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 - Interest Rate (Millions of USD)

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.
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.