Font Size: AAA // Print // Bookmark

Transaction Dollar Volume - All Tables (Millions of USD)

  • Dollar Volume by Cleared Status

     

    March 14

    March 21

    March 28

    April 4

    April 11

    Total Interest Rate*

    3,848,561

    3,412,627

    3,175,951

    2,266,460

    2,021,212

    Cleared**

    3,220,666

    2,706,549

    2,350,277

    1,482,447

    1,400,682

    Uncleared

    627,895

    706,078

    825,674

    784,013

    620,530

    Total Cross-Currency

    79,673

    113,673

    74,377

    79,615

    124,190

    Cleared

    0

    0

    0

    0

    0

    Uncleared

    79,673

    113,673

    74,377

    79,615

    124,190

    Total Credit

    262,601

    551,220

    470,122

    326,612

    289,212

    Cleared

    255,221

    542,409

    457,732

    316,573

    283,078

    Uncleared

    7,380

    8,811

    12,390

    10,039

    6,135

    Total FX

    N/A

    N/A

    N/A

    N/A

    N/A

    Cleared

    N/A

    N/A

    N/A

    N/A

    N/A

    Uncleared

    N/A

    N/A

    N/A

    N/A

    N/A

    Total Equity

    N/A

    N/A

    N/A

    N/A

    N/A

    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

    N/A

    N/A

    N/A

    N/A

    N/A

    Cleared

    N/A

    N/A

    N/A

    N/A

    N/A

    Uncleared

    N/A

    N/A

    N/A

    N/A

    N/A

    TOTAL

    4,190,835

    4,077,520

    3,720,451

    2,672,687

    2,434,614

     

    Weekly total, swap dollar volumes by asset class and cleared status (value of all trades in millions of USD), all products, tenors, and participant types. For cleared swaps, this table reflects the notional value of the creation of only one of the two swaps that results from the clearing process. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes.

    *See Data Dictionary for asset class descriptions.

    **See Explanatory Notes for cleared and uncleared descriptions.

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

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

    Dollar Volume by Participant

     

    March 14

    March 21

    March 28

    April 4

    April 11

    Total Interest Rate*

    7,697,122

    6,825,255

    6,351,902

    4,532,921

    4,042,425

    SDs and MSPs**

    4,934,563

    3,975,011

    3,646,234

    2,663,568

    2,157,065

    Other

    2,762,558

    2,850,244

    2,705,668

    1,869,353

    1,885,360

    Total Cross-Currency

    159,346

    227,346

    148,755

    159,231

    248,379

    SDs and MSPs

    119,729

    183,638

    117,007

    108,395

    197,046

    Other

    39,617

    43,708

    31,748

    50,836

    51,333

    Total Credit

    525,202

    1,102,439

    940,244

    653,223

    578,425

    SDs and MSPs

    288,759

    627,412

    542,051

    367,521

    311,511

    Other

    236,444

    475,027

    398,193

    285,702

    266,914

    Total FX

    N/A

    N/A

    N/A

    N/A

    N/A

    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

    N/A

    N/A

    N/A

    N/A

    N/A

    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

    N/A

    N/A

    N/A

    N/A

    N/A

    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

    8,381,670

    8,155,040

    7,440,901

    5,345,375

    4,869,229

     

    Weekly total, swap dollar volumes by asset class and participant type (value of all trades in millions of USD), all products and tenors, 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. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes. Because this table shows transactions by participant, the totals on this table are twice those displayed on the "Transaction Dollar Volume 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.

    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

    1,194,350

    180,175

    1,374,525

    FRA

    118,108

    52,785

    170,894

    OIS

    82,664

    96,815

    179,479

    OTHER*

    5,559

    290,756

    296,315

    TOTAL

    1,400,681

    620,531

    2,021,213

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

    IRS by Product & Major Currency

    Product1

    USD

    EUR3

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Fixed-Float

    730,329

    378,390

    93,824

    57,274

    24,820

    23,549

    66,840

    1,375,025

    OTHER*

    239,016

    147,689

    57,310

    29,454

    83,591

    457

    88,668

    646,188

    TOTAL

    969,345

    526,079

    151,134

    86,728

    108,411

    24,006

    155,508

    2,021,213

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

    IRS by Product & Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60-120

    120-360

    360+

    TOTAL

    Fixed-Float

    237,306

    15,729

    232,587

    245,979

    188,115

    310,307

    125,408

    19,096

    1,374,525

    OTHER*

    305,779

    43,762

    58,173

    37,352

    47,556

    77,797

    71,851

    4,419

    646,688

    TOTAL

    543,085

    59,491

    290,760

    283,331

    235,671

    388,104

    197,259

    23,515

    2,021,213

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

    IRS by Product & Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Fixed-Float

    968,377

    226,990

    1,420,323

    133,360

    OTHER*

    340,565

    621,134

    72,099

    259,578

    TOTAL

    1,308,942

    848,124

    1,492,422

    392,938

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

    CrossCurrency by Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Cross_Currency Basis

    -

    100,886

    100,886

    Cross_Currency Fixed-Fixed

    -

    4,305

    4,305

    Cross_Currency Fixed-Float

    -

    18,998

    18,998

    TOTAL

    -

    124,189

    124,189

    CrossCurrency by Major Currency

    Product1

    USD

    EUR3

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Cross-Currency Total

    15,182

    25,196

    3,227

    14,546

    6,456

    4,968

    54,616

    124,189

    CrossCurrency by Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60-120

    120-360

    360+

    TOTAL

    Cross-Currency TOTAL

    4,966

    1,968

    18,969

    8,613

    19,622

    49,925

    18,809

    1,318

    124,189

    CrossCurrency by Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Cross-Currency Basis

    -

    160,752

    -

    41,020

    Cross-Currency Fixed-Fixed

    -

    2,728

    -

    5,883

    Cross-Currency Fixed-Float

    -

    33,567

    -

    4,430

    TOTAL

    -

    197,047

    -

    51,333

    CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche

    155

    400

    555

    Index

    281,648

    2,990

    284,638

    Europe

    117,022

    518

    117,540

    North America/Asia

    161,671

    2,229

    163,901

    Other

    2,954

    242

    3,197

    OTHER*

    1,275

    2,745

    4,020

    TOTAL

    283,078

    6,135

    289,212

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

    CDS by Grade

    Product1

    HY3

    IG

    Other

    TOTAL

    Index/Index Tranche

    42,318

    121,524

    121,351

    285,193

    OTHER*

    -

    -

    4,020

    4,020

    TOTAL

    42,318

    121,524

    125,371

    289,213

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

    CDS by Participant and Status

     

    Swap Dealers/MSPs4

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Index Tranche

    310

    640

    -

    160

    Index/OTHER*

    304,293

    6,267

    261,553

    5,201

    TOTAL

    304,603

    6,907

    261,553

    5,361

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

    CDS by Participant & Grade

     

    Swap Dealers/MSPs5

    Others

    Product1

    HY6

    IG

    Other

    HY

    IG

    Other

    Index/Index Tranche

    34,520

    121,420

    150,897

    50,116

    121,627

    91,803

    OTHER*

    -

    -

    4,672

    -

    -

    3,367

    TOTAL

    34,520

    121,420

    155,569

    50,116

    121,627

    95,170

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

    NOTES

    Swap dollar volumes, week ending April 11, by product type and major currency (notional value of all new trades in millions of USD), all participant types and tenors, cleared and uncleared. For cleared swaps, this table reflects the notional value of the creation of only one of the two swaps that results from the clearing process. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes.

    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.