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 - Credit (Transactions)

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.

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 swapsreport@cftc.gov.