- Data through
- 2026-09-30
- Currency
- USD
- Build date
- 2026-10-20
Interest rate swaps in USD from the DTCC tape: outright trades only for every price exhibit (package legs, curve packages and compression trades are excluded from prices and counted in volume), final chain state for every figure. The grid buckets trades by exact tenor in months; where a benchmark point is thin, the bucket widens to one or three months either side of the benchmark.
Par-rate grid, traded
Latest day: 2026-09-30. Rates are percent per year. The grid is built from traded rates, not dealer quotes.
| Tenor | VWAP rate (%) | Day change (bp) | Median rate (%) | Interquartile range (%) | Trades | DV01 ($) |
|---|---|---|---|---|---|---|
| 1Y | 4.56 | -5.1 | 4.55 | 4.52 to 4.60 | 138 | $1.6M |
| 2Y | 4.61 | -18.1 | 4.74 | 4.70 to 4.78 | 192 | $3.8M |
| 3Y | 4.79 | -2.0 | 4.78 | 4.76 to 4.80 | 63 | $1.6M |
| 5Y | 4.62 | -17.5 | 4.79 | 4.75 to 4.83 | 325 | $7.5M |
| 7Y | 4.58 | -23.2 | 4.81 | 4.77 to 4.84 | 71 | $1.6M |
| 10Y | 4.49 | -38.5 | 4.86 | 4.81 to 4.90 | 352 | $12.6M |
| 20Y | 4.87 | -12.3 | 5.03 | 4.99 to 5.06 | 49 | $2.0M |
| 30Y | 4.66 | -24.5 | 4.93 | 4.71 to 4.96 | 196 | $6.2M |
Traded rates, five-year point, daily candles
Open, high, low and close of the day's traded fixed rates, with DV01 beneath. DV01 is the annuity approximation stated on the method page.
Traded rates, ten-year point, daily candles
Open, high, low and close of the day's traded fixed rates, with DV01 beneath. DV01 is the annuity approximation stated on the method page.
Curve spread 2s5s
Curve spread 5s10s
Curve spread 10s30s
Tenor distribution, window
| Tenor bucket | Trades | Share of trades | DV01 ($) |
|---|---|---|---|
| 0-3 months | 2,525 | 6.6% | $52.2M |
| 3-6 months | 1,905 | 5.0% | $15.9M |
| 6-12 months | 1,498 | 3.9% | $11.7M |
| 12-24 months | 3,977 | 10.4% | $74.5M |
| 24-36 months | 4,068 | 10.7% | $77.8M |
| 36-48 months | 1,932 | 5.1% | $40.8M |
| 48-60 months | 1,577 | 4.1% | $50.4M |
| 60-84 months | 7,001 | 18.4% | $175.3M |
| 84-120 months | 2,056 | 5.4% | $73.1M |
| 120-180 months | 6,796 | 17.8% | $214.6M |
| 180-240 months | 686 | 1.8% | $33.0M |
| 240-360 months | 1,144 | 3.0% | $52.6M |
| 360+ months | 2,916 | 7.7% | $86.9M |
Product mix by week, DV01
| Week | Basis | Fixed-float | Forward | Inflation | OIS | Options | Other |
|---|---|---|---|---|---|---|---|
| Week of 01 Jun 2026 | not yet reported | 8.0% | not yet reported | not yet reported | 91.3% | 0.7% | not yet reported |
| Week of 08 Jun 2026 | not yet reported | 5.8% | not yet reported | not yet reported | 43.0% | 51.1% | not yet reported |
| Week of 15 Jun 2026 | not yet reported | 1.9% | not yet reported | not yet reported | not yet reported | 98.1% | not yet reported |
| Week of 22 Jun 2026 | not yet reported | 9.7% | not yet reported | not yet reported | 19.0% | 69.5% | 1.9% |
| Week of 29 Jun 2026 | 45.9% | 4.1% | not yet reported | not yet reported | not yet reported | 50.0% | not yet reported |
| Week of 06 Jul 2026 | not yet reported | 1.1% | not yet reported | not yet reported | not yet reported | 98.9% | not yet reported |
| Week of 13 Jul 2026 | not yet reported | 46.7% | not yet reported | not yet reported | 46.8% | 5.9% | 0.6% |
| Week of 20 Jul 2026 | 3.5% | 16.3% | not yet reported | not yet reported | not yet reported | 80.2% | not yet reported |
| Week of 27 Jul 2026 | not yet reported | 5.9% | not yet reported | not yet reported | not yet reported | 93.5% | 0.6% |
| Week of 03 Aug 2026 | not yet reported | 1.1% | not yet reported | not yet reported | 1.3% | 96.7% | 0.9% |
| Week of 10 Aug 2026 | not yet reported | 2.2% | not yet reported | not yet reported | 1.5% | 95.2% | 1.1% |
| Week of 17 Aug 2026 | not yet reported | 1.9% | not yet reported | not yet reported | 37.6% | 60.6% | 0.0% |
| Week of 24 Aug 2026 | 0.3% | 7.5% | not yet reported | not yet reported | 52.0% | 34.1% | 6.1% |
| Week of 31 Aug 2026 | 3.2% | 2.8% | 0.0% | 2.5% | 86.1% | 4.8% | 0.5% |
| Week of 07 Sep 2026 | 2.7% | 2.6% | 0.0% | 1.4% | 89.7% | 3.0% | 0.5% |
| Week of 14 Sep 2026 | 1.7% | 2.4% | 0.0% | 2.4% | 89.2% | 3.6% | 0.7% |
| Week of 21 Sep 2026 | 0.9% | 2.5% | 0.0% | 2.0% | 91.0% | 3.1% | 0.5% |
| Week of 28 Sep 2026 | 1.2% | 2.3% | 0.0% | 1.6% | 88.9% | 5.0% | 0.8% |
OIS against fixed-float, 5Y point
| Week | Median OIS less fixed-float (bp) |
|---|---|
| Week of 31 Aug 2026 | -27.2 |
| Week of 07 Sep 2026 | -8.9 |
| Week of 14 Sep 2026 | -10.7 |
| Week of 21 Sep 2026 | -8.7 |
| Week of 28 Sep 2026 | -15.5 |
OIS against fixed-float, 10Y point
| Week | Median OIS less fixed-float (bp) |
|---|---|
| Week of 31 Aug 2026 | -8.9 |
| Week of 07 Sep 2026 | +123.5 |
| Week of 14 Sep 2026 | -8.4 |
| Week of 21 Sep 2026 | -2.0 |
| Week of 28 Sep 2026 | -8.6 |
Notional amounts are as publicly disseminated by the swap data repository. A trade larger than the regulatory cap for its asset class is disseminated at the cap value and is flagged in the source data. All notional totals are therefore lower bounds on true traded notional. The share of trades and of disseminated notional that is capped is printed beside each exhibit. Cap thresholds were revised effective 7 October 2024; comparisons across that date partly reflect the change in disclosure, not only in activity.