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 - All Tables (Transactions)

Ticket Volume by Cleared Status

  October 23 October 30 November 06 November 13 November 20
Total Interest Rate* 42,330 35,647 36,307 38,615 38,990
Cleared** 36,654 31,124 31,314 34,006 34,534
Uncleared 5,676 4,523 4,993 4,609 4,456
Total Credit 6,168 8,488 8,316 7,193 6,032
Cleared 4,651 7,179 7,010 6,076 5,011
Uncleared 1,517 1,309 1,306 1,117 1,021
Total FX 437,548 509,128 385,597 501,492 495,877
Cleared 27,571 29,078 25,487 31,928 29,306
Uncleared 409,978 480,051 360,110 469,564 466,572
TOTAL 486,046 553,263 430,219 547,300 540,900
           
Weekly total, swap ticket volumes by asset class and cleared status (number of new trades), all products, tenors, and participant types. 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.
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.
** See Explanatory Notes for cleared and uncleared descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]

Ticket Volume by Participant Type

  October 23 October 30 November 06 November 13 November 20
Total Interest Rate* 84,660 71,293 72,614 77,230 77,980
SDs and MSPs** 48,516 48,091 47,074 50,833 52,540
Other 36,144 23,202 25,540 26,396 25,440
Total Credit 12,336 16,976 16,631 14,386 12,064
SDs and MSPs 7,784 10,469 10,420 8,821 7,403
Other 4,552 6,507 6,211 5,566 4,661
Total FX 875,097 1,018,256 771,193 1,002,983 991,755
SDs and MSPs 542,587 620,394 476,099 618,732 607,581
Other 332,509 397,863 295,094 384,251 384,174
TOTAL 972,092 1,106,526 860,438 1,094,599 1,081,799
           
Weekly total, swap ticket volumes by asset class and participant type (number of new trades), all products and tenors, cleared and uncleared. For cleared swaps, the creation of each of the two resulting swaps is attributed only to the counterparty facing the clearing organization (i.e., the clearing organization’s participation is not displayed). For uncleared swaps, each trade is attributed to both swap counterparties. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in ticket volumes. Because this table shows transactions by participant, the totals on this table are twice those displayed on the "Transaction Ticket Volume by Cleared Status" table.
* See Data Dictionary for asset class descriptions and Explanatory Notes for data sources.
** See Explanatory Notes for participant type descriptions.
The Commission requests feedback on the format and content of this CFTC Swaps Report table. Submit comments to [email protected]

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.

CDS by Product & Cleared Status

Product Cleared2 Uncleared Total
Index Tranche 4 73 77
Europe / North America 4 73 77
Index 4,961 647 5,608
Europe / Other 2,050 281 2,331
North America / Asia 2,911 366 3,277
OTHER* 46 301 347
TOTAL 5,011 1,021 6,032
       
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product & Grade

Product HY6 IG Other Total
Index Tranche 33 44 0 77
Index 2,479 2,883 246 5,608
OTHER* 140 188 19 347
TOTAL 2,652 3,115 265 6,032
         
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product Cleared2 Uncleared Cleared Uncleared
Index Tranche 8 93 0 53
Index 6,270 672 3,652 622
OTHER* 53 307 39 295
TOTAL 6,331 1,072 3,691 970
         
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product, Participant Type & Grade

  Swap Dealers/MSPs5 Others
Product HY6 IG Other HY IG Other
Index Tranche 42 59 0 24 29 0
Index 2,998 3,653 291 1,961 2,112 201
OTHER* 150 191 19 130 185 19
TOTAL 3,190 3,903 310 2,115 2,326 220
             
* Includes exotic credit products, swaptions, and total return swaps.

FX by Product & Cleared Status

Product Cleared Uncleared Total
Swaps & Forwards 2,484 371,916 374,399
NDF 26,150 75,765 101,915
Options 669 13,027 13,696
Exotics 0 4,409 4,409
Cross Currency 3 1,454 1,457
TOTAL 29,306 466,572 495,877
       

FX by Major Currency Pair, Region & Product

Currency Pair1 Swaps & Forwards NDF7 Options Exotics Cross Currency Total
USD/ 293,421 99,366 11,842 3,853 1,406 409,889
EUROPE 142,409 706 2,818 1,212 592 147,737
EUR 67,420 302 1,854 719 313 70,608
GBP 34,492 169 739 472 233 36,105
CHF 10,327 117 113 9 17 10,583
OTHER2 30,170 118 112 12 29 30,441
AMERICAS/CARIBBEAN 32,974 21,545 2,323 394 252 57,489
CAD 21,968 68 759 208 97 23,100
BRL 20 10,761 636 55 10 11,482
OTHER3 10,986 10,717 928 131 145 22,907
ASIA/PACIFIC 97,692 76,842 6,014 1,880 470 182,898
JPY 23,272 196 1,705 801 198 26,172
CNY 14,942 1,591 1,086 236 28 17,883
KRW 1,038 22,337 245 25 9 23,654
HKD 5,804 69 124 7 10 6,014
AUD 19,586 124 986 221 131 21,048
OTHER4 33,051 52,525 1,868 590 94 88,128
OTHER5 20,347 273 687 367 92 21,766
EUR/non-USD 47,463 1,059 1,290 421 26 50,259
OTHER6 33,515 1,490 564 135 25 35,729
TOTAL 374,399 101,915 13,696 4,409 1,457 495,877
             
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 0-7 8-30 31-90 91-180 180+ Total
Swaps & Forwards 154,392 123,840 56,156 29,537 10,475 374,399
NDF 5,217 32,008 54,182 8,491 2,017 101,915
Options 1,390 4,046 3,732 1,902 2,627 13,696
Exotics 51 526 931 892 2,009 4,409
Cross Currency 0 2 16 41 1,398 1,457
TOTAL 161,049 160,421 115,017 40,862 18,528 495,877
             

FX by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs Others
Product Cleared Uncleared Cleared Uncleared
Swaps & Forwards 1,835 422,862 3,132 320,970
NDF 48,670 106,951 3,629 44,580
Options 1,336 18,829 2 7,225
Exotics 0 4,771 0 4,048
Cross Currency 5 2,321 1 587
TOTAL 51,847 555,734 6,765 377,409
         

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]