Gross Notional Outstanding - Interest Rate (Millions of USD)

IRS by Product & Cleared Status

Product1 Cleared2 Uncleared Total
Fixed-Float 123,447,602 11,420,481 134,868,083
FRA 37,737,818 232,102 37,969,920
OIS 51,179,657 1,144,355 52,324,011
OTHER* 22,084,681 34,841,357 56,926,038
TOTAL 234,449,758 47,638,295 282,088,054
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, and Swaption.

IRS by Product & Major Currency

Product1 USD3 EUR GBP JPY AUD Other Total
Basis 11,370,934 641,528 4,179,358 1,587,742 1,490,479 721,044 19,991,086
Fixed-Float 49,407,251 37,072,260 9,502,871 7,822,064 5,678,636 25,385,002 134,868,083
FRA 20,149,116 11,904,837 3,617,917 1,780 167 2,296,104 37,969,920
OIS 19,003,078 11,190,084 10,402,322 522,259 7,120,625 4,085,642 52,324,011
Swaption 10,747,968 4,518,461 1,164,631 902,201 143,191 166,009 17,642,461
OTHER* 10,916,022 5,648,344 2,141,171 125,788 42,165 419,002 19,292,492
TOTAL 121,594,370 70,975,513 31,008,270 10,961,835 14,475,263 33,072,804 282,088,054
* 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 1,461,963 791,601 3,141,308 2,362,318 5,480,219 6,753,676 19,991,086
Fixed-Float 7,580,432 3,621,028 16,230,625 19,318,354 37,055,326 51,062,319 134,868,083
FRA 32,291,087 5,657,675 20,831 113 215 0 37,969,920
OIS 38,758,316 1,560,218 3,189,105 3,111,621 2,847,106 2,857,646 52,324,011
Swaption 197,683 824 6,024,034 3,083,412 2,620,321 5,716,187 17,642,461
OTHER* 1,064,052 237,001 4,621,411 2,408,766 5,193,871 5,767,391 19,292,492
TOTAL 81,353,533 11,868,347 33,227,314 30,284,584 53,197,057 72,157,219 282,088,054
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

IRS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product1 Cleared2 Uncleared Cleared Uncleared
Fixed-Float 181,084,028 14,105,057 65,811,176 8,735,905
FRA 65,895,068 273,440 9,580,568 190,765
OIS 66,392,198 1,526,670 35,967,115 762,040
OTHER* 37,001,278 53,159,900 7,168,084 16,522,815
TOTAL 350,372,573 69,065,066 118,526,944 26,211,524
* Includes the following products: Basis, Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

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.
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.