Font Size: AAA // Print // Bookmark

Gross Notional Outstanding - All Tables (Millions of USD)

  • Gross Notional by Status

     

    March 14

    March 21

    March 28

    April 4

    April 11

    Total Interest Rate*

    350,039,194

    335,515,726

    340,704,515

    338,068,106

    333,334,071

    Cleared**

    215,884,777

    203,699,229

    207,226,816

    206,029,027

    203,939,554

    Uncleared

    134,154,417

    131,816,496

    133,477,699

    132,039,079

    129,394,517

    Total Cross-Currency

    16,327,141

    16,200,869

    16,035,102

    15,962,378

    15,476,062

    Cleared

    0

    0

    0

    0

    0

    Uncleared

    16,327,141

    16,200,869

    16,035,102

    15,962,378

    15,476,062

    Total Credit

    8,623,728

    8,430,192

    8,059,373

    8,078,026

    8,190,540

    Cleared

    2,471,131

    2,588,377

    2,487,733

    2,411,774

    2,388,555

    Uncleared

    6,152,597

    5,841,815

    5,571,640

    5,666,252

    5,801,985

    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

    412,560,063

    397,716,787

    402,368,989

    399,678,510

    394,570,673

     

    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 14

    March 21

    March 28

    April 4

    April11

    Total Interest Rate*

    700,078,388

    671,031,451

    681,409,029

    676,136,211

    666,668,143

    SDs and MSPs**

    583,197,571

    556,141,563

    564,848,861

    558,965,691

    551,076,974

    Other

    116,880,817

    114,889,888

    116,560,169

    117,170,520

    115,591,169

    Total Cross-Currency

    32,654,281

    32,401,738

    32,070,204

    31,924,755

    30,952,124

    SDs and MSPs

    29,472,695

    29,042,953

    28,697,052

    28,562,236

    27,632,348

    Other

    3,181,586

    3,358,785

    3,373,151

    3,362,519

    3,319,776

    Total Credit

    17,247,456

    16,860,385

    16,118,746

    16,156,053

    16,381,081

    SDs and MSPs

    13,317,728

    12,957,592

    12,329,271

    12,241,093

    12,355,733

    Other

    3,929,728

    3,902,793

    3,789,476

    3,914,960

    4,025,348

    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

    825,120,125

    795,433,574

    804,737,979

    799,357,019

    789,141,348

     

    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

    117,719,582

    69,066,896

    186,786,478

    FRA

    48,461,573

    7,764,805

    56,226,378

    OIS

    31,194,275

    9,484,066

    40,678,340

    Swaption

    -

    19,810,221

    19,810,221

    OTHER*

    6,564,124

    23,268,530

    29,832,656

    TOTAL

    203,939,554

    129,394,518

    333,334,073

    * 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

    7,661,165

    574,417

    2,441,004

    1,958,330

    401,804

    145,832

    238,390

    13,420,942

    Fixed-Float

    73,422,863

    59,612,257

    13,219,830

    17,136,195

    5,458,232

    4,820,262

    13,116,839

    186,786,478

    FRA

    16,104,626

    27,082,536

    8,753,354

    9,978

    290,100

    49,422

    3,936,361

    56,226,378

    OIS

    5,947,464

    24,132,331

    6,701,810

    111,491

    1,627,604

    1,210,847

    946,793

    40,678,340

    Swaption

    7,883,906

    7,593,988

    1,365,981

    2,284,282

    377,682

    21,095

    283,286

    19,810,221

    OTHER*

    8,861,214

    5,637,466

    1,160,996

    296,043

    122,714

    98,873

    234,406

    16,411,714

    TOTAL

    119,881,238

    124,632,995

    33,642,975

    21,796,319

    8,278,136

    6,346,331

    18,756,075

    333,334,073

    *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+

    TOTAL

    Basis

    96,914

    77,275

    910,571

    2,529,035

    3,680,772

    6,126,374

    13,420,942

    Fixed-Float

    2,779,908

    1,159,192

    9,138,627

    22,904,936

    43,983,890

    106,819,925

    186,786,478

    FRA

    8,062,890

    11,736,997

    21,421,978

    13,683,538

    1,312,624

    8,350

    56,226,378

    OIS

    7,552,786

    4,587,067

    11,521,644

    11,543,259

    4,114,406

    1,359,179

    40,678,340

    Swaption

    1,097,917

    1,258,199

    2,934,264

    3,070,931

    3,981,028

    7,467,882

    19,810,221

    OTHER*

    3,843,234

    214,434

    648,352

    979,910

    3,021,961

    7,703,820

    16,411,714

    TOTAL

    23,433,649

    19,033,164

    46,575,436

    54,711,609

    60,094,681

    129,485,530

    333,334,073

    *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

    209,934,395

    92,460,548

    25,504,768

    45,673,244

    FRA

    91,242,460

    12,913,649

    5,680,686

    2,615,961

    OIS

    53,503,487

    13,621,479

    8,885,062

    5,346,652

    OTHER*

    12,303,202

    65,097,754

    825,048

    21,059,746

    TOTAL

    366,983,544

    184,093,430

    40,895,564

    74,695,603

    *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

    -

    13,735,791

    13,735,791

    Cross-Currency Fixed-Fixed

    -

    394,149

    394,149

    Cross-Currency Fixed-Float

    -

    1,346,122

    1,346,122

    TOTAL

    -

    15,476,062

    15,476,062

    CrossCurrency by Major Currency

    Product1

    USD

    EUR3

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Cross-Currency Basis

    9,166,887

    2,040,889

    563,268

    822,734

    613,759

    144,531

    383,722

    13,735,791

    Cross-Currency Fixed-Fixed

    171,307

    64,572

    51,081

    34,841

    9,218

    28,605

    34,526

    394,149

    Cross-Currency Fixed-Float

    339,758

    151,894

    41,666

    63,269

    53,289

    15,856

    680,390

    1,346,122

    TOTAL

    9,677,952

    2,257,355

    656,015

    920,844

    676,266

    188,992

    1,098,638

    15,476,062

    CrossCurrency by Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60+

    TOTAL

    Cross-Currency Basis

    379,163

    67,446

    753,807

    1,741,663

    3,046,626

    7,747,086

    13,735,791

    Cross-Currency Fixed-Fixed

    7,379

    539

    4,025

    7,475

    54,105

    320,626

    394,149

    Cross-Currency Fixed-Float

    19,926

    12,752

    171,177

    172,706

    322,934

    646,627

    1,346,122

    TOTAL

    406,468

    80,737

    929,009

    1,921,844

    3,423,665

    8,714,339

    15,476,062

    CrossCurrency by Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Cross-Currency Basis

    -

    25,188,167

    -

    2,283,414

    Cross-Currency Fixed-Fixed

    -

    438,741

    -

    349,558

    Cross-Currency Fixed-Float

    -

    2,005,440

    -

    686,804

    TOTAL

    -

    27,632,348

    -

    3,319,776

    CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche / Index

    2,388,555

    5,151,919

    7,540,474

    Asia

    -

    113,312

    113,312

    Europe

    1,049,317

    2,503,439

    3,552,756

    North America

    1,321,835

    2,314,043

    3,635,878

    Other

    17,403

    221,125

    238,528

    Other

    -

    650,067

    650,067

    Exotic/Total Return Swap

    -

    56,175

    56,175

    Swaptions

    -

    593,892

    593,892

    TOTAL

    2,388,555

    5,801,986

    8,190,541

    CDS by Grade

    Product1

    HY6

    IG

    Other

    TOTAL

    Index Tranche

    46,632

    418,687

    410,491

    875,810

    Europe

    -

    -

    404,980

    404,980

    North America/Asia

    46,632

    418,687

    5,511

    470,830

    Index

    613,854

    2,445,530

    3,605,280

    6,664,664

    Asia

    -

    -

    113,312

    113,312

    Europe

    -

    -

    3,147,777

    3,147,777

    North America

    613,854

    2,445,530

    105,663

    3,165,047

    Other

    -

    -

    238,528

    238,528

    OTHER*

    -

    -

    650,067

    650,067

    TOTAL

    660,486

    2,864,217

    4,665,838

    8,190,541

    *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

    3,424,462

    8,060,326

    1,352,649

    2,243,510

    Asia

    -

    175,440

    -

    51,184

    Europe

    1,433,493

    4,044,485

    665,142

    962,393

    North America

    1,963,956

    3,453,698

    679,714

    1,174,387

    Other

    27,013

    386,703

    7,793

    55,546

    Other

    -

    870,946

    -

    429,186

    Exotic/Total Return Swap

    -

    71,333

    -

    41,015

    Swaptions

    -

    799,613

    -

    388,171

    TOTAL

    3,424,462

    8,931,272

    1,352,649

    2,672,696

    CDS by Participant & Grade

     

    Swap Dealers/MSPs5

    Others

    Product1

    HY6

    IG

    Other

    HY

    IG

    Other

    Index Tranche

    74,975

    758,991

    709,126

    18,289

    78,383

    111,856

    Index

    822,672

    3,590,271

    5,528,752

    405,036

    1,300,790

    1,681,807

    Asia

    -

    -

    175,440

    -

    -

    51,184

    Europe

    -

    -

    4,775,699

    -

    -

    1,519,854

    North America

    822,672

    3,590,271

    163,897

    405,036

    1,300,790

    47,429

    Other

    -

    -

    413,716

    -

    -

    63,340

    OTHER*

    -

    -

    870,946

    -

    -

    429,186

    TOTAL

    897,647

    4,349,262

    7,108,824

    423,325

    1,379,173

    2,222,849

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

    NOTES

    Gross notional amount outstanding, April 11 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.