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 - All Tables (Millions of USD)

Dollar Volume by Cleared Status

  October 23 October 30 November 06 November 13 November 20
Total Interest Rate* 6,206,011 5,952,543 6,257,084 6,264,326 7,391,819
Cleared** 5,275,773 5,402,596 4,758,598 5,605,828 6,723,007
Uncleared 930,238 549,947 1,498,486 658,498 668,812
Total Credit 351,678 453,166 406,430 436,450 321,750
Cleared 263,256 335,899 304,826 340,020 251,768
Uncleared 88,423 117,267 101,605 96,431 69,982
Total FX 10,481,439 12,634,060 7,673,280 9,530,383 10,818,416
Cleared 244,428 237,737 169,602 218,367 251,462
Uncleared 10,237,011 12,396,323 7,503,678 9,312,016 10,566,953
TOTAL 17,039,128 19,039,769 14,336,794 16,231,160 18,531,985
           
Weekly total, swap dollar volumes by asset class and cleared status (value of all trades in millions of USD), all products, tenors, and participant types. 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.
* 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]

Dollar Volume by Participant Type

  October 23 October 30 November 06 November 13 November 20
Total Interest Rate* 12,412,022 11,905,086 12,514,168 12,528,653 14,783,638
SDs and MSPs** 8,772,643 8,812,260 8,769,398 8,583,159 10,711,984
Other 3,639,379 3,092,826 3,744,770 3,945,494 4,071,654
Total Credit 703,356 906,332 812,861 872,901 643,501
SDs and MSPs 446,669 549,903 505,522 526,190 387,230
Other 256,688 356,428 307,339 346,710 256,271
Total FX 20,962,878 25,268,120 15,346,560 19,060,767 21,636,831
SDs and MSPs 15,889,121 18,294,718 11,591,933 14,198,811 16,209,195
Other 5,073,757 6,973,402 3,754,627 4,861,956 5,427,636
TOTAL 34,078,257 38,079,538 28,673,589 32,462,320 37,063,970
           
Weekly total, swap dollar volumes by asset class and participant type (value of all trades in millions of USD), all products and tenors, 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. The notional values of all price-forming trade events, including new trades, terminations, amendments, and novations, are included in dollar volumes. Because this table shows transactions by participant, the totals on this table are twice those displayed on the "Transaction Dollar 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
Fixed-Float 2,198,095 67,233 2,265,328
FRA 2,281,728 5,272 2,287,000
OIS 1,856,628 12,770 1,869,398
OTHER* 386,555 583,537 970,093
TOTAL 6,723,007 668,812 7,391,819
       
* 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
Fixed-Float 924,981 431,894 234,792 72,260 90,400 511,000 2,265,328
OTHER* 3,050,114 782,801 641,804 13,019 136,488 502,263 5,126,491
TOTAL 3,975,096 1,214,696 876,597 85,279 226,888 1,013,263 7,391,819
               
* Includes the following products: Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, Basis, OIS, and FRA.

IRS by Product & Tenor

Product1 0-34 3-6 6-12 12-24 24-60 60-120 120-360 360+ Total
Fixed-Float 487,285 61,310 241,768 400,152 532,397 411,931 127,532 2,954 2,265,328
OTHER* 3,836,368 233,282 311,970 230,912 244,387 178,481 86,955 4,134 5,126,491
TOTAL 4,323,653 294,592 553,739 631,064 776,785 590,412 214,487 7,088 7,391,819
                   
* Includes the following products: FRA, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, Inflation, OIS, Swaption, and Basis.

IRS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product1 Cleared2 Uncleared Cleared Uncleared
Fixed-Float 2,972,819 73,162 1,423,371 61,305
OTHER* 6,859,809 806,195 2,190,014 396,964
TOTAL 9,832,628 879,357 3,613,386 458,268
         
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, FRA, Fixed-Fixed, Inflation, OIS, and Swaption.

CDS by Product & Cleared Status

Product Cleared2 Uncleared Total
Index Tranche / Index 240,734 23,246 263,980
OTHER* 11,034 46,736 57,771
TOTAL 251,768 69,982 321,750
       
* Includes exotic credit products, swaptions, and total return swaps.

CDS by Product & Grade

Product HY6 IG Other Total
Index Tranche / Index 49,756 210,127 4,097 263,980
OTHER* 16,932 40,624 215 57,771
TOTAL 66,688 250,751 4,311 321,750
         
* 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
TOTAL* 311,223 76,007 192,313 63,957
         
* Includes index tranche, index, exotic, swaptions, and total return swap credit products.

CDS by Product, Participant Type & Grade

  Swap Dealers/MSPs5 Others
Product HY6 IG Other HY IG Other
Index Tranche / Index 58,906 262,346 4,685 40,606 157,908 3,508
OTHER* 17,704 43,373 215 16,160 37,875 215
TOTAL 76,611 305,719 4,900 56,766 195,782 3,722
             
* Includes exotic credit products, swaptions, and total return swaps.

FX by Product & Cleared Status

Product Cleared Uncleared Total
Swaps & Forwards 60,458 9,416,141 9,476,599
NDF 183,698 521,451 705,148
Options 5,084 449,397 454,480
Exotics 0 33,039 33,039
Cross Currency 2,223 146,925 149,148
TOTAL 251,462 10,566,953 10,818,416
       

FX by Major Currency Pair, Region & Product

Currency Pair1 Swaps & Forwards NDF7 Options Exotics Cross Currency Total
USD/ 8,779,567 700,015 385,183 23,332 147,252 10,035,350
EUROPE 4,746,515 42,840 119,900 4,253 61,432 4,974,940
EUR 2,795,077 23,817 86,918 2,664 31,576 2,940,053
GBP 1,109,192 12,479 26,284 1,550 21,991 1,171,496
CHF 362,282 5,672 2,298 13 2,475 372,740
OTHER2 479,963 872 4,400 27 5,390 490,652
AMERICAS/CARIBBEAN 616,623 172,229 58,814 3,887 21,768 873,321
CAD 448,668 2,489 19,698 228 17,510 488,592
BRL 157 88,430 23,001 1,045 323 112,955
OTHER3 167,799 81,310 16,115 2,614 3,936 271,774
ASIA/PACIFIC 3,204,492 481,714 186,520 13,147 61,499 3,947,372
JPY 1,728,656 13,003 58,509 5,153 43,540 1,848,862
CNY 269,753 35,350 60,380 2,464 374 368,321
KRW 45,083 120,661 11,197 574 177 177,692
HKD 188,765 2,122 3,769 19 460 195,134
AUD 522,686 8,484 20,992 1,626 11,374 565,162
OTHER4 449,548 302,094 31,673 3,312 5,574 792,201
OTHER5 211,937 3,233 19,948 2,044 2,554 239,716
EUR/non-USD 549,493 2,954 54,173 9,230 1,192 617,042
OTHER6 147,539 2,179 15,125 477 704 166,025
TOTAL 9,476,599 705,148 454,480 33,039 149,148 10,818,416
             
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 6,215,522 1,238,947 1,254,891 610,772 156,467 9,476,599
NDF 57,388 366,664 200,728 58,629 21,740 705,148
Options 39,054 144,785 120,941 74,006 75,694 454,480
Exotics 1,473 10,323 7,236 3,619 10,389 33,039
Cross Currency 0 191 2,932 18,910 127,116 149,148
TOTAL 6,313,436 1,760,910 1,586,728 765,936 391,406 10,818,416
             

FX by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs Others
Product Cleared Uncleared Cleared Uncleared
Swaps & Forwards 8,872 14,091,988 112,044 4,740,295
NDF 332,076 808,145 35,320 234,756
Options 10,096 689,611 71 209,182
Exotics 0 41,512 0 24,567
Cross Currency 3,912 222,982 533 70,868
TOTAL 354,957 15,854,238 147,968 5,279,668
         

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]