,176

    30,494

    34,628

    424,735

    Cross-Currency Fixed-Float

    357,649

    148,957

    45,557

    60,824

    58,611

    15,201

    704,523

    1,391,321

    TOTAL

    9,533,649

    2,098,725

    678,599

    918,822

    711,106

    192,021

    1,122,067

    15,254,986

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60+

    TOTAL

    Basis

    97,863

    88,562

    813,740

    2,165,143

    3,702,469

    6,376,628

    13,244,406

    Fixed-Float

    3,976,898

    1,128,087

    9,533,581

    22,519,559

    46,941,212

    104,163,936

    188,263,272

    FRA

    8,525,545

    12,122,452

    22,841,639

    13,921,377

    1,329,488

    8,200

    58,748,701

    OIS

    8,254,988

    9,676,144

    16,190,579

    11,540,524

    4,522,072

    1,616,834

    51,801,142

    Swaption

    916,305

    1,389,216

    3,010,104

    3,196,349

    4,068,750

    7,480,998

    20,061,723

    OTHER*

    3,551,224

    200,992

    505,029

    930,544

    2,947,994

    7,762,330

    15,898,111

    TOTAL

    25,322,823

    24,605,453

    52,894,672

    54,273,496

    63,511,985

    127,408,926

    348,017,355

    *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

    132,095

    109,824

    702,623

    1,671,780

    3,052,077

    7,770,531

    13,438,930

    Cross-Currency Fixed-Fixed

    5,619

    630

    3,715

    8,726

    61,232

    344,813

    424,735

    Cross-Currency Fixed-Float

    20,181

    16,706

    190,401

    185,461

    327,288

    651,284

    1,391,321

    TOTAL

    157,895

    127,160

    896,739

    1,865,967

    3,440,597

    8,766,628

    15,254,986

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    208,845,662

    92,016,309

    26,004,445

    49,660,128

    FRA

    93,390,004

    15,784,197

    5,236,458

    3,086,744

    OIS

    66,846,437

    17,350,032

    11,739,567

    7,666,248

    OTHER*

    12,542,058

    65,168,042

    381,953

    20,316,427

    TOTAL

    381,624,161

    190,318,580

    43,362,423

    80,729,547

    *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

    -

    24,582,059

    -

    2,295,802

    Cross-Currency Fixed-Fixed

    -

    484,142

    -

    365,329

    Cross-Currency Fixed-Float

    -

    2,065,467

    -

    717,176

    TOTAL

    -

    27,131,668

    -

    3,378,307

    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.