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Gross Notional Outstanding - Interest Rate (Millions of USD)

  • IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    116,266,804

    75,355,868

    191,622,672

    FRA

    49,695,652

    8,882,295

    58,577,947

    OIS

    42,662,405

    11,040,676

    53,703,081

    OTHER*

    6,594,803

    42,071,417

    48,666,219

    TOTAL

    215,219,664

    137,350,256

    352,569,919

    * 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

    13,205,609

    13,205,609

    Cross-Currency Fixed-Fixed

    0

    422,370

    422,370

    Cross-Currency Fixed-Float

    0

    1,408,075

    1,408,075

    TOTAL

    0

    15,036,054

    15,036,054

    IRS by Product & Major Currency

    Product1

    USD3

    EUR

    GBP

    JPY

    AUD

    CAD

    Other

    TOTAL

    Basis

    7,583,516

    549,064

    2,481,063

    1,719,881

    470,589

    150,456

    247,046

    13,201,614

    Fixed-Float

    81,377,485

    56,016,568

    15,033,560

    15,275,855

    5,763,352

    4,948,309

    13,207,545

    191,622,672

    FRA

    18,924,878

    25,384,134

    9,838,708

    20,450

    288,040

    43,212

    4,078,526

    58,577,947

    OIS

    7,465,902

    25,190,068

    16,860,400

    115,750

    2,158,973

    886,034

    1,025,953

    53,703,081

    Swaption

    8,680,879

    7,444,998

    1,552,286

    2,082,963

    376,234

    21,049

    269,916

    20,428,325

    OTHER*

    7,965,221

    5,160,028

    1,274,179

    255,902

    91,717

    95,705

    193,528

    15,036,280

    TOTAL

    131,997,881

    119,744,860

    47,040,196

    19,470,801

    9,148,905

    6,144,765

    19,022,514

    352,569,919

    * 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

    8,799,202

    1,851,786

    542,793

    823,005

    654,506

    154,166

    380,152

    13,205,609

    Cross-Currency Fixed-Fixed

    196,634

    64,630

    53,181

    33,423

    8,488

    30,200

    35,814

    422,370

    Cross-Currency Fixed-Float

    372,682

    142,934

    43,201

    57,172

    60,433

    14,910

    716,742

    1,408,075

    TOTAL

    9,368,518

    2,059,350

    639,175

    913,600

    723,427

    199,276

    1,132,708

    15,036,054

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60+

    TOTAL

    Basis

    96,477

    82,818

    785,526

    2,091,685

    3,723,103

    6,422,006

    13,201,614

    Fixed-Float

    4,692,241

    1,205,856

    10,104,349

    22,704,635

    47,450,364

    105,465,227

    191,622,672

    FRA

    8,164,318

    11,944,734

    22,968,355

    14,143,129

    1,349,340

    8,071

    58,577,947

    OIS

    7,206,444

    10,994,078

    17,784,369

    11,534,575

    4,542,717

    1,640,898

    53,703,081

    Swaption

    1,144,170

    1,559,753

    3,018,864

    3,212,056

    4,124,554

    7,368,928

    20,428,325

    OTHER*

    3,437,369

    225,736

    485,529

    906,651

    2,833,219

    7,147,777

    15,036,280

    TOTAL

    24,741,019

    26,012,975

    55,146,992

    54,592,731

    64,023,297

    128,052,907

    352,569,919

    * 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

    129,697

    133,452

    775,426

    1,623,967

    3,086,063

    7,457,006

    13,205,609

    Cross-Currency Fixed-Fixed

    4,773

    947

    4,002

    9,059

    59,521

    344,068

    422,370

    Cross-Currency Fixed-Float

    21,119

    17,286

    197,861

    204,479

    328,896

    638,435

    1,408,075

    TOTAL

    155,589

    151,685

    977,289

    1,837,505

    3,474,480

    8,439,509

    15,036,054

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    208,241,727

    97,328,631

    24,291,881

    53,383,105

    FRA

    94,057,052

    14,808,251

    5,334,252

    2,956,339

    OIS

    74,251,090

    15,722,584

    11,073,721

    6,358,769

    OTHER*

    12,782,337

    64,020,297

    407,269

    20,122,538

    TOTAL

    389,332,206

    191,879,763

    41,107,123

    82,820,751

    * 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

    24,066,027

    0

    2,345,191

    Cross-Currency Fixed-Fixed

    0

    478,898

    0

    365,842

    Cross-Currency Fixed-Float

    0

    2,083,984

    0

    732,166

    TOTAL

    0

    26,628,909

    0

    3,443,199

    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.