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.


Gross Notional Outstanding - FX (Millions of USD)

FX by Product & Cleared Status

Product Cleared Uncleared Total
Swaps & Forwards 46,906 30,565,178 30,612,084
NDF 1,068,855 3,108,210 4,177,065
Options 3,069 5,827,441 5,830,510
Exotics 17 440,737 440,754
Cross Currency 64,018 11,044,470 11,108,488
TOTAL 1,182,866 50,986,036 52,168,902
       

FX by Major Currency Pair, Region & Product

Currency Pair1 Swaps & Forwards NDF7 Options Exotics Cross Currency Total
USD/ 27,736,299 4,126,100 5,043,114 385,850 10,613,958 47,905,320
EUROPE 14,123,940 143,135 1,689,147 137,179 5,488,701 21,582,102
EUR 8,073,763 88,348 1,316,476 101,784 3,360,413 12,940,784
GBP 3,726,177 32,946 233,948 29,754 1,602,453 5,625,277
CHF 963,043 14,267 95,645 1,784 266,173 1,340,912
OTHER2 1,360,957 7,575 43,078 3,857 259,663 1,675,129
AMERICAS/CARIBBEAN 2,077,256 933,945 655,266 49,482 1,067,443 4,783,391
CAD 1,416,627 8,200 244,563 9,800 763,409 2,442,598
BRL 273 482,654 178,343 5,515 11,851 678,635
OTHER3 660,356 443,091 232,360 34,167 292,184 1,662,157
ASIA/PACIFIC 10,738,127 3,025,880 2,444,696 189,751 3,790,895 20,189,349
JPY 5,493,822 40,295 1,030,483 96,862 2,107,068 8,768,530
CNY 1,328,913 173,435 601,461 43,644 94,782 2,242,235
KRW 133,598 751,654 96,139 4,889 71,450 1,057,730
HKD 621,098 6,041 141,253 3,023 128,964 900,380
AUD 1,665,575 25,140 190,292 20,314 954,307 2,855,627
OTHER4 1,495,122 2,029,315 385,068 21,019 434,324 4,364,848
OTHER5 796,976 23,140 254,006 9,438 266,919 1,350,478
EUR/non-USD 2,237,882 31,613 505,518 42,429 341,244 3,158,686
OTHER6 637,903 19,353 281,878 12,475 153,287 1,104,896
TOTAL 30,612,084 4,177,065 5,830,510 440,754 11,108,488 52,168,902
             
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. 

FX by Product & Tenor (Calendar Days)

Product 0-30 31-90 91-180 181-360 360+ Total
Swaps & Forwards 6,125,543 9,505,381 7,995,026 3,798,673 3,187,461 30,612,084
NDF 931,301 1,458,897 788,791 560,182 437,894 4,177,065
Options 390,787 902,131 940,390 1,248,620 2,348,582 5,830,510
Exotics 18,603 58,538 66,634 69,769 227,209 440,754
Cross Currency 652 13,483 417,477 285,254 10,391,622 11,108,488
TOTAL 7,466,886 11,938,431 10,208,319 5,962,498 16,592,768 52,168,902
             

FX by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs Others
Product Cleared Uncleared Cleared Uncleared
Swaps & Forwards 31,066 42,527,196 62,747 18,603,159
NDF 1,976,025 4,409,194 161,685 1,807,227
Options 3,999 9,090,351 2,140 2,564,531
Exotics 34 524,589 0 356,884
Cross Currency 83,072 18,416,774 44,964 3,672,166
TOTAL 2,094,195 74,968,105 271,537 27,003,968
         
These tables show a weekly snapshot of gross notional amount outstanding. Individual tables break this down by product type, cleared status, tenor or currency. All numbers in the tables represent millions of USD. All tables include all participant types, tenors and currencies. For cleared swaps, these tables reflect only the legs held by the non-CCP counterparty; using this restriction, the numbers on this table are analogous to the notional value represented by futures open interest.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]