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 - All Tables (Millions of USD)

Gross Notional by Status

  October 23 October 30 November 06 November 13 November 20
Total Interest Rate* 255,865,183 254,400,973 258,963,075 259,464,483 258,405,558
Cleared** 209,261,588 207,988,023 211,711,821 211,928,016 211,104,238
Uncleared 46,603,596 46,412,950 47,251,253 47,536,467 47,301,320
Total Credit 4,291,805 4,301,681 4,429,017 4,707,110 4,392,259
Cleared 2,780,562 2,726,375 2,784,469 3,034,697 2,843,363
Uncleared 1,511,243 1,575,306 1,644,548 1,672,412 1,548,896
Total FX 49,778,059 51,941,482 50,698,687 51,561,934 52,168,902
Cleared 1,139,356 1,123,988 1,147,545 1,161,390 1,182,866
Uncleared 48,638,703 50,817,494 49,551,141 50,400,544 50,986,036
TOTAL 309,935,047 310,644,136 314,090,778 315,733,526 314,966,719
           
Weekly snapshot, gross notional amount outstanding by asset class and cleared status (millions of USD), all products, tenors, and participant types. For cleared swaps, this table reflects only one of the two swaps that results from the clearing process; therefore, the numbers on this table are analogous to the notional value of futures open interest.
* 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]

Gross Notional by Participant Type

  October 23 October 30 November 06 November 13 November 20
Total Interest Rate* 511,730,367 508,801,946 517,926,149 518,928,965 516,811,116
SDs and MSPs** 379,920,550 377,168,946 385,336,325 386,111,804 385,043,533
Other 131,809,817 131,632,999 132,589,825 132,817,161 131,767,583
Total Credit 8,583,610 8,603,363 8,858,034 9,414,219 8,784,518
SDs and MSPs 6,212,713 6,160,660 6,371,764 6,844,808 6,298,847
Other 2,370,897 2,442,702 2,486,270 2,569,411 2,485,670
Total FX 99,556,118 103,882,964 101,397,373 103,123,868 104,337,804
SDs and MSPs 73,834,188 76,036,960 74,800,101 76,004,720 77,062,300
Other 25,721,930 27,846,003 26,597,272 27,119,148 27,275,504
TOTAL 619,870,095 621,288,272 628,181,556 631,467,053 629,933,438
           
Weekly snapshot, gross notional amount outstanding by asset class and participant type (millions of USD), all products, origins, currencies, tenors, and participant types, cleared and uncleared. For cleared swaps, the notional value for 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, the notional value of the swap is attributed to both swap counterparties. Because this table shows the aggregated notional values of swaps by participant, the totals on this table are twice those displayed on the "Gross Notional Outstanding 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
Fixed-Float 113,795,377 10,430,782 124,226,160
FRA 38,120,518 148,125 38,268,643
OIS 35,991,280 963,552 36,954,832
OTHER* 23,197,063 35,758,861 58,955,923
TOTAL 211,104,238 47,301,320 258,405,558
       
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, and Swaption.

IRS by Product & Major Currency

Product1 USD3 EUR GBP JPY AUD Other Total
Basis 11,755,598 665,518 4,343,891 1,549,105 1,655,717 916,983 20,886,811
Fixed-Float 39,588,766 35,858,215 8,749,444 6,787,844 6,420,297 26,821,595 124,226,160
FRA 16,553,222 15,102,241 4,459,964 5,832 0 2,147,384 38,268,643
OIS 9,077,855 9,964,093 10,427,990 425,540 3,333,512 3,725,841 36,954,832
Swaption 9,053,259 4,507,793 1,826,896 755,429 157,290 139,616 16,440,283
OTHER* 11,249,174 6,182,154 3,050,282 131,059 199,900 816,260 21,628,829
TOTAL 97,277,874 72,280,013 32,858,467 9,654,809 11,766,716 34,567,679 258,405,558
               
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

IRS by Product & Tenor

Product1 0-34 3-6 6-12 12-24 24-60 60+ Total
Basis 1,208,014 1,148,003 2,934,793 2,477,040 5,919,872 7,199,090 20,886,811
Fixed-Float 8,048,912 3,435,264 12,667,739 15,769,065 34,157,878 50,147,301 124,226,160
FRA 31,634,831 6,610,450 23,039 108 215 0 38,268,643
OIS 22,251,623 1,324,506 3,371,079 3,075,186 3,413,185 3,519,251 36,954,832
Swaption 137,318 1,007 4,753,922 2,573,881 2,797,957 6,176,198 16,440,283
OTHER* 1,844,327 420,134 4,497,732 2,533,656 5,344,944 6,988,036 21,628,829
TOTAL 65,125,026 12,939,365 28,248,304 26,428,936 51,634,052 74,029,876 258,405,558
               
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

IRS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product1 Cleared2 Uncleared Cleared Uncleared
Fixed-Float 165,588,081 13,118,731 62,002,674 7,742,833
FRA 65,523,845 182,161 10,717,191 114,089
OIS 47,462,531 1,223,139 24,520,029 703,965
OTHER* 38,895,326 53,049,719 7,498,800 18,468,002
TOTAL 317,469,783 67,573,751 104,738,694 27,028,889
         
* Includes the following products: Basis, Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

CDS by Product & Cleared Status

Product Cleared2 Uncleared Total
Index Tranche / Index 2,839,753 948,237 3,787,990
Asia 60,232 69,759 129,991
Europe 1,904,917 262,875 2,167,792
North America 841,507 563,999 1,405,506
Other 33,097 51,604 84,701
OTHER* 3,610 600,659 604,269
TOTAL 2,843,363 1,548,896 4,392,259
       
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product & Grade

Product HY6 IG Other Total
Index Tranche 61,885 153,102 0 214,987
Index 567,016 2,920,185 85,801 3,573,002
Asia 0 129,991 0 129,991
Europe 311,738 1,733,284 0 2,045,022
North America 255,278 1,056,910 1,210 1,313,398
Other 0 0 84,591 84,591
OTHER* 87,234 455,152 61,883 604,269
TOTAL 716,136 3,528,439 147,684 4,392,259
         
* 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 / Index / Other* 4,236,363 2,062,484 1,450,362 1,035,308
Asia 104,776 119,708 15,687 19,810
Europe 3,081,931 361,928 727,904 163,821
North America 1,002,091 801,948 680,922 326,050
Other 47,565 778,900 25,849 525,627
TOTAL 4,236,363 2,062,484 1,450,362 1,035,308
         
* 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 96,788 199,021 0 26,982 107,184 0
Index 811,064 4,363,338 118,918 322,968 1,477,031 52,685
Asia 0 224,484 0 0 35,497 0
Europe 509,869 2,768,701 0 113,608 697,867 0
North America 301,195 1,370,153 2,281 209,361 743,667 139
Other 0 0 116,636 0 0 52,546
OTHER* 96,935 548,734 64,049 77,533 361,570 59,717
TOTAL 1,004,788 5,111,093 182,967 427,483 1,945,785 112,402
             
* Includes exotic credit products, swaptions, and total return swaps.

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
         

Notes

Gross notional amount outstanding, current weekly snapshot, by product type and cleared status (millions of USD), all participant types, tenors and currencies. For cleared swaps, this table reflects only one of the two swaps that results from the clearing process; therefore, the numbers on this table are analogous to the notional value of futures open interest.
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]