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Transaction Dollar Volume - All Tables (Millions of USD)

  • Dollar Volume by Cleared Status

     

    March 7

    March 14

    March 21

    March 28

    April 4

    Total Interest Rate*

    2,825,489

    3,848,561

    3,412,627

    3,175,951

    2,266,460

    Cleared**

    2,437,636

    3,220,666

    2,706,549

    2,350,277

    1,482,447

    Uncleared

    387,853

    627,895

    706,078

    825,674

    784,013

    Total Cross-Currency

    55,895

    79,673

    113,673

    74,377

    79,615

    Cleared

    0

    0

    0

    0

    0

    Uncleared

    55,895

    79,673

    113,673

    74,377

    79,615

    Total Credit

    243,543

    262,601

    551,220

    470,122

    326,612

    Cleared

    236,036

    255,221

    542,409

    457,732

    316,573

    Uncleared

    7,507

    7,380

    8,811

    12,390

    10,039

    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

    3,124,927

    4,190,835

    4,077,520

    3,720,451

    2,672,687

     

    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 7

    March 14

    March 21

    March 28

    April 4

    Total Interest Rate*

    5,650,977

    7,697,122

    6,825,255

    6,351,902

    4,532,921

    SDs and MSPs**

    3,481,619

    4,934,563

    3,975,011

    3,646,234

    2,663,568

    Other

    2,169,358

    2,762,558

    2,850,244

    2,705,668

    1,869,353

    Total Cross-Currency

    111,790

    159,346

    227,346

    148,755

    159,231

    SDs and MSPs

    82,186

    119,729

    183,638

    117,007

    108,395

    Other

    29,604

    39,617

    43,708

    31,748

    50,836

    Total Credit

    487,086

    525,202

    1,102,439

    940,244

    653,223

    SDs and MSPs

    260,594

    288,759

    627,412

    542,051

    367,521

    Other

    226,492

    236,444

    475,027

    398,193

    285,702

    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

    6,249,853

    8,381,670

    8,155,040

    7,440,901

    5,345,375

     

    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

    1,134,319

    196,489

    1,330,807

    FRA

    270,702

    49,471

    320,172

    OIS

    62,361

    111,961

    174,323

    OTHER*

    15,066

    426,092

    441,158

    TOTAL

    1,482,448

    784,013

    2,266,460

    *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

    808,674

    262,871

    88,486

    31,448

    20,074

    30,660

    88,593

    1,330,807

    OTHER*

    329,948

    331,602

    95,150

    23,604

    118,417

    3,144

    33,788

    935,653

    TOTAL

    1,138,622

    594,473

    183,636

    55,052

    138,491

    33,804

    122,381

    2,266,460

    *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

    177,262

    38,507

    114,429

    179,015

    384,173

    246,304

    170,249

    20,868

    1,330,807

    OTHER*

    406,547

    151,402

    82,219

    58,856

    64,705

    89,710

    76,123

    6,091

    935,653

    TOTAL

    583,809

    189,909

    196,648

    237,871

    448,878

    336,014

    246,372

    26,959

    2,266,460

    *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

    961,720

    254,786

    1,306,918

    138,191

    OTHER*

    635,175

    811,887

    61,081

    363,163

    TOTAL

    1,596,895

    1,066,673

    1,367,999

    501,354

    *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

    -

    64,286

    64,286

    Cross_Currency Fixed-Fixed

    -

    5,957

    5,957

    Cross_Currency Fixed-Float

    -

    9,372

    9,372

    TOTAL

    -

    79,615

    79,615

    CrossCurrency by Major Currency

    Product1

    USD

    EUR3

    GBP

    JPY

    AUD

    CAD

    OTHER

    TOTAL

    Cross-Currency Total

    21,846

    11,498

    5,043

    16,491

    8,805

    5,216

    10,716

    79,615

    CrossCurrency by Tenor

    Product1

    0-34

    3-6

    6-12

    12-24

    24-60

    60-120

    120-360

    360+

    TOTAL

    Cross-Currency TOTAL

    9,758

    2,890

    21,977

    8,115

    8,149

    13,435

    13,670

    1,623

    79,615

    CrossCurrency by Participants

     

    Swap Dealers/MSPs5

    Others

    Product1

    Cleared2

    Uncleared

    Cleared

    Uncleared

    Cross-Currency Basis

    -

    91,972

    -

    36,599

    Cross-Currency Fixed-Fixed

    -

    3,282

    -

    8,632

    Cross-Currency Fixed-Float

    -

    13,140

    -

    5,605

    TOTAL

    -

    108,394

    -

    50,836

    CDS by Product & Cleared Status

    Product1

    Cleared2

    Uncleared

    TOTAL

    Index Tranche

    5

    104

    109

    Index

    304,457

    2,363

    306,820

    Europe

    131,340

    806

    132,145

    North America/Asia

    171,064

    1,477

    172,541

    Other

    2,053

    80

    2,133

    OTHER*

    12,111

    7,571

    19,682

    TOTAL

    316,573

    10,039

    326,612

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

    CDS by Grade

    Product1

    HY3

    IG

    Other

    TOTAL

    Index/Index Tranche

    51,749

    120,597

    134,582

    306,928

    OTHER*

    -

    -

    19,682

    19,682

    TOTAL

    51,749

    120,597

    154,264

    326,610

    *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

    10

    104

    -

    104

    Index/OTHER*

    355,327

    12,081

    277,811

    7,788

    TOTAL

    355,337

    12,185

    277,811

    7,892

    *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

    38,395

    128,437

    177,626

    65,104

    112,757

    91,540

    OTHER*

    -

    -

    23,064

    -

    -

    16,301

    TOTAL

    38,395

    128,437

    200,690

    65,104

    112,757

    107,841

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

    NOTES

    Swap dollar volumes, week ending April 4, 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.