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 - Credit (Millions of USD)

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.
Swap dollar volumes for current week, by product type and major currency (notional value of all new trades in millions of USD), all participant types and tenors, cleared and uncleared. 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.
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 swapsreport@cftc.gov.