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Gross Notional Outstanding - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    116,080,323

    77,138,372

    193,218,695

    FRA

    50,077,165

    9,013,386

    59,090,551

    OIS

    41,791,949

    10,386,017

    52,177,966

    OTHER*

    6,629,525

    43,168,435

    49,797,960

    TOTAL

    214,578,962

    139,706,210

    354,285,172

    * 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

    13,583,366

    13,583,366

    Cross-Currency Fixed-Fixed

    0

    453,966

    453,966

    Cross-Currency Fixed-Float

    0

    1,414,288

    1,414,288

    TOTAL

    0

    15,451,620

    15,451,620

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Basis

    7,762,465

    564,038

    2,475,288

    1,683,752

    466,661

    149,601

    244,286

    13,346,092

    Fixed-Float

    83,019,856

    56,522,686

    14,367,639

    15,109,271

    5,721,818

    5,048,977

    13,428,449

    193,218,695

    FRA

    19,315,200

    25,253,677

    9,994,594

    19,831

    299,224

    50,152

    4,157,872

    59,090,551

    OIS

    7,922,021

    24,032,342

    16,487,888

    105,192

    1,944,282

    773,041

    913,200

    52,177,966

    Swaption

    8,867,571

    7,617,584

    1,664,719

    2,068,925

    367,710

    19,614

    270,135

    20,876,259

    OTHER*

    8,337,424

    5,300,485

    1,319,478

    246,855

    90,155

    94,710

    186,503

    15,575,609

    TOTAL

    135,224,537

    119,290,812

    46,309,606

    19,233,826

    8,889,850

    6,136,095

    19,200,445

    354,285,172

    * 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

    8,927,345

    1,976,112

    568,281

    902,073

    659,511

    157,242

    392,802

    13,583,366

    Cross-Currency Fixed-Fixed

    208,095

    77,444

    61,955

    32,335

    8,674

    29,842

    35,620

    453,966

    Cross-Currency Fixed-Float

    357,450

    156,758

    47,823

    56,328

    59,517

    14,365

    722,047

    1,414,288

    TOTAL

    9,492,890

    2,210,314

    678,059

    990,736

    727,702

    201,449

    1,150,469

    15,451,620

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60+

    TOTAL

    Basis

    95,924

    97,562

    790,385

    2,087,109

    3,760,261

    6,514,850

    13,346,092

    Fixed-Float

    4,839,271

    1,224,614

    10,137,876

    22,540,227

    47,953,506

    106,523,201

    193,218,695

    FRA

    8,613,225

    11,965,895

    22,927,054

    14,216,002

    1,360,369

    8,006

    59,090,551

    OIS

    6,245,458

    10,540,086

    17,486,380

    11,579,811

    4,642,648

    1,683,582

    52,177,966

    Swaption

    1,215,109

    1,501,892

    3,020,019

    3,246,279

    4,233,749

    7,659,211

    20,876,259

    OTHER*

    3,474,227

    205,907

    485,426

    951,278

    2,946,261

    7,512,508

    15,575,609

    TOTAL

    24,483,214

    25,535,956

    54,847,140

    54,620,706

    64,896,794

    129,901,358

    354,285,172

    * 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

    123,339

    154,119

    807,107

    1,651,198

    3,178,260

    7,669,342

    13,583,366

    Cross-Currency Fixed-Fixed

    4,757

    863

    4,402

    8,971

    59,624

    375,349

    453,966

    Cross-Currency Fixed-Float

    20,916

    18,043

    198,342

    189,550

    334,283

    653,153

    1,414,288

    TOTAL

    149,012

    173,025

    1,009,851

    1,849,719

    3,572,167

    8,697,844

    15,451,620

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    207,899,506

    99,302,833

    24,261,140

    54,973,912

    FRA

    94,750,961

    14,802,129

    5,403,369

    3,224,643

    OIS

    72,029,785

    14,828,160

    11,554,113

    5,943,874

    OTHER*

    12,864,787

    65,893,737

    394,262

    20,443,130

    TOTAL

    387,545,039

    194,826,859

    41,612,884

    84,585,559

    * 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

    24,794,445

    0

    2,372,287

    Cross-Currency Fixed-Fixed

    0

    520,271

    0

    387,660

    Cross-Currency Fixed-Float

    0

    2,104,797

    0

    723,778

    TOTAL

    0

    27,419,513

    0

    3,483,725

    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.