Gross Notional Outstanding - Interest Rate (Millions of USD)

IRS by Product & Cleared Status

Product1 Cleared2 Uncleared Total
Fixed-Float 122,874,866 12,204,602 135,079,468
FRA 41,128,321 336,488 41,464,809
OIS 43,290,818 1,299,794 44,590,612
OTHER* 21,895,339 37,507,738 59,403,077
TOTAL 229,189,344 51,348,622 280,537,966
* 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 11,676,035 695,901 3,899,176 1,640,181 1,555,061 705,266 20,171,620
Fixed-Float 48,894,079 35,073,303 8,997,132 7,849,200 7,122,085 27,143,669 135,079,468
FRA 22,186,029 12,573,516 4,069,073 9,864 0 2,626,327 41,464,809
OIS 15,969,431 14,386,330 4,897,688 486,964 6,070,605 2,779,594 44,590,612
Swaption 11,637,149 4,476,315 1,063,085 937,185 186,059 173,564 18,473,356
OTHER* 11,540,241 5,982,591 2,189,210 128,539 46,873 870,646 20,758,100
TOTAL 121,902,965 73,187,955 25,115,364 11,051,933 14,980,683 34,299,066 280,537,966
* 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 1,957,547 794,768 3,108,982 2,251,623 5,418,216 6,640,483 20,171,620
Fixed-Float 9,671,461 3,810,348 17,301,960 18,934,452 36,466,662 48,894,586 135,079,468
FRA 36,078,833 5,357,525 28,236 0 215 0 41,464,809
OIS 32,355,289 1,522,951 3,117,015 2,695,906 2,503,125 2,396,325 44,590,612
Swaption 1,184,477 1,275 6,251,929 2,973,966 2,647,017 5,414,693 18,473,356
OTHER* 1,680,893 377,239 5,224,095 2,771,524 5,040,702 5,663,647 20,758,100
TOTAL 82,928,500 11,864,107 35,032,217 29,627,471 52,075,937 69,009,734 280,537,966
* 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 181,377,588 15,245,767 64,372,145 9,163,437
FRA 72,040,216 426,060 10,216,426 246,916
OIS 60,145,520 1,922,565 26,436,115 677,023
OTHER* 36,972,920 56,779,555 6,817,758 18,235,922
TOTAL 350,536,244 74,373,946 107,842,444 28,323,298
* 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.