Gross Notional Outstanding - Interest Rate (Millions of USD)

IRS by Product & Cleared Status

Product1 Cleared2 Uncleared Total
Fixed-Float 122,688,256 12,568,374 135,256,630
FRA 42,148,192 382,387 42,530,579
OIS 48,683,572 1,422,540 50,106,111
OTHER* 23,701,420 41,632,919 65,334,339
TOTAL 237,221,440 56,006,218 293,227,658
* 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 13,001,830 698,539 3,966,133 1,614,167 1,449,161 626,545 21,356,375
Fixed-Float 49,492,719 34,769,371 9,086,147 7,818,092 6,950,515 27,139,787 135,256,630
FRA 22,353,638 12,840,863 4,450,189 6,596 0 2,879,293 42,530,579
OIS 17,114,391 14,790,931 6,237,824 393,072 8,936,902 2,632,991 50,106,111
Swaption 12,619,337 4,784,973 1,222,914 1,002,539 227,527 182,169 20,039,459
OTHER* 11,943,035 7,404,050 2,621,611 132,587 47,794 1,789,428 23,938,505
TOTAL 126,524,950 75,288,725 27,584,818 10,967,053 17,611,898 35,250,213 293,227,658
* 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 1,784,403 1,059,675 3,344,354 2,462,828 5,852,140 6,852,975 21,356,375
Fixed-Float 9,677,586 3,535,416 17,421,156 18,992,942 36,877,725 48,751,804 135,256,630
FRA 37,215,154 5,286,544 28,881 0 0 0 42,530,579
OIS 37,731,674 1,541,628 3,151,750 2,909,048 2,483,584 2,288,427 50,106,111
Swaption 1,078,043 578 7,300,230 3,374,701 2,940,569 5,345,338 20,039,459
OTHER* 2,633,010 439,718 5,652,501 2,958,820 5,908,302 6,346,155 23,938,505
TOTAL 90,119,870 11,863,558 36,898,873 30,698,338 54,062,320 69,584,699 293,227,658
* 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 184,065,741 16,125,623 61,310,771 9,011,124
FRA 73,195,604 516,146 11,100,781 248,627
OIS 67,015,450 2,054,981 30,351,694 790,098
OTHER* 40,597,623 61,671,066 6,805,216 21,594,772
TOTAL 364,874,418 80,367,816 109,568,462 31,644,621
* 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.