The Depository Trust and Clearing Corporation's redesigned Global Trade Repository service platform went live the weekend of November 20, 2020.
The redesign has necessitated changes to the code used by staff to produce the Weekly Swap Report (WSR) and precludes publication at this time.
Publication of the WSR is expected to resume in early 2021.
Transaction Dollar Volume - Interest Rate (Millions of USD)
IRS by Product & Cleared Status
|* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, and Swaption.|
IRS by Product & Major Currency
|* Includes the following products: Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, Basis, OIS, and FRA.|
IRS by Product & Tenor
|* Includes the following products: FRA, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, OIS, Swaption, and Basis.|
IRS by Product, Participant Type & Cleared Status
|* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, FRA, Fixed-Fixed, Inflation, OIS, and Swaption.|
|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. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar 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]|