SwapClear clears more than 50% of all OTC interest rate swaps and more than 95% of the overall cleared OTC interest rate swap market. We regularly clear in excess of $1 trillion new trades per day and have more than 1 million cleared trades outstanding. The following tables illustrate our unmatched depth of liquidity:
Daily Volume Table
May 18, 2012
Other
| Tenor (Years) | Notional Value USD | Number of Trades |
|---|---|---|
| 0-2 | $13,162,516,550 | 47 |
| 2-5 | $16,369,359,849 | 128 |
| 5-10 | $4,085,260,942 | 60 |
| 10-30 | $1,688,903,554 | 37 |
| 30+ | $39,163,852 | 2 |
| Total | $35,345,204,747 | 274 |
Total
| Tenor (Years) | Notional Value USD | Number of Trades |
|---|---|---|
| 0-2 | $748,334,579,119 | 411 |
| 2-5 | $348,796,917,526 | 571 |
| 5-10 | $272,318,398,918 | 783 |
| 10-30 | $190,084,217,021 | 847 |
| 30+ | $21,999,371,501 | 276 |
| Total | $1,581,533,484,085 | 2,888 |
CHF
| Tenor (Years) | Notional Value CHF | Notional Value USD | Number of Trades |
|---|---|---|---|
| 0-2 | CHF0 | $0 | 0 |
| 2-5 | CHF1,380,000,000 | $1,468,007,021 | 6 |
| 5-10 | CHF100,000,000 | $106,377,320 | 1 |
| 10-30 | CHF100,000,000 | $106,377,320 | 2 |
| 30+ | CHF0 | $0 | 0 |
| Total | CHF1,580,000,000 | $1,680,761,661 | 9 |
EUR
| Tenor (Years) | Notional Value EUR | Notional Value USD | Number of Trades |
|---|---|---|---|
| 0-2 | €229,873,800,000 | $292,893,702,270 | 101 |
| 2-5 | €24,743,344,000 | $31,526,731,758 | 95 |
| 5-10 | €31,169,604,000 | $39,714,750,937 | 156 |
| 10-30 | €30,261,404,000 | $38,557,567,907 | 198 |
| 30+ | €5,501,780,000 | $7,010,092,987 | 84 |
| Total | €321,549,932,000 | $409,702,845,859 | 634 |
GBP
| Tenor (Years) | Notional Value GBP | Notional Value USD | Number of Trades |
|---|---|---|---|
| 0-2 | £13,589,300,000 | $21,479,927,045 | 16 |
| 2-5 | £10,031,100,000 | $15,855,658,215 | 45 |
| 5-10 | £7,709,710,000 | $12,186,353,112 | 87 |
| 10-30 | £1,952,369,960 | $3,086,013,577 | 29 |
| 30+ | £2,072,059,740 | $3,275,201,228 | 53 |
| Total | £35,354,539,700 | $55,883,153,177 | 230 |
JPY
| Tenor (Years) | Notional Value JPY | Notional Value USD | Number of Trades |
|---|---|---|---|
| 0-2 | ¥1,538,040,000,000 | $19,452,855,246 | 12 |
| 2-5 | ¥620,620,000,000 | $7,849,490,925 | 22 |
| 5-10 | ¥729,650,000,000 | $9,228,482,893 | 57 |
| 10-30 | ¥640,660,000,000 | $8,102,953,267 | 87 |
| 30+ | ¥28,840,000,000 | $364,763,170 | 12 |
| Total | ¥3,557,810,000,000 | $44,998,545,501 | 190 |
USD
| Tenor (Years) | Notional Value USD | Number of Trades |
|---|---|---|
| 0-2 | $401,345,578,008 | 235 |
| 2-5 | $275,727,669,758 | 275 |
| 5-10 | $206,997,173,714 | 422 |
| 10-30 | $138,542,401,396 | 494 |
| 30+ | $11,310,150,264 | 125 |
| Total | $1,033,922,973,140 | 1,551 |
Outstanding Volumes
through May 18, 2012
| Currency | Outstanding Notional | Outstanding Notional USD | Outstanding Trades |
|---|---|---|---|
| USD | $104,632,361,251,259 | $104,632,361,251,259 | 335,400 |
| EUR | €91,233,761,234,358 | $116,245,496,876,758 | 324,160 |
| GBP | £14,371,720,428,557 | $22,716,659,895,398 | 98,266 |
| JPY | ¥3,017,031,079,372,066 | $38,158,870,288,649 | 164,789 |
| CHF | CHF3,024,718,707,544 | $3,217,614,709,371 | 23,805 |
| Other | — | $11,718,045,494,916 | 108,950 |
| Total | — | $296,689,048,516,351 | 1,055,370 |
Daily Volumes—Product Breakdown
May 18, 2012
Other
| Product | Daily Volume USD | Number of Trades |
|---|---|---|
| IRS—Vanilla | $27,253,533,202 | 254 |
| OIS | $0 | 0 |
| Basis | $1,228,854,494 | 3 |
| Zeroes / Compounders / Amortizers | $6,862,817,051 | 17 |
| Total | $35,345,204,747 | 274 |
Total
| Product | Daily Volume USD | Number of Trades |
|---|---|---|
| IRS—Vanilla | $1,018,606,078,440 | 2,571 |
| OIS | $273,701,301,530 | 103 |
| Basis | $81,702,962,872 | 60 |
| Zeroes / Compounders / Amortizers | $207,523,141,243 | 154 |
| Total | $1,581,533,484,085 | 2,888 |
CHF
| Product | Daily Volume CHF | Daily Volume USD | Number of Trades |
|---|---|---|---|
| IRS—Vanilla | CHF1,580,000,000 | $1,680,761,661 | 9 |
| OIS | CHF0 | $0 | 0 |
| Basis | CHF0 | $0 | 0 |
| Zeroes / Compounders / Amortizers | CHF0 | $0 | 0 |
| Total | CHF1,580,000,000 | $1,680,761,661 | 9 |
EUR
| Product | Daily Volume EUR | Daily Volume USD | Number of Trades |
|---|---|---|---|
| IRS—Vanilla | €99,006,132,000 | $126,148,663,089 | 544 |
| OIS | €184,205,800,000 | $234,705,820,070 | 65 |
| Basis | €2,000,000,000 | $2,548,300,000 | 1 |
| Zeroes / Compounders / Amortizers | €36,338,000,000 | $46,300,062,700 | 24 |
| Total | €321,549,932,000 | $409,702,845,859 | 634 |
GBP
| Product | Daily Volume GBP | Daily Volume USD | Number of Trades |
|---|---|---|---|
| IRS—Vanilla | £19,057,630,000 | $30,123,442,860 | 188 |
| OIS | £14,168,400,000 | $22,395,281,460 | 19 |
| Basis | £1,922,100,000 | $3,038,167,365 | 9 |
| Zeroes / Compounders / Amortizers | £206,409,700 | $326,261,492 | 14 |
| Total | £35,354,539,700 | $55,883,153,177 | 230 |
JPY
| Product | Daily Volume JPY | Daily Volume USD | Number of Trades |
|---|---|---|---|
| IRS—Vanilla | ¥3,458,210,000,000 | $43,738,822,488 | 184 |
| OIS | ¥0 | $0 | 0 |
| Basis | ¥99,600,000,000 | $1,259,723,013 | 6 |
| Zeroes / Compounders / Amortizers | ¥0 | $0 | 0 |
| Total | ¥3,557,810,000,000 | $44,998,545,501 | 190 |
USD
| Product | Daily Volume USD | Number of Trades |
|---|---|---|
| IRS—Vanilla | $789,660,855,140 | 1,392 |
| OIS | $16,600,200,000 | 19 |
| Basis | $73,627,918,000 | 41 |
| Zeroes / Compounders / Amortizers | $154,034,000,000 | 99 |
| Total | $1,033,922,973,140 | 1,551 |
Outstanding Volumes—Product Breakdown
through May 18, 2012
Other
| Product | Notional Outstanding USD | Number of Trades |
|---|---|---|
| IRS—Vanilla | $10,111,992,506,936 | 102,723 |
| OIS | $0 | 0 |
| Basis | $128,531,341,731 | 504 |
| Zeroes / Compounders / Amortizers | $1,477,521,646,249 | 5,723 |
| Total | $11,718,045,494,916 | 108,950 |
Total
| Product | Notional Outstanding USD | Number of Trades |
|---|---|---|
| IRS—Vanilla | $216,710,473,969,937 | 971,144 |
| OIS | $36,593,268,300,775 | 21,300 |
| Basis | $11,815,182,528,405 | 13,976 |
| Zeroes / Compounders / Amortizers | $31,570,123,717,234 | 48,950 |
| Total | $296,689,048,516,351 | 1,055,370 |
CHF
| Product | Notional Outstanding CHF | Notional Outstanding USD | Number of Trades |
|---|---|---|---|
| IRS—Vanilla | CHF2,317,439,607,544 | $2,465,230,155,358 | 21,627 |
| OIS | CHF80,631,200,000 | $85,773,309,930 | 94 |
| Basis | CHF204,771,900,000 | $217,830,860,061 | 631 |
| Zeroes / Compounders / Amortizers | CHF421,876,000,000 | $448,780,384,022 | 1,453 |
| Total | CHF3,024,718,707,544 | $3,217,614,709,371 | 23,805 |
EUR
| Product | Notional Outstanding EUR | Notional Outstanding USD | Number of Trades |
|---|---|---|---|
| IRS—Vanilla | €63,218,405,163,867 | $80,549,730,939,541 | 290,686 |
| OIS | €15,896,441,484,328 | $20,254,450,917,257 | 10,846 |
| Basis | €181,707,918,078 | $231,523,143,819 | 179 |
| Zeroes / Compounders / Amortizers | €11,937,206,668,085 | $15,209,791,876,141 | 22,449 |
| Total | €91,233,761,234,358 | $116,245,496,876,758 | 324,160 |
GBP
| Product | Notional Outstanding GBP | Notional Outstanding USD | Number of Trades |
|---|---|---|---|
| IRS—Vanilla | £9,551,450,571,407 | $15,097,500,345,695 | 89,471 |
| OIS | £3,932,581,582,000 | $6,216,035,077,588 | 3,822 |
| Basis | £856,806,000,000 | $1,354,310,403,900 | 2,687 |
| Zeroes / Compounders / Amortizers | £30,882,275,150 | $48,814,068,215 | 2,286 |
| Total | £14,371,720,428,557 | $22,716,659,895,398 | 98,266 |
JPY
| Product | Notional Outstanding JPY | Notional Outstanding USD | Number of Trades |
|---|---|---|---|
| IRS—Vanilla | ¥2,949,225,630,372,066 | $37,301,279,078,885 | 163,015 |
| OIS | ¥0 | $0 | 0 |
| Basis | ¥67,249,249,000,000 | $850,556,491,494 | 1,770 |
| Zeroes / Compounders / Amortizers | ¥556,200,000,000 | $7,034,718,270 | 4 |
| Total | ¥3,017,031,079,372,066 | $38,158,870,288,649 | 164,789 |
USD
| Product | Notional Outstanding USD | Number of Trades |
|---|---|---|
| IRS—Vanilla | $71,184,740,943,522 | 303,622 |
| OIS | $10,037,008,996,000 | 6,538 |
| Basis | $9,032,430,287,400 | 8,205 |
| Zeroes / Compounders / Amortizers | $14,378,181,024,337 | 17,035 |
| Total | $104,632,361,251,259 | 335,400 |
Cumulative Notional Volumes
through Dec 31, 2011
Monthly Notional Volumes
through Dec 31, 2011
Cumulative Trades Registered
through Dec 31, 2011
Monthly Trades Registered
through Dec 31, 2011
Outstanding Notional Volumes by Currency
as of Dec 31, 2011
Outstanding Notional Volumes by Product
as of Dec 31, 2011
Our Methodology
Notional Outstanding is the OTC equivalent of Open Interest in futures markets.
Notional Volumes are representative of the SwapClear portfolio of trades following novation to the Clearing House.
Monthly volumes have been converted to USD using exchange rates prevailing at the end of the relevant month.
Trade counts are as originally agreed between the external counterparties (pre-novation).
SwapClear supports periodic multilateral compression activity, to reduce the volume of outstanding trades. The total notional outstanding reduced by this process now exceeds 85.1 trillion USD.
“Other” currencies (other than those expressly identified in tables and charts above) are presented in USD.