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.


Gross Notional Outstanding - Interest Rate (Millions of USD)

IRS by Product & Cleared Status

Product1 Cleared2 Uncleared Total
Fixed-Float 113,795,377 10,430,782 124,226,160
FRA 38,120,518 148,125 38,268,643
OIS 35,991,280 963,552 36,954,832
OTHER* 23,197,063 35,758,861 58,955,923
TOTAL 211,104,238 47,301,320 258,405,558
       
* 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
Basis 11,755,598 665,518 4,343,891 1,549,105 1,655,717 916,983 20,886,811
Fixed-Float 39,588,766 35,858,215 8,749,444 6,787,844 6,420,297 26,821,595 124,226,160
FRA 16,553,222 15,102,241 4,459,964 5,832 0 2,147,384 38,268,643
OIS 9,077,855 9,964,093 10,427,990 425,540 3,333,512 3,725,841 36,954,832
Swaption 9,053,259 4,507,793 1,826,896 755,429 157,290 139,616 16,440,283
OTHER* 11,249,174 6,182,154 3,050,282 131,059 199,900 816,260 21,628,829
TOTAL 97,277,874 72,280,013 32,858,467 9,654,809 11,766,716 34,567,679 258,405,558
               
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

IRS by Product & Tenor

Product1 0-34 3-6 6-12 12-24 24-60 60+ Total
Basis 1,208,014 1,148,003 2,934,793 2,477,040 5,919,872 7,199,090 20,886,811
Fixed-Float 8,048,912 3,435,264 12,667,739 15,769,065 34,157,878 50,147,301 124,226,160
FRA 31,634,831 6,610,450 23,039 108 215 0 38,268,643
OIS 22,251,623 1,324,506 3,371,079 3,075,186 3,413,185 3,519,251 36,954,832
Swaption 137,318 1,007 4,753,922 2,573,881 2,797,957 6,176,198 16,440,283
OTHER* 1,844,327 420,134 4,497,732 2,533,656 5,344,944 6,988,036 21,628,829
TOTAL 65,125,026 12,939,365 28,248,304 26,428,936 51,634,052 74,029,876 258,405,558
               
* Includes the following products: Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

IRS by Product, Participant Type & Cleared Status

  Swap Dealers/MSPs5 Others
Product1 Cleared2 Uncleared Cleared Uncleared
Fixed-Float 165,588,081 13,118,731 62,002,674 7,742,833
FRA 65,523,845 182,161 10,717,191 114,089
OIS 47,462,531 1,223,139 24,520,029 703,965
OTHER* 38,895,326 53,049,719 7,498,800 18,468,002
TOTAL 317,469,783 67,573,751 104,738,694 27,028,889
         
* Includes the following products: Basis, Swaption, Cap/Floor, Debt Option, Exotic, Fixed-Fixed, and Inflation.

Notes

Gross notional amount outstanding, current weekly snapshot, by product type and cleared status (millions of USD), all participant types, tenors and currencies. For cleared swaps, this table reflects only one of the two swaps that results from the clearing process; therefore, the numbers on this table are analogous to the notional value of futures open interest.
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.