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Gross Notional Outstanding - All Tables (Millions of USD)

  • Gross Notional by Status

     

    March 7

    March 14

    March 21

    March 28

    April 4

    Total Interest Rate*

    348,892,074

    350,039,194

    335,515,726

    340,704,515

    338,068,106

    Cleared**

    214,856,843

    215,884,777

    203,699,229

    207,226,816

    206,029,027

    Uncleared

    134,035,231

    134,154,417

    131,816,496

    133,477,699

    132,039,079

    Total Cross-Currency

    16,356,173

    16,327,141

    16,200,869

    16,035,102

    15,962,378

    Cleared

    0

    0

    0

    0

    0

    Uncleared

    16,356,173

    16,327,141

    16,200,869

    16,035,102

    15,962,378

    Total Credit

    8,675,552

    8,623,728

    8,430,192

    8,059,373

    8,078,026

    Cleared

    2,305,484

    2,471,131

    2,588,377

    2,487,733

    2,411,774

    Uncleared

    6,370,068

    6,152,597

    5,841,815

    5,571,640

    5,666,252

    Total FX****

    31,450,000

    31,450,000

    31,450,000

    31,450,000

    31,450,000

    Cleared

    N/A

    N/A

    N/A

    N/A

    N/A

    Uncleared

    N/A

    N/A

    N/A

    N/A

    N/A

    Total Equity****

    4,420,000

    4,420,000

    4,420,000

    4,420,000

    4,420,000

    Cleared

    N/A

    N/A

    N/A

    N/A

    N/A

    Uncleared

    N/A

    N/A

    N/A

    N/A

    N/A

    Total Other Commodity****

    1,700,000

    1,700,000

    1,700,000

    1,700,000

    1,700,000

    Cleared

    N/A

    N/A

    N/A

    N/A

    N/A

    Uncleared

    N/A

    N/A

    N/A

    N/A

    N/A

    TOTAL

    411,493,799

    412,560,063

    397,716,787

    402,368,989

    399,678,510

     

    Weekly snapshot, gross notional amount outstanding by asset class and cleared status (millions of USD), all products, tenors, and participant types. 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.

    *See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.

    **See Explanatory Notes for cleared and uncleared descriptions.

    ***N/A indicates that data are not currently available.

    ****These numbers are estimates.

    The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to swapsreport@cftc.gov.

    Gross Notional by Participant

     

    March 7

    March 14

    March 21

    March 28

    April 4

    Total Interest Rate*

    697,784,148

    700,078,388

    671,031,451

    681,409,029

    676,136,211

    SDs and MSPs**

    572,243,837

    583,197,571

    556,141,563

    564,848,861

    558,965,691

    Other

    125,540,310

    116,880,817

    114,889,888

    116,560,169

    117,170,520

    Total Cross-Currency

    32,712,345

    32,654,281

    32,401,738

    32,070,204

    31,924,755

    SDs and MSPs

    29,165,882

    29,472,695

    29,042,953

    28,697,052

    28,562,236

    Other

    3,546,463

    3,181,586

    3,358,785

    3,373,151

    3,362,519

    Total Credit

    17,351,102

    17,247,456

    16,860,385

    16,118,746

    16,156,053

    SDs and MSPs

    13,425,965

    13,317,728

    12,957,592

    12,329,271

    12,241,093

    Other

    3,925,137

    3,929,728

    3,902,793

    3,789,476

    3,914,960

    Total FX****

    62,900,000

    62,900,000

    62,900,000

    62,900,000

    62,900,000

    SDs and MSPs

    N/A

    N/A

    N/A

    N/A

    N/A

    Other

    N/A

    N/A

    N/A

    N/A

    N/A

    Total Equity****

    8,840,000

    8,840,000

    8,840,000

    8,840,000

    8,840,000

    SDs and MSPs

    N/A

    N/A

    N/A

    N/A

    N/A

    Other

    N/A

    N/A

    N/A

    N/A

    N/A

    Total Other Commodity****

    3,400,000

    3,400,000

    3,400,000

    3,400,000

    3,400,000

    SDs and MSPs

    N/A

    N/A

    N/A

    N/A

    N/A

    Other

    N/A

    N/A

    N/A

    N/A

    N/A

    TOTAL

    822,987,595

    825,120,125

    795,433,574

    804,737,979

    799,357,019

     

    Weekly snapshot, gross notional amount outstanding by asset class and participant type (millions of USD), all products, origins, currencies, tenors, and participant types, cleared and uncleared. For cleared swaps, the notional value for each of the two resulting swaps is attributed only to the counterparty facing the clearing organization (i.e., the clearing organization’s participation is not displayed). For uncleared swaps, the notional value of the swap is attributed to both swap counterparties. Because this table shows the aggregated notional values of swaps by participant, the totals on this table are twice those displayed on the "Gross Notional Outstanding by Cleared Status" table.

    *See Data Dictionary for asset class descriptions.

    **See Explanatory Notes for participant type descriptions.

    ***N/A indicates that data are not currently available.

    ****These numbers are estimates.

    The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to swapsreport@cftc.gov.

    IRS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Fixed-Float

    118,988,874

    69,441,402

    188,430,276

    FRA

    47,551,100

    7,775,986

    55,327,086

    OIS

    32,999,875

    10,146,079

    43,145,954

    Swaption

    -

    20,539,199

    20,539,199

    OTHER*

    6,489,178

    24,136,413

    30,625,590

    TOTAL

    206,029,027

    132,039,079

    338,068,105

    * OTHER variable includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

    IRS by Product & Major Currency

    Product1

    USD

    EUR3

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Basis

    7,801,931

    578,040

    2,504,993

    1,942,699

    397,658

    145,897

    235,028

    13,606,247

    Fixed-Float

    73,225,604

    61,421,197

    13,091,118

    17,615,283

    5,336,848

    4,778,730

    12,961,495

    188,430,276

    FRA

    16,159,519

    26,346,152

    8,651,559

    9,806

    297,605

    49,229

    3,813,216

    55,327,086

    OIS

    5,856,688

    27,114,553

    6,515,724

    111,570

    1,458,915

    1,205,850

    882,653

    43,145,954

    Swaption

    8,304,133

    7,820,614

    1,456,007

    2,265,544

    392,854

    21,938

    278,108

    20,539,199

    OTHER*

    9,159,514

    5,909,227

    1,192,165

    305,837

    122,716

    98,280

    231,606

    17,019,343

    TOTAL

    120,507,389

    129,189,783

    33,411,566

    22,250,739

    8,006,596

    6,299,924

    18,402,106

    338,068,105

    *OTHER variable 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

    60-120

    120-360

    360+

    TOTAL

    Basis

    1,364,589

    984,273

    2,065,130

    2,578,256

    3,546,289

    1,728,897

    1,253,471

    85,340

    13,606,247

    Fixed-Float

    10,584,977

    8,098,742

    15,982,470

    29,193,549

    62,250,768

    40,561,951

    19,775,703

    1,982,116

    188,430,276

    FRA

    25,700,426

    12,997,190

    12,978,305

    3,475,554

    175,612

    -

    -

    -

    55,327,086

    OIS

    18,385,701

    7,282,419

    9,466,445

    5,245,521

    2,069,975

    442,097

    234,160

    19,637

    43,145,954

    Swaption

    3,350,030

    1,932,917

    3,584,332

    3,964,483

    4,463,875

    2,226,526

    1,002,342

    14,693

    20,539,199

    OTHER*

    1,309,714

    759,147

    1,449,531

    2,261,438

    4,873,099

    3,916,873

    2,257,549

    191,994

    17,019,343

    TOTAL

    60,695,437

    32,054,688

    45,526,213

    46,718,801

    77,379,618

    48,876,344

    24,523,225

    2,293,780

    338,068,105

    *OTHER variable 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

    212,571,199

    93,137,242

    25,406,549

    45,745,562

    FRA

    89,690,618

    12,959,327

    5,411,583

    2,592,645

    OIS

    56,284,311

    14,394,836

    9,715,438

    5,897,322

    OTHER*

    12,153,688

    67,774,470

    824,667

    21,576,753

    TOTAL

    370,699,816

    188,265,875

    41,358,237

    75,812,282

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

    CrossCurrency by Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Cross-Currency Basis

    -

    14,192,946

    14,192,946

    Cross-Currency Fixed-Fixed

    -

    425,166

    425,166

    Cross-Currency Fixed-Float

    -

    1,344,266

    1,344,266

    TOTAL

    -

    15,962,378

    15,962,378

    CrossCurrency by Major Currency

    Product1

    USD

    EUR3

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Cross-Currency Basis

    9,381,093

    2,216,198

    588,182

    856,546

    617,756

    146,847

    386,324

    14,192,946

    Cross-Currency Fixed-Fixed

    181,508

    75,568

    62,222

    34,099

    9,179

    27,555

    35,035

    425,166

    Cross-Currency Fixed-Float

    343,851

    161,548

    45,000

    62,938

    53,497

    15,718

    661,715

    1,344,266

    TOTAL

    9,906,452

    2,453,314

    695,404

    953,583

    680,432

    190,120

    1,083,074

    15,962,378

    CrossCurrency by Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60+

    TOTAL

    Cross-Currency Basis

    1,303,797

    713,549

    2,599,020

    2,208,013

    3,684,257

    3,684,309

    14,192,946

    Cross-Currency Fixed-Fixed

    14,537

    15,752

    24,102

    47,986

    118,709

    204,080

    425,166

    Cross-Currency Fixed-Float

    148,960

    87,164

    194,625

    261,041

    412,711

    239,764

    1,344,266

    TOTAL

    1,467,294

    816,465

    2,817,747

    2,517,040

    4,215,677

    4,128,153

    15,962,378

    CrossCurrency by Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Cross-Currency Basis

    -

    26,089,861

    -

    2,296,030

    Cross-Currency Fixed-Fixed

    -

    479,177

    -

    371,154

    Cross-Currency Fixed-Float

    -

    1,993,198

    -

    695,335

    TOTAL

    -

    28,562,236

    -

    3,362,519

    CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche / Index

    2,411,774

    5,111,976

    7,523,750

    Asia

    -

    121,429

    121,429

    Europe

    1,037,711

    2,459,910

    3,497,621

    North America

    1,358,033

    2,303,697

    3,661,729

    Other

    16,030

    226,941

    242,971

    Other

    -

    554,276

    554,276

    Exotic/Total Return Swap

    -

    50,937

    50,937

    Swaptions

    -

    503,340

    503,340

    TOTAL

    2,411,774

    5,666,252

    8,078,026

    CDS by Grade

    Product1

    HY6

    IG

    Other

    TOTAL

    Index Tranche

    45,803

    417,542

    408,468

    871,813

    Europe

    -

    -

    402,957

    402,957

    North America/Asia

    45,803

    417,542

    5,511

    468,856

    Index

    623,256

    2,466,654

    3,562,026

    6,651,936

    Asia

    -

    -

    121,429

    121,429

    Europe

    -

    -

    3,094,664

    3,094,664

    North America

    623,256

    2,466,654

    102,962

    3,192,872

    Other

    -

    -

    242,971

    242,971

    OTHER*

    -

    -

    554,276

    554,276

    TOTAL

    669,059

    2,884,196

    4,524,770

    8,078,025

    *OTHER variable includes exotic credit products, swaptions, and total return swaps.

    CDS by Participant & Status

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Index Tranche / Index

    3,503,457

    8,002,860

    1,320,092

    2,221,091

    Asia

    -

    191,861

    -

    50,996

    Europe

    1,437,545

    3,979,487

    637,878

    940,333

    North America

    2,040,773

    3,434,226

    675,292

    1,173,167

    Other

    25,139

    397,286

    6,922

    56,595

    Other

    -

    734,775

    -

    373,777

    Exotic/Total Return Swap

    -

    63,290

    -

    38,583

    Swaptions

    -

    671,485

    -

    335,194

    TOTAL

    3,503,457

    8,737,635

    1,320,092

    2,594,868

    CDS by Participant & Grade

     

    Swap Dealers/MSPs5

    Others

    Product1

    HY6

    IG

    Other

    HY

    IG

    Other

    Index Tranche

    73,638

    756,537

    706,478

    17,969

    78,546

    110,458

    Index

    851,620

    3,626,760

    5,491,284

    394,892

    1,306,549

    1,632,769

    Asia

    -

    -

    191,861

    -

    -

    50,996

    Europe

    -

    -

    4,717,402

    -

    -

    1,471,926

    North America

    851,620

    3,626,760

    159,596

    394,892

    1,306,549

    46,329

    Other

    -

    -

    422,425

    -

    -

    63,518

    OTHER*

    -

    -

    734,775

    -

    -

    373,777

    TOTAL

    925,258

    4,383,297

    6,932,537

    412,861

    1,385,095

    2,117,004

    *OTHER variable includes exotic credit products, swaptions, and total return swaps.

    NOTES

    Gross notional amount outstanding, April 4 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.

    6 See Data Dictionary for grade descriptions.

    The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to swapsreport@cftc.gov.