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Gross Notional Outstanding - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    Total

    Fixed-Float

    79,109,603

    34,969,043

    114,078,646

    FRA

    33,337,822

    2,286,662

    35,624,484

    OIS

    29,002,230

    7,201,697

    36,203,928

    OTHER*

    14,619,261

    47,469,920

    62,089,181

    TOTAL

    156,068,917

    91,927,322

    247,996,238

    * Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, and Swaption.

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    Other

    Total

    Basis

    13,916,468

    2,334,359

    3,438,279

    2,808,856

    1,734,868

    1,507,372

    25,740,202

    Fixed-Float

    40,641,786

    30,283,482

    7,825,912

    8,735,316

    6,078,400

    20,513,750

    114,078,646

    FRA

    16,417,811

    11,674,604

    3,973,754

    13,578

    381

    3,544,357

    35,624,484

    OIS

    12,373,112

    11,247,795

    5,555,748

    283,272

    4,531,929

    2,212,072

    36,203,928

    Swaption

    9,579,199

    5,242,747

    1,537,331

    1,058,321

    229,568

    175,656

    17,822,822

    OTHER*

    9,413,068

    6,196,665

    2,184,584

    174,775

    64,359

    492,704

    18,526,156

    TOTAL

    102,341,444

    66,979,652

    24,515,608

    13,074,118

    12,639,506

    28,445,911

    247,996,238

    * Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60+

    Total

    Basis

    127,765

    831,483

    3,249,951

    3,833,404

    5,945,147

    11,752,452

    25,740,202

    Fixed-Float

    1,842,385

    3,355,719

    9,718,605

    15,094,771

    23,361,802

    60,705,364

    114,078,646

    FRA

    6,810,358

    8,186,865

    13,707,196

    6,315,439

    603,163

    1,462

    35,624,484

    OIS

    6,377,902

    8,514,682

    10,594,469

    6,425,379

    2,288,059

    2,003,437

    36,203,928

    Swaption

    1,482,017

    2,205,691

    3,752,284

    2,446,723

    2,660,230

    5,275,877

    17,822,822

    OTHER*

    216,436

    1,014,859

    2,193,384

    2,309,853

    4,192,982

    8,598,643

    18,526,156

    TOTAL

    16,856,863

    24,109,299

    43,215,890

    36,425,569

    39,051,383

    88,337,236

    247,996,238

    * Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    112,164,091

    41,594,975

    46,055,115

    28,343,111

    FRA

    56,980,498

    3,030,078

    9,695,147

    1,543,246

    OIS

    40,898,412

    8,588,572

    17,106,048

    5,814,823

    OTHER*

    25,096,075

    70,831,672

    4,142,447

    24,108,168

    TOTAL

    235,139,076

    124,045,296

    76,998,757

    59,809,348

    * Includes the following products: Basis, Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

    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.