Transaction Dollar Volume - All Tables (Millions of USD) - 01/26/2024

Dollar Volume by Cleared Status

  December 29 January 05 January 12 January 19 January 26
Total Interest Rate* 2,946,398 8,979,769 13,561,692 10,322,717 9,085,289
Cleared** 2,482,130 7,149,898 11,518,508 8,777,460 7,362,221
Uncleared 464,268 1,829,870 2,043,184 1,545,257 1,723,068
Total Credit 92,935 275,677 385,793 364,872 350,748
Cleared 60,736 186,971 234,213 205,115 205,154
Uncleared 32,199 88,707 151,581 159,756 145,594
Total FX 7,481,725 9,927,115 12,718,850 12,586,844 12,244,597
Cleared 87,011 141,945 158,178 172,441 152,797
Uncleared 7,394,714 9,785,170 12,560,672 12,414,403 12,091,800
TOTAL 10,521,058 19,182,561 26,666,336 23,274,433 21,680,634
           
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. Only the notional values of market-facing trades are included in dollar volumes and trade events including compressions, terminations, amendments, and novations, are excluded.
* 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].

Dollar Volume by Participant Type

  December 29 January 05 January 12 January 19 January 26
Total Interest Rate* 5,892,796 17,959,537 27,123,384 20,645,434 18,170,577
SDs and MSPs** 3,900,331 11,083,760 15,919,858 12,731,410 10,782,988
Other 1,992,465 6,875,777 11,203,526 7,914,024 7,387,589
Total Credit 185,870 551,355 771,587 729,744 701,496
SDs and MSPs 114,747 333,240 458,885 438,094 406,479
Other 71,122 218,115 312,702 291,649 295,017
Total FX 14,963,450 19,854,229 25,437,701 25,173,688 24,489,194
SDs and MSPs 10,759,885 14,644,164 18,948,219 18,623,845 18,001,025
Other 4,203,565 5,210,066 6,489,482 6,549,843 6,488,169
TOTAL 21,042,116 38,365,122 53,332,672 46,548,866 43,361,268
           
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. Only the notional values of market-facing trades are included in dollar volumes and trade events including compressions, terminations, amendments, and novations, are excluded. 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].

IRS by Product & Cleared Status

Product1 Cleared2 Uncleared Total
Fixed-Float 822,129 183,484 1,005,613
OIS 6,410,059 941,211 7,351,270
Swaption 0 519,493 519,493
OTHER* 130,033 78,880 208,913
TOTAL 7,362,221 1,723,068 9,085,289
       
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, FRA, and Inflation.

IRS by Product & Major Currency

Product1 USD3 EUR Other Total
Fixed-Float 28,368 534,586 442,658 1,005,613
OIS 3,174,717 2,963,014 1,213,539 7,351,270
Swaption 205,023 182,885 131,584 519,493
OTHER* 75,257 78,381 55,275 208,913
TOTAL 3,483,366 3,758,866 1,843,057 9,085,289
         
* Includes the following products: Basis, 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
Fixed-Float 184,283 40,513 137,153 186,098 243,062 214,504 1,005,613
OIS 3,981,756 63,166 280,124 661,408 1,108,064 1,256,752 7,351,270
Swaption 97,489 119,521 101,275 102,450 33,927 64,831 519,493
OTHER* 82,630 15,811 47,019 20,268 26,799 16,387 208,913
TOTAL 4,346,157 239,010 565,570 970,224 1,411,852 1,552,475 9,085,289
               
* Includes the following products: Basis, 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
Fixed-Float 1,097,223 276,963 547,035 90,005
OIS 7,156,220 1,307,299 5,663,898 575,124
Swaption 0 665,657 0 373,329
OTHER* 179,681 99,947 80,386 57,814
TOTAL 8,433,123 2,349,865 6,291,318 1,096,271
         
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, FRA, and Inflation.

CDS by Product & Cleared Status

Product Cleared2 Uncleared Total
Index Tranche / Index / Other* 205,154 145,594 350,748
Europe 79,737 6,725 86,462
North America 121,093 5,096 126,189
Other 4,324 133,774 138,097
TOTAL 205,154 145,594 350,748
       
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product & Grade

Product HY6 IG Other Total
Index Tranche / Index 43,022 170,855 4,548 218,425
OTHER* 11,763 114,601 5,959 132,323
TOTAL 54,785 285,457 10,507 350,748
         
* 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* 245,101 161,379 165,207 129,810
Europe 99,122 10,016 60,353 3,434
North America 140,257 5,541 101,930 4,650
Other 5,722 145,821 2,925 121,726
TOTAL 245,101 161,379 165,207 129,810
         
* Includes index tranche, index, exotic, swaptions, and total return swap credit products.

CDS by Product, Participant Type & Grade

  Swap Dealers/MSPs5 Others
Product HY6 IG Other HY IG Other
Index Tranche / Index 50,572 205,771 5,860 35,472 135,939 3,235
OTHER* 13,100 125,207 5,969 10,426 103,995 5,949
TOTAL 63,672 330,978 11,829 45,898 239,935 9,184
             
* Includes exotic credit products, swaptions, and total return swaps.

FX by Product & Cleared Status

Product Cleared Uncleared Total
Swaps & Forwards 5,114 10,503,705 10,508,819
NDF 133,260 808,767 942,027
Options 14,320 605,940 620,260
OTHER* 103 173,388 173,491
TOTAL 152,797 12,091,800 12,244,597
       
* Includes cross-currency and exotics.

FX by Major Currency Pair, Region & Product

Currency Pair1 Swaps & Forwards NDF7 Options Other8 Total
USD/ 9,864,571 937,527 543,423 163,762 11,509,283
EUROPE 4,626,285 60,154 173,427 92,912 4,952,778
EUR 2,302,947 25,536 125,183 72,017 2,525,682
GBP 1,118,442 17,020 30,859 16,751 1,183,072
CHF 560,084 11,445 14,152 3,564 589,245
OTHER2 644,813 6,153 3,233 581 654,779
AMERICAS/CARIBBEAN 825,196 281,746 68,328 20,736 1,196,005
CAD 622,574 7,871 28,859 15,715 675,020
BRL 11 153,115 21,572 1,621 176,319
OTHER3 202,611 120,759 17,897 3,399 344,666
ASIA/PACIFIC 4,180,462 590,254 289,589 48,758 5,109,064
JPY 1,851,836 23,093 103,619 26,540 2,005,088
CNY 730,363 30,796 101,038 5,599 867,797
KRW 46,035 138,021 9,833 1,846 195,736
HKD 452,196 10,171 16,406 683 479,457
AUD 566,076 8,007 22,778 10,088 606,949
OTHER4 533,955 380,165 35,914 4,003 954,037
OTHER5 232,628 5,373 12,079 1,356 251,436
EUR/non-USD 504,402 2,628 52,189 5,354 564,574
OTHER6 139,846 1,871 24,649 4,375 170,740
TOTAL 10,508,819 942,027 620,260 173,491 12,244,597
           
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 0-7 8-30 31-90 91-180 180+ Total
Swaps & Forwards 7,506,228 1,017,891 1,325,966 443,644 215,090 10,508,819
NDF 58,719 372,342 381,248 89,711 40,007 942,027
Options 60,142 185,059 182,290 80,059 112,711 620,260
OTHER* 973 7,908 13,161 35,529 115,919 173,491
TOTAL 7,626,062 1,583,201 1,902,664 648,943 483,727 12,244,597
             
* Includes cross-currency and exotics.

FX by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs Others
Product Cleared Uncleared Cleared Uncleared
Swaps & Forwards 8,389 15,220,245 1,839 5,787,164
NDF 259,733 1,250,626 6,787 366,908
Options 28,640 951,909 0 259,972
OTHER* 196 281,286 10 65,490
TOTAL 296,959 17,704,066 8,635 6,479,534
         
* Includes cross-currency and exotics.

Notes

Swap dollar volumes for current week, by product type and major currency (notional value of all new trades in millions of USD), all participant types and tenors, cleared and uncleared. 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. Only the notional values of market-facing trades are included in dollar volumes and trade events including compressions, terminations, amendments, and novations, are excluded.
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].