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 - Interest Rate (Transactions)
IRS by Product & Cleared Status
Product1 | Cleared2 | Uncleared | Total |
Basis | 877 | 20 | 897 |
Cap/Floor | 1 | 280 | 281 |
Exotic | 1 | 537 | 538 |
Fixed-Fixed | 0 | 1 | 1 |
Fixed-Float | 22,220 | 1,390 | 23,610 |
FRA | 6,099 | 21 | 6,120 |
Inflation | 1,527 | 53 | 1,580 |
OIS | 3,803 | 258 | 4,061 |
Swaption | 6 | 1,896 | 1,902 |
TOTAL | 34,534 | 4,456 | 38,990 |
IRS by Product & Major Currency
Product1 | USD3 | EUR | GBP | JPY | AUD | Other | Total |
Basis | 592 | 12 | 180 | 27 | 54 | 32 | 897 |
Cap/Floor | 217 | 45 | 6 | 2 | 5 | 6 | 281 |
Exotic | 288 | 36 | 10 | 7 | 0 | 198 | 538 |
Fixed-Fixed | 0 | 0 | 0 | 0 | 0 | 1 | 1 |
Fixed-Float | 8,056 | 4,103 | 1,751 | 748 | 1,180 | 7,773 | 23,610 |
FRA | 4,844 | 678 | 501 | 1 | 0 | 96 | 6,120 |
Inflation | 414 | 425 | 733 | 0 | 0 | 9 | 1,580 |
OIS | 1,386 | 707 | 1,203 | 6 | 23 | 736 | 4,061 |
Swaption | 1,241 | 407 | 87 | 69 | 59 | 39 | 1,902 |
TOTAL | 17,037 | 6,412 | 4,471 | 860 | 1,321 | 8,890 | 38,990 |
IRS by Product & Tenor
Product1 | 0-34 | 3-6 | 6-12 | 12-24 | 24-60 | 60-120 | 120-360 | 360+ | Total |
Basis | 35 | 57 | 62 | 118 | 216 | 243 | 161 | 5 | 897 |
Cap/Floor | 5 | 4 | 48 | 46 | 150 | 25 | 3 | 0 | 281 |
Exotic | 142 | 41 | 86 | 20 | 81 | 92 | 75 | 2 | 538 |
Fixed-Fixed | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 1 |
Fixed-Float | 1,150 | 348 | 1,253 | 2,742 | 7,072 | 7,098 | 3,762 | 186 | 23,610 |
FRA | 5,352 | 767 | 0 | 0 | 0 | 0 | 1 | 0 | 6,120 |
Inflation | 0 | 2 | 102 | 134 | 341 | 479 | 424 | 98 | 1,580 |
OIS | 457 | 54 | 320 | 846 | 701 | 673 | 877 | 135 | 4,061 |
Swaption | 4 | 0 | 172 | 104 | 310 | 695 | 591 | 26 | 1,902 |
TOTAL | 7,146 | 1,273 | 2,042 | 4,009 | 8,871 | 9,305 | 5,894 | 452 | 38,990 |
IRS by Product, Participant Type & Cleared Status
Swap Dealers/MSPs5 | Others | |||
Product1 | Cleared2 | Uncleared | Cleared | Uncleared |
Fixed-Float | 28,931 | 1,233 | 15,509 | 1,547 |
OTHER* | 18,519 | 3,858 | 6,109 | 2,274 |
TOTAL | 47,449 | 5,091 | 21,619 | 3,821 |
* Includes the following products: Basis, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, FRA, Inflation, OIS, and Swaption. |
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. |