Report on Security-Based Swaps

Pursuant to Section 13(m)(2) of the Securities Exchange Act of 1934 

Issued on November 17, 2023
2

A. Introduction

This report,

1 issued by the Securities and Exchange Commission (“SEC” or 

“Commission”), provides aggregated and anonymized information for the security-based swap

(“SBS”) market as of the dates specified for calendar year 2023 in the tables below, based on 

information reported pursuant to SEC Regulation SBSR2 to the two SEC-registered SecurityBased Swap Data Repositories (“SBSDRs”) – the Depository Trust & Clearing Corporation Data 

Repository (“DDR”) and the ICE Trade Vault (“ITV”).

3

Specifically, this report uses two metrics – “Gross Notional Amount Outstanding” and 

“Active SBS Count” – to provide information about the size of market-facing and active 

security-based swaps, categorized by the cleared status of security-based swaps, the registrant 

status of entities with outstanding security-based swaps, and product types.4 Refer to Section E 

below for additional detail regarding these metrics and the methodology.

1

 This report is issued pursuant to Section 13(m)(2) of the Securities Exchange Act of 1934 (“Exchange 

Act”). 15 U.S.C. 78m(m)(2).

2

 17 CFR 242.900 to 242.909.

3

 Note that additional entities may register as SBSDRs in the future.

4

 Section 13(m)(2)(A)(ii) of the Exchange Act states that the Commission shall also make available 

information relating to developments in new products. This report does not include a discussion of new 

products. Future reports may, as necessary, include such a discussion.
3

B. Cleared Status

The tables in Section B represent the gross notional amount and active security-based swaps outstanding on the given dates, categorized by asset class and cleared status.

For cleared security-based swaps in DDR, these tables incorporate only one of the two security-based swaps that result from the clearing process. For ITV, these tables incorporate 

all of the cleared security-based swaps.

1. DDR 

DDR

Gross Notional Outstanding 

(Millions of USD) Active SBS Count

Jan. 27 Feb. 24 Mar. 31 Apr. 28 May 26 Jun. 30 Jan. 27 Feb. 24 Mar. 31 Apr. 28 May 26 Jun. 30

Total Credit 2,361,048 2,409,102 2,575,890 2,558,448 2,552,879 2,454,181 432,838 446,470 461,822 458,167 461,570 429,758 

 Cleared 180,101 186,181 190,512 201,333 205,440 209,913 21,832 24,354 22,898 23,904 25,169 24,954 

 Uncleared 2,170,386 2,200,978 2,372,692 2,334,002 2,340,208 2,237,781 409,255 418,604 437,125 430,674 435,038 403,448 

 Intent to Clear 10,561 21,943 12,686 23,113 7,231 6,487 1,751 3,512 1,799 3,589 1,363 1,356 

Total Equity 3,864,372 3,824,041 3,967,400 4,108,239 4,176,513 4,060,346 3,280,497 3,362,024 3,502,413 3,425,936 3,313,944 3,395,638 

 Cleared - - - - - - - - - - - - 

 Uncleared 3,864,372 3,824,041 3,967,400 4,108,239 4,176,513 4,060,346 3,280,497 3,362,024 3,502,413 3,425,936 3,313,944 3,395,638 

 Intent to Clear - - - - - - - - - - - - 

Total Rates 184,259 177,051 179,302 170,945 160,247 175,304 5,321 5,466 5,566 5,521 5,251 5,469 

 Cleared - - - - - - - - - - - - 

 Uncleared 184,259 177,051 179,302 170,945 160,247 175,304 5,321 5,466 5,566 5,521 5,251 5,469 

 Intent to Clear - - - - - - - - - - - - 

TOTAL 6,409,679 6,410,194 6,722,592 6,837,632 6,889,639 6,689,831 3,718,656 3,813,960 3,969,801 3,889,624 3,780,765 3,830,865 
4

2. ITV

ITV

Gross Notional Outstanding 

(Millions of USD) Active SBS Count

Jan. 27 Feb. 24 Mar. 31 Apr. 28 May 26 Jun. 30 Jan. 27 Feb. 24 Mar. 31 Apr. 28 May 26 Jun. 30

Total Credit 1,827,844 1,856,852 1,985,133 1,998,502 1,964,526 1,877,999 147,767 152,824 158,827 159,626 157,139 149,703 

 Cleared 1,821,967 1,850,501 1,976,730 1,989,153 1,955,155 1,868,528 146,961 151,918 157,699 158,272 155,772 148,262 

 Uncleared 5,687 6,106 8,098 8,969 8,990 9,049 707 788 973 1,171 1,182 1,252 

 Intent to Clear 190 245 305 380 381 422 99 118 155 183 185 189 

Total Equity - - - - - - - - - - - - 

 Cleared - - - - - - - - - - - - 

 Uncleared - - - - - - - - - - - - 

 Intent to Clear - - - - - - - - - - - - 

Total Rates - - - - - - - - - - - - 

 Cleared - - - - - - - - - - - - 

 Uncleared - - - - - - - - - - - - 

 Intent to Clear - - - - - - - - - - - - 

TOTAL 1,827,844 1,856,852 1,985,133 1,998,502 1,964,526 1,877,999 147,767 152,824 158,827 159,626 157,139 149,703 
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C. Registrant Type

The tables in Section C represent the gross notional amount and active security-based swaps outstanding on the given dates, categorized by asset class and registrant type.

For registrant type, security-based swap dealers (“SBSDs”) and major security-based swap participants (“MSBSPs”) are grouped together.5 For cleared security-based swaps

where at least one counterparty is an SBSD or an MSBSP, these tables reflect the security-based swaps entered into by each of the original counterparties, but do not include the 

positions of the clearing organizations’ themselves. For uncleared security-based swaps, these tables reflect the security-based swaps entered into by each of the original 

counterparties. 

1. DDR

DDR

Gross Notional Amount Outstanding 

(Millions of USD) Active SBS Count

Jan. 27 Feb. 24 Mar. 31 Apr. 28 May 26 Jun. 30 Jan. 27 Feb. 24 Mar. 31 Apr. 28 May 26 Jun. 30

Total Credit 4,722,096 4,818,204 5,151,780 5,116,896 5,105,758 4,908,362 865,676 892,940 923,644 916,334 923,140 859,516 

 SBSDs or MSBSPs 3,715,010 3,782,853 4,076,930 4,033,143 4,011,828 3,802,862 652,093 673,630 702,174 694,531 699,945 642,914 

 Other 1,007,086 1,035,351 1,074,850 1,083,753 1,093,930 1,105,500 213,583 219,310 221,470 221,803 223,195 216,602 

Total Equity 7,728,744 7,648,082 7,934,800 8,216,478 8,353,026 8,120,692 6,560,994 6,724,048 7,004,826 6,851,872 6,627,888 6,791,276 

 SBSDs or MSBSPs 4,824,168 4,799,711 5,005,682 5,190,623 5,261,758 5,216,885 4,032,704 4,199,293 4,410,637 4,247,705 4,017,914 4,154,018 

 Other 2,904,576 2,848,371 2,929,118 3,025,855 3,091,268 2,903,807 2,528,290 2,524,755 2,594,189 2,604,167 2,609,974 2,637,258 

Total Rates 368,518 354,102 358,604 341,890 320,494 350,608 10,642 10,932 11,132 11,042 10,502 10,938 

 SBSDs or MSBSPs 218,418 209,399 211,648 204,676 191,216 203,291 5,907 6,037 6,127 6,106 5,827 5,963 

 Other 150,100 144,703 146,956 137,214 129,278 147,317 4,735 4,895 5,005 4,936 4,675 4,975 

TOTAL 12,819,358 12,820,388 13,445,184 13,675,264 13,779,278 13,379,662 7,437,312 7,627,920 7,939,602 7,779,248 7,561,530 7,661,730 

5

 Based on whether an entity was conditionally registered as of each specified date. As of each of the specified dates, there were 50 SBSDs who had filed applications for registration with the 

Commission. No MSBSPs had filed applications for registration with the Commission as of any of the specified dates.
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2. ITV

ITV

Gross Notional Amount Outstanding 

(Millions of USD) Active SBS Count

Jan. 27 Feb. 24 Mar. 31 Apr. 28 May 26 Jun. 30 Jan. 27 Feb. 24 Mar. 31 Apr. 28 May 26 Jun. 30

Total Credit 1,833,721 1,863,203 1,993,536 2,007,851 1,973,897 1,887,470 148,573 153,730 159,955 160,980 158,506 151,144 

 SBSDs or MSBSPs 1,573,089 1,593,996 1,713,661 1,725,657 1,702,530 1,617,234 117,091 121,446 127,330 128,281 126,958 120,893 

 Other 260,632 269,207 279,875 282,194 271,367 270,236 31,482 32,284 32,625 32,699 31,548 30,251 

Total Equity - - - - - - - - - - - -

 SBSDs or MSBSPs - - - - - - - - - - - -

 Other - - - - - - - - - - - -

Total Rates - - - - - - - - - - - -

 SBSDs or MSBSPs - - - - - - - - - - - -

 Other - - - - - - - - - - - -

TOTAL 1,833,721 1,863,203 1,993,536 2,007,851 1,973,897 1,887,470 148,573 153,730 159,955 160,980 158,506 151,144 
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D. Product 

The tables in Section D represent the gross notional amount and active security-based swaps outstanding on the given dates, categorized by product classification as 

provided in the “Product ID” field. For cleared security-based swaps in DDR, these tables incorporate only one of the two security-based swaps that result from the clearing 

process. For ITV, these tables incorporate all of the cleared security-based swaps.

1. DDR Equity

Product Type

Gross Notional Outstanding 

(Millions of USD) Active SBS Count

Jan. 27 Feb. 24 Mar. 31 Apr. 28 May 26 Jun. 30 Jan. 27 Feb. 24 Mar. 31 Apr. 28 May 26 Jun. 30

Portfolio Swap 2,219,403 2,191,652 2,197,840 2,355,280 2,420,772 2,183,849 2,133,605 2,188,988 2,287,049 2,352,416 2,361,749 2,393,330 

Swap 922,530 936,039 1,016,071 1,007,229 1,049,513 1,087,655 388,980 384,880 366,660 314,512 306,185 314,334 

Contract For 

Difference 356,915 301,641 316,283 315,850 308,867 325,488 524,259 465,887 477,281 490,161 490,358 509,375 

Option 4,306 5,217 6,564 7,622 8,164 9,463 1,247 1,446 1,577 1,753 1,934 2,157 

Forward 3,308 3,603 2,096 1,428 1,510 2,181 752 495 448 435 474 475 

Other6 357,910 385,889 428,546 420,830 387,687 451,710 231,654 320,328 369,398 266,659 153,244 175,967 

Total 3,864,372 3,824,041 3,967,400 4,108,239 4,176,513 4,060,346 3,280,497 3,362,024 3,502,413 3,425,936 3,313,944 3,395,638 

6

 “Other” is a category in the DDR Equity Product ID field. All Product ID categories are listed in the table.
8

2. DDR Credit

Product Type

Gross Notional Outstanding 

(Millions of USD) Active SBS Count

Jan. 27 Feb. 24 Mar. 31 Apr. 28 May 26 Jun. 30 Jan. 27 Feb. 24 Mar. 31 Apr. 28 May 26 Jun. 30

Index 45,632 42,840 48,055 50,731 57,319 64,799 2,618 2,776 2,851 2,554 2,664 2,637 

Single Name: 

Corporate 1,346,788 1,404,538 1,545,929 1,570,922 1,563,719 1,412,554 296,195 310,663 324,508 325,316 330,008 300,408 

Single Name: 

Sovereign 695,870 680,659 708,376 664,826 653,692 663,038 70,217 69,437 70,395 65,293 64,529 60,259 

Total Return Swap 153,508 158,828 159,192 162,953 165,849 181,942 51,604 52,975 55,336 56,747 55,444 58,123 

Other7 119,250 122,237 114,338 109,016 112,300 131,848 12,204 10,619 8,732 8,257 8,925 8,331 

Total 2,361,048 2,409,102 2,575,890 2,558,448 2,552,879 2,454,181 432,838 446,470 461,822 458,167 461,570 429,758 

3. DDR Interest Rate

Product Type

Gross Notional Outstanding 

(Millions of USD) Active SBS Count

Jan. 27 Feb. 24 Mar. 31 Apr. 28 May 26 Jun. 30 Jan. 27 Feb. 24 Mar. 31 Apr. 28 May 26 Jun. 30

Exotic 147,310 140,222 141,934 131,833 118,020 122,597 3,860 3,769 3,839 3,795 3,612 3,708 

Forward 27,565 27,335 26,453 26,373 26,822 27,760 1,174 1,370 1,383 1,352 1,228 1,258 

Other8 9,384 9,494 10,915 12,739 15,405 24,947 287 327 344 374 411 503 

Total 184,259 177,051 179,302 170,945 160,247 175,304 5,321 5,466 5,566 5,521 5,251 5,469 

7

 Includes the following products reported to SBSDRs: exotic, index tranche, swaptions, and other single name (e.g., asset-backed, loan, and municipal security-based swaps).

8

 Includes the following products reported to SBSDRs: inflation, debt option, and cross-currency.
9

4. ITV Credit

Product Type

Gross Notional Outstanding 

(Millions of USD) Active SBS Count

Jan. 27 Feb. 24 Mar. 31 Apr. 28 May 26 Jun. 30 Jan. 27 Feb. 24 Mar. 31 Apr. 28 May 26 Jun. 30

Single Name: 

Corporate 1,321,709 1,338,680 1,444,443 1,463,634 1,430,499 1,358,904 129,264 132,931 138,344 139,495 136,990 130,390 

Single Name: 

Sovereign 506,135 518,172 540,690 534,868 534,027 519,095 18,503 19,893 20,483 20,131 20,149 19,313 

Total 1,827,844 1,856,852 1,985,133 1,998,502 1,964,526 1,877,999 147,767 152,824 158,827 159,626 157,139 149,703 
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E. Explanatory Notes

“Gross Notional Amount Outstanding” represents the total outstanding notional value of 

active, market-facing security-based swaps on the specified date. “Active SBS” are those that 

have been neither terminated nor reached their scheduled maturity and are therefore open 

positions as of the given date. Security-based swaps are considered to be “market-facing” when 

they are executed at arms-length between third parties. Non-market-facing inter-affiliate swaps 

are required to be reported and included in data collected by SBSDRs for the SEC. This report 

provides information about the size of market-facing swaps.

For purposes of the analysis in Sections B through D, the data submitted to SBSDRs was 

filtered to exclude the following:

• Termination messages with USD or USD-equivalent notional amounts less than $100;

• Records with duplicate composite identifiers, created by combining the Unique Swap 

Identifier (USI) and Unique Transaction Identifier (UTI). To avoid double-counting, 

only the most recently reported duplicate was kept;

• Trade records with USD or USD-equivalent notional amounts of less than $100 or greater 

than $100 billion, which may reflect incorrect reporting; and

• Pre-allocation trades, which are expected to terminate soon after execution and which 

may not include the counterparty or counterparties who receive some or all of the 

allocation.

Additionally, the data was paired with various reporting tags and other information to permit 

further filtration and tabulation of relevant aggregations, including the following tags and 

methodology:

• Cleared security-based swaps, commonly referred to as “Betas” or “Gammas,” are based 

upon the “Cleared” status field available in both DDR and ITV and which have a

reporting counterparty in a list of known clearing organizations;

• To avoid double-counting Beta and Gamma security-based swaps, the DDR cleared 

security-based swaps gross notional amount and active security-based swaps count are

divided by two. We do not divide the ITV cleared gross notional amount or active 

security-based swap count by two because of compression adjustments made by ITV 

before the SEC receives the data;

• “Intent to Clear” security-based swaps, commonly referred to as Alphas, are not 

applicable to “Cleared” aggregated measures. Some uncleared positions in DDR are also 

in ITV; 

• Inter-affiliate security-based swaps were filtered out of the tabulations by virtue of their 

counterparties having direct parent-child relationships in the Global Legal Entity 

Identifier Golden Copy relationship file updated daily at the Commission;
11

• Registration status of participants (i.e., whether or not either counterparty on a securitybased swap was a conditionally-registered SBSD or MSBSP as of each specified date);

• Categorization of ITV Credit underliers as either corporate or sovereign was based on a 

publicly available ITV reference file;9 and

• Security-based swaps with notional amounts denominated in foreign currencies were 

converted to USD-equivalent notional amounts using exchange rates sourced from ICE.

The exchange rates sourced were the end of day, last price, exchange rates for each 

specified date.

9 The list of CDS contracts cleared by ICE Clear Credit is available at: 

https://www.theice.com/publicdocs/clear_credit/ICE_Clear_Credit_Clearing_Eligible_Products.xls.
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F. Appendix – Notional Currencies

The charts in Section F represent the percentage of the total gross notional amount of 

active security-based swaps that is denominated in each currency10 as of June 30, 2023. For 

cleared security-based swaps in DDR, these figures incorporate only one of the two securitybased swaps that result from the clearing process. For ITV, these figures incorporate all of the 

cleared security-based swaps.

10 “Other” includes an additional 33, 28, and 20 currencies for credit, equity, and interest rate securitybased swaps, respectively.
13 

G. Appendix – Data Quality Observations 

The following is a non-exhaustive sample of potential security-based swap data quality 

issues identified in security-based swap transactions while conducting analysis included in this 

report: 

• Active open positions are not yet updated to the reporting standards effective beginning 

December 5, 2022.11

• Either Public Price Dissemination or Trade Activity messages are not reported. 

• Both counterparties are reporting the same transaction to one or more SBSDRs. 

• For new trades executed since December 5, 2022, 

UNIQUE_TRANSACTION_IDENTIFIER is either: (1) not submitted; or (2) does not 

follow the appropriate syntax. 

• NOTIONAL_AMOUNT does not reflect the actual notional amount of the transaction. 

• NOTIONAL_CURRENCY does not reflect the actual currency of the 

NOTIONAL_AMOUNT.

• UNDERLIER_ID contains: 

o “Basket,”

o “BASKET,”

o “Bespoke,” 

o “BESPOKE,”

o “UNKNOWN,”

o “NOREF,”

o “NRREF,”

o “DUMMY,” 

o “TEMPTBD,” or 

o An otherwise missing or invalid entry. 

• UNDERLYING_ASSET_NAME contains: 

o “Basket,”

o “BASKET,”

o “Bespoke,” 

o “BESPOKE,"

o “UNKNOWN,” 

o “NOREF,” 

o “NRREF,”

o “DUMMY,” 

o “TEMPTBD,” or 

o An otherwise missing or invalid entry. 

11 DDR implemented changes to their data structure that became effective December 5, 2022. There were no 

changes at ITV. Submitters to DDR must update their active security-based swap positions to provide new data 

elements, add required data elements if not previously provided, and re-send underlier information. 
14

• UNDERLYING_ASSET_TYPE is identified as “ISIN” but UNDERLYING_ASSET_ID 

is not 12 characters.

• UNDERLIER_ID and UNDERLYING_ASSET_TYPE reference more than one asset 

when the product is identified as Single Name. 

• EXPIRATION_DATE is a placeholder date and not the actual date of expiration.

• PRIOR_USI/PRIOR_UTI is the same value as USI/UTI. 

• OPTION_PREMIUM_PAYMENT_DATE, OPTION_TYPE, and/or OPTION_STYLE 

are blank despite OPTION_PREMIUM_AMOUNT being provided. 

• CLEARED field indicates “uncleared” or “intended to be cleared” when 

COUNTERPARTY_2 is a clearinghouse. 

• EVENT_TYPE and ACTION_TYPE codes do not align with the intended purpose for 

the message. For example, the reporting party is not using the: (1) CORR action type 

when submitting messages contain corrections to previously reported data elements; or 

(2) EROR action type to indicate a previous message was sent in error.