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 Ticket Volume - Interest Rate (Transactions)

IRS by Product & Cleared Status

Product1 Cleared2 Uncleared Total
Basis 877 20 897
Cap/Floor 1 280 281
Exotic 1 537 538
Fixed-Fixed 0 1 1
Fixed-Float 22,220 1,390 23,610
FRA 6,099 21 6,120
Inflation 1,527 53 1,580
OIS 3,803 258 4,061
Swaption 6 1,896 1,902
TOTAL 34,534 4,456 38,990
       

IRS by Product & Major Currency

Product1 USD3 EUR GBP JPY AUD Other Total
Basis 592 12 180 27 54 32 897
Cap/Floor 217 45 6 2 5 6 281
Exotic 288 36 10 7 0 198 538
Fixed-Fixed 0 0 0 0 0 1 1
Fixed-Float 8,056 4,103 1,751 748 1,180 7,773 23,610
FRA 4,844 678 501 1 0 96 6,120
Inflation 414 425 733 0 0 9 1,580
OIS 1,386 707 1,203 6 23 736 4,061
Swaption 1,241 407 87 69 59 39 1,902
TOTAL 17,037 6,412 4,471 860 1,321 8,890 38,990
               

IRS by Product & Tenor

Product1 0-34 3-6 6-12 12-24 24-60 60-120 120-360 360+ Total
Basis 35 57 62 118 216 243 161 5 897
Cap/Floor 5 4 48 46 150 25 3 0 281
Exotic 142 41 86 20 81 92 75 2 538
Fixed-Fixed 1 0 0 0 0 0 0 0 1
Fixed-Float 1,150 348 1,253 2,742 7,072 7,098 3,762 186 23,610
FRA 5,352 767 0 0 0 0 1 0 6,120
Inflation 0 2 102 134 341 479 424 98 1,580
OIS 457 54 320 846 701 673 877 135 4,061
Swaption 4 0 172 104 310 695 591 26 1,902
TOTAL 7,146 1,273 2,042 4,009 8,871 9,305 5,894 452 38,990
                   

IRS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product1 Cleared2 Uncleared Cleared Uncleared
Fixed-Float 28,931 1,233 15,509 1,547
OTHER* 18,519 3,858 6,109 2,274
TOTAL 47,449 5,091 21,619 3,821
         
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, FRA, Inflation, OIS, and Swaption.

Notes

Swap transaction volumes for current week, by product and clearing status (number of new trades), all participant types, tenors, and currencies. For cleared swaps, this table reflects the creation of only one of the two swaps that results from the clearing process. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket 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]