Gross Notional Outstanding - All Tables (Millions of USD) - 01/26/2024

Gross Notional by Cleared Status

  December 29 January 05 January 12 January 19 January 26
Total Interest Rate* 269,238,262 274,493,029 284,691,052 289,354,114 288,254,014
Cleared** 229,058,971 233,570,335 243,099,602 248,024,841 249,551,911
Uncleared 40,179,290 40,922,693 41,591,451 41,329,273 38,702,103
Total Credit 4,084,888 4,079,406 4,105,346 3,962,762 3,986,731
Cleared 2,628,796 2,574,184 2,633,868 2,608,130 2,606,934
Uncleared 1,456,092 1,505,222 1,471,479 1,354,633 1,379,796
Total FX 56,495,924 56,493,072 57,536,117 58,479,784 59,111,475
Cleared 1,762,770 1,741,469 1,868,031 1,950,570 2,033,514
Uncleared 54,733,153 54,751,603 55,668,086 56,529,214 57,077,961
TOTAL 329,819,073 335,065,507 346,332,516 351,796,661 351,352,219
           
Weekly snapshot, gross notional amount outstanding by asset class and cleared status (millions of USD), all products, tenors, and participant types. 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.
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.
** See Explanatory Notes for cleared and uncleared descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

Gross Notional by Participant Type

  December 29 January 05 January 12 January 19 January 26
Total Interest Rate* 538,476,524 548,986,057 569,382,105 578,708,229 576,508,028
SDs and MSPs** 394,526,207 402,030,639 416,848,336 423,215,599 422,077,707
Other 143,950,317 146,955,419 152,533,768 155,492,629 154,430,322
Total Credit 8,169,776 8,158,812 8,210,693 7,925,525 7,973,461
SDs and MSPs 5,677,472 5,625,321 5,612,780 5,477,510 5,517,518
Other 2,492,304 2,533,491 2,597,912 2,448,015 2,455,943
Total FX 112,991,847 112,986,144 115,072,234 116,959,568 118,222,949
SDs and MSPs 85,731,839 85,707,093 87,654,627 89,355,237 90,504,585
Other 27,260,008 27,279,051 27,417,608 27,604,331 27,718,364
TOTAL 659,638,147 670,131,013 692,665,031 703,593,322 702,704,439
           
Weekly snapshot, gross notional amount outstanding by asset class and participant type (millions of USD), all products, origins, currencies, tenors, and participant types, 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. Because this table shows the aggregated notional values of swaps by participant, the totals on this table are twice those displayed on the "Gross Notional Outstanding by Cleared Status" table.
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.
** See Explanatory Notes for participant type descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected].

IRS by Product & Cleared Status

Product1 Cleared2 Uncleared Total
Basis 11,046,963 1,191,273 12,238,235
Fixed-Float 78,684,117 6,789,628 85,473,745
OIS 133,785,195 3,734,653 137,519,848
Swaption 0 23,522,549 23,522,549
OTHER* 26,035,636 3,464,001 29,499,637
TOTAL 249,551,911 38,702,103 288,254,014
       
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, FRA, and Inflation.

IRS by Product & Major Currency

Product1 USD3 EUR GBP JPY AUD Other Total
Basis 7,553,934 951,499 70,189 155,979 2,648,223 858,412 12,238,235
Fixed-Float 3,208,323 45,603,231 214,053 294,056 8,500,218 27,653,864 85,473,745
OIS 71,545,035 26,795,004 18,286,525 7,572,606 3,422,273 9,898,406 137,519,848
Swaption 12,655,889 8,340,547 1,378,007 885,526 117,612 144,967 23,522,549
OTHER* 3,931,688 20,441,148 2,311,380 25,316 17,568 2,772,537 29,499,637
TOTAL 98,894,868 102,131,428 22,260,154 8,933,483 14,705,894 41,328,187 288,254,014
               
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, FRA, and Inflation.

IRS by Product & Tenor

Product1 0-34 3-6 6-12 12-24 24-60 60+ Total
Basis 2,110,581 365,910 1,541,052 1,193,920 3,007,808 4,018,963 12,238,235
Fixed-Float 6,529,992 2,838,274 9,954,541 10,768,912 23,542,102 31,839,923 85,473,745
OIS 43,744,524 3,875,505 15,776,678 16,214,254 26,460,188 31,448,699 137,519,848
Swaption 1,464,271 1,215,787 5,418,514 4,936,390 4,982,876 5,504,710 23,522,549
OTHER* 20,096,267 127,914 984,839 955,133 2,629,839 4,705,644 29,499,637
TOTAL 73,945,636 8,423,390 33,675,625 34,068,609 60,622,813 77,517,940 288,254,014
               
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, FRA, and Inflation.

IRS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product1 Cleared2 Uncleared Cleared Uncleared
Basis 19,045,286 1,723,859 3,048,640 658,686
Fixed-Float 110,373,614 8,515,801 46,994,620 5,063,456
OIS 192,772,724 4,142,544 74,797,666 3,326,761
Swaption 0 38,720,825 0 8,324,273
OTHER* 42,325,044 4,458,009 9,746,228 2,469,993
TOTAL 364,516,668 57,561,038 134,587,154 19,843,168
         
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, FRA, and Inflation.

CDS by Product & Cleared Status

Product Cleared2 Uncleared Total
Index Tranche / Index / Other* 2,606,934 1,379,796 3,986,731
Asia 64,781 47,429 112,210
Europe 1,376,122 170,149 1,546,271
North America 1,082,274 333,369 1,415,643
Other 83,758 828,849 912,607
TOTAL 2,606,934 1,379,796 3,986,731
       
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product & Grade

Product HY6 IG Other Total
Index Tranche / Index / Other* 533,939 3,236,924 215,868 3,986,731
Asia 0 112,210 0 112,210
Europe 146,983 1,399,288 0 1,546,271
North America 291,259 1,123,830 554 1,415,643
Other 95,698 601,596 215,314 912,607
TOTAL 533,939 3,236,924 215,868 3,986,731
         
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product Cleared2 Uncleared Cleared Uncleared
Index Tranche / Index / Other* 3,738,952 1,778,566 1,474,916 981,027
Asia 106,592 78,879 22,970 15,979
Europe 2,199,976 245,657 552,268 94,640
North America 1,320,354 461,009 844,193 205,729
Other 112,030 993,020 55,485 664,678
TOTAL 3,738,952 1,778,566 1,474,916 981,027
         
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product, Participant Type & Grade

  Swap Dealers/MSPs5 Others
Product HY6 IG Other HY IG Other
Index Tranche / Index / Other* 683,260 4,566,082 268,176 384,618 1,907,765 163,560
Asia 0 185,471 0 0 38,949 0
Europe 243,368 2,202,265 0 50,597 596,310 0
North America 331,056 1,449,574 734 251,462 798,086 375
Other 108,836 728,772 267,442 82,559 474,419 163,185
TOTAL 683,260 4,566,082 268,176 384,618 1,907,765 163,560
             
* Includes exotic credit products, swaptions, and total return swaps.

FX by Product & Cleared Status

Product Cleared Uncleared Total
Swaps & Forwards 26,769 31,376,572 31,403,341
NDF 1,655,844 4,594,346 6,250,189
Options 256,732 6,741,297 6,998,030
OTHER* 94,168 14,365,746 14,459,915
TOTAL 2,033,514 57,077,961 59,111,475
       
* Includes cross-currency and exotics.

FX by Major Currency Pair, Region & Product

Currency Pair1 Swaps & Forwards NDF7 Options Other8 Total
USD/ 28,854,229 6,211,911 6,232,303 13,795,111 55,093,554
EUROPE 13,111,155 169,499 2,278,632 8,055,023 23,614,309
EUR 7,094,738 77,260 1,768,800 4,931,936 13,872,734
GBP 3,158,073 43,097 281,885 2,540,253 6,023,308
CHF 1,356,578 30,230 184,002 346,561 1,917,370
OTHER2 1,501,766 18,912 43,944 236,273 1,800,897
AMERICAS/CARIBBEAN 2,634,729 1,642,360 708,542 1,339,899 6,325,530
CAD 1,750,525 21,243 353,383 906,217 3,031,367
BRL 354 884,569 165,747 30,661 1,081,330
OTHER3 883,851 736,549 189,412 403,021 2,212,833
ASIA/PACIFIC 12,387,846 4,370,865 3,105,028 4,297,946 24,161,686
JPY 5,019,984 62,671 1,302,097 2,372,019 8,756,772
CNY 2,436,820 218,597 659,325 251,399 3,566,142
KRW 169,361 1,120,682 80,319 142,840 1,513,202
HKD 1,496,099 25,250 354,163 138,815 2,014,327
AUD 1,570,636 25,212 253,337 985,145 2,834,330
OTHER4 1,694,945 2,918,453 455,786 407,729 5,476,913
OTHER5 720,500 29,186 140,102 102,242 992,030
EUR/non-USD 1,970,286 22,842 525,634 396,442 2,915,204
OTHER6 578,825 15,436 240,093 268,362 1,102,716
TOTAL 31,403,341 6,250,189 6,998,030 14,459,915 59,111,475
           
1 Currency pairs having USD on one side are grouped into 4 geographic regions, namely Europe, Americas/Caribbean, Asia/Pacific, and Other.
2 Other major currencies in EUROPE region include SEK, NOK, DKK, PLN, and CZK.
3 Other major currencies in Americas/Caribbean region include MXN, CLP, COP, PEN, and ARS.
4 Other major currencies in Asia/Pacific include INR, TWD, SGD, NZD, and RUB.
5 Regions within the Other category include the Middle East and Africa.
6 Category includes currency pairs without USD or EUR leg. 
7 Top currency pairs for NDF not included above are USD versus INR, TWD, and IDR. 
8 Includes cross-currency and exotics. 

FX by Product & Tenor (Calendar Days)

Product 0-30 31-90 91-180 181-360 360+ Total
Swaps & Forwards 6,991,471 9,174,722 7,492,711 3,701,487 4,042,950 31,403,341
NDF 1,185,409 2,320,099 1,189,677 874,142 680,862 6,250,189
Options 515,762 1,174,768 1,067,872 1,783,804 2,455,824 6,998,030
OTHER* 29,175 164,221 721,177 631,951 12,913,391 14,459,915
TOTAL 8,721,817 12,833,810 10,471,437 6,991,384 20,093,027 59,111,475
             
* Includes cross-currency and exotics.

FX by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs Others
Product Cleared Uncleared Cleared Uncleared
Swaps & Forwards 52,110 44,941,201 1,429 17,811,943
NDF 3,185,878 6,716,609 125,810 2,472,083
Options 513,441 10,365,271 24 3,117,323
OTHER* 124,856 24,605,220 63,481 4,126,273
TOTAL 3,876,285 86,628,300 190,743 27,527,621
         
* Includes cross-currency and exotics.

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 [email protected].