/MarketReports/SwapsReports/L3TransDollarVol.html
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 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] |
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 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] |
Product1 | Cleared2 | Uncleared | Total |
Fixed-Float | 2,694,833 | 73,375 | 2,768,209 |
FRA | 1,201,532 | 1,219 | 1,202,751 |
OIS | 7,244,898 | 173,692 | 7,418,590 |
OTHER* | 237,978 | 798,435 | 1,036,413 |
TOTAL | 11,379,240 | 1,046,722 | 12,425,962 |
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, and Swaption. |
Product1 | USD3 | EUR | GBP | JPY | AUD | Other | Total |
Fixed-Float | 909,057 | 1,128,040 | 104 | 66 | 134,751 | 596,191 | 2,768,209 |
OTHER* | 4,066,929 | 3,230,608 | 1,423,088 | 115,321 | 247,929 | 573,878 | 9,657,753 |
TOTAL | 4,975,986 | 4,358,648 | 1,423,192 | 115,387 | 382,681 | 1,170,068 | 12,425,962 |
* Includes the following products: Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, Basis, OIS, and FRA. |
Product1 | 0-34 | 3-6 | 6-12 | 12-24 | 24-60 | 60-120 | 120-360 | 360+ | Total |
Fixed-Float | 1,296,576 | 184,065 | 274,299 | 278,741 | 407,878 | 242,730 | 80,033 | 3,887 | 2,768,209 |
OTHER* | 6,544,779 | 509,134 | 860,005 | 586,912 | 570,255 | 433,675 | 150,446 | 2,546 | 9,657,753 |
TOTAL | 7,841,355 | 693,199 | 1,134,305 | 865,653 | 978,133 | 676,405 | 230,479 | 6,433 | 12,425,962 |
* Includes the following products: FRA, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, OIS, Swaption, and Basis. |
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, FRA, Fixed-Fixed, Inflation, OIS, and Swaption. |
Product | Cleared2 | Uncleared | Total |
Index Tranche / Index | 1,431,590 | 81,418 | 1,513,008 |
OTHER* | 983 | 121,321 | 122,305 |
TOTAL | 1,432,573 | 202,739 | 1,635,313 |
* Includes exotic credit products, swaptions, and total return swaps. |
Product | HY6 | IG | Other | Total |
Index Tranche / Index | 177,281 | 1,301,949 | 33,779 | 1,513,008 |
OTHER* | 24,848 | 94,758 | 2,699 | 122,305 |
TOTAL | 202,128 | 1,396,707 | 36,477 | 1,635,313 |
* Includes exotic credit products, swaptions, and total return swaps. |
Swap Dealers/MSPs5 | Others | |||
Product | Cleared2 | Uncleared | Cleared | Uncleared |
TOTAL* | 1,745,876 | 222,909 | 1,119,270 | 182,570 |
* Includes index tranche, index, exotic, swaptions, and total return swap credit products. |
* Includes exotic credit products, swaptions, and total return swaps. |
Product | Cleared | Uncleared | Total |
Swaps & Forwards | 4,699 | 10,679,485 | 10,684,184 |
NDF | 241,133 | 643,841 | 884,974 |
Options | 12,342 | 667,429 | 679,771 |
Exotics | 0 | 73,057 | 73,057 |
Cross Currency | 1,646 | 129,843 | 131,489 |
TOTAL | 259,820 | 12,193,655 | 12,453,475 |
Currency Pair1 | Swaps & Forwards | NDF7 | Options | Exotics | Cross Currency | Total |
USD/ | 9,941,603 | 879,196 | 600,693 | 66,008 | 127,453 | 11,614,952 |
EUROPE | 5,554,873 | 64,264 | 222,126 | 14,910 | 71,790 | 5,927,963 |
EUR | 2,480,730 | 35,274 | 155,823 | 11,244 | 34,985 | 2,718,057 |
GBP | 1,426,113 | 16,767 | 50,669 | 3,049 | 25,983 | 1,522,581 |
CHF | 999,210 | 7,965 | 9,947 | 579 | 4,862 | 1,022,563 |
OTHER2 | 648,820 | 4,257 | 5,687 | 38 | 5,960 | 664,763 |
AMERICAS/CARIBBEAN | 941,744 | 218,624 | 86,056 | 2,969 | 17,747 | 1,267,140 |
CAD | 751,345 | 8,061 | 55,735 | 1,969 | 15,005 | 832,116 |
BRL | 304 | 122,801 | 15,642 | 810 | 359 | 139,915 |
OTHER3 | 190,096 | 87,762 | 14,679 | 190 | 2,383 | 295,110 |
ASIA/PACIFIC | 3,246,182 | 590,976 | 277,941 | 33,402 | 36,997 | 4,185,498 |
JPY | 1,173,479 | 23,771 | 105,246 | 9,218 | 24,150 | 1,335,863 |
CNY | 438,484 | 47,307 | 83,996 | 18,606 | 2,725 | 591,117 |
KRW | 50,837 | 126,267 | 7,627 | 420 | 905 | 186,055 |
HKD | 509,316 | 8,910 | 3,475 | 0 | 575 | 522,276 |
AUD | 465,621 | 10,934 | 22,392 | 500 | 3,165 | 502,612 |
OTHER4 | 608,445 | 373,788 | 55,206 | 4,659 | 5,478 | 1,047,575 |
OTHER5 | 198,803 | 5,332 | 14,570 | 14,728 | 919 | 234,351 |
EUR/non-USD | 583,836 | 3,410 | 64,472 | 4,111 | 1,644 | 657,473 |
OTHER6 | 158,745 | 2,369 | 14,606 | 2,937 | 2,392 | 181,050 |
TOTAL | 10,684,184 | 884,974 | 679,771 | 73,057 | 131,489 | 12,453,475 |
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. |
Product | 0-7 | 8-30 | 31-90 | 91-180 | 180+ | Total |
Swaps & Forwards | 7,180,895 | 1,471,410 | 1,050,188 | 767,658 | 214,033 | 10,684,184 |
NDF | 65,349 | 414,946 | 298,021 | 78,235 | 28,424 | 884,974 |
Options | 64,802 | 179,085 | 255,354 | 87,209 | 93,321 | 679,771 |
Exotics | 1,736 | 12,497 | 46,456 | 7,156 | 5,213 | 73,057 |
Cross Currency | 0 | 0 | 12,788 | 26,212 | 92,489 | 131,489 |
TOTAL | 7,312,782 | 2,077,938 | 1,662,806 | 966,469 | 433,480 | 12,453,475 |
Swap transaction volumes for current week, by product and clearing status (number of new trades), all participant types, tenors, and currencies. For cleared swaps, this table reflects the creation of only one of the two swaps that results from the clearing process. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket 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 [email protected] |