Report on Security-Based Swaps

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

Issued on July 15, 2022 

Based on Trade State Data for March 31, 2022 
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 date listed above, based on information reported pursuant to SEC 

Regulation SBSR2 to the two SEC-registered Security-Based 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. As this is the first report being issued pursuant to the Exchange Act 

requirements, it 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 date, 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 Mar. 31, 2022

Gross Notional 

Amount Outstanding 

(Millions of USD)

Active 

SBS Count

Total Credit 2,603,179.36 448,643 

 Cleared 133,951.06 36,449 

 Uncleared 2,432,440.55 407,087 

 Intent to Clear 36,787.75 5,107 

Total Equity 5,228,426.56 4,877,471 

 Cleared - - 

 Uncleared 5,228,426.56 4,877,471 

 Intent to Clear - - 

Total Interest Rate 189,975.73 5,575 

 Cleared - - 

 Uncleared 189,975.73 5,575 

 Intent to Clear - - 

TOTAL 8,021,581.65 5,331,689 
4

2. ITV

ITV Mar. 31, 2022

Gross Notional 

Amount Outstanding 

(Millions of USD)

Active 

SBS Count

Total Credit 1,761,108.08 138,599 

Cleared 1,752,269.68 136,441 

Uncleared 8,749.70 2,138 

Intent to Clear 88.70 20 

Total Equity - - 

Cleared - - 

Uncleared - - 

Intent to Clear - - 

Total Interest Rate - - 

Cleared - - 

Uncleared - - 

Intent to Clear - - 

TOTAL 1,761,108.08 138,599 
5

C. Registrant Type

The tables in Section C represent the gross notional amount and active security-based

swaps outstanding on the given date, 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 securitybased swaps entered into by each of the original counterparties. 

1. DDR

DDR Mar. 31, 2022

Gross Notional 

Amount Outstanding 

(Millions of USD)

Active 

SBS Count

Total Credit 5,206,358.72 897,286 

SBSDs or MSBSPs 4,029,504.80 686,522 

Other 1,176,853.91 210,764 

Total Equity 10,456,853.12 9,754,942 

SBSDs or MSBSPs 6,380,664.97 5,360,253 

Other 4,076,188.16 4,394,689 

Total Interest Rate 379,951.46 11,150 

SBSDs or MSBSPs 228,963.40 6,043 

Other 150,988.06 5,107 

TOTAL 16,043,163.30 10,663,378 

 5 Based on whether an entity was conditionally registered as of March 31, 2022. As of March 31, 2022, there were 

47 SBSDs and no MSBSPs who have filed applications for registration with the Commission.
6

2. ITV

ITV Mar. 31, 2022

Gross Notional 

Amount Outstanding 

(Millions of USD)

Active 

SBS Count

Total Credit 1,769,946.48 140,757 

SBSDs or MSBSPs 1,533,158.42 111,172 

Other 236,788.06 29,585 

Total Equity - - 

SBSDs or MSBSPs - - 

Other - - 

Total Interest Rate - - 

SBSDs or MSBSPs - - 

Other - - 

Total 1,769,946.48 140,757 
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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 date, 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

DDR Equity Mar. 31, 2022

Product Type

Gross Notional 

Amount Outstanding 

(Millions of USD)

Active 

SBS Count

Portfolio Swap 2,454,764.85 2,076,173 

Swap 1,694,927.22 447,038 

Contract For Difference 781,842.90 2,304,023 

Option 8,196.02 1,183 

Forward 4,599.45 1,279 

Other6 284,096.13 47,775 

Total 5,228,426.56 4,877,471 

2. DDR Credit

DDR Credit Mar. 31, 2022

Product Type

Gross Notional 

Amount Outstanding 

(Millions of USD)

Active 

SBS Count

Index 116,448.28 6,440 

Single Name: Corporate 1,341,903.59 301,666 

Single Name: Sovereign 892,284.17 91,349 

Total Return Swap 135,186.71 39,582 

Other7 117,356.60 9,606 

Total 2,603,179.36 448,643 

 

6

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

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 

3. DDR Interest Rate

DDR Interest Rate Mar. 31, 2022

Product Type

Gross Notional 

Amount Outstanding 

(Millions of USD)

Active 

SBS Count

Exotic 163,540.40 4,476 

Forward 26,021.81 1,095 

Other8 413.52 4 

Total 189,975.73 5,575 

4. ITV Credit

ITV Credit Mar. 31, 2022

Product Type

Gross Notional 

Amount Outstanding 

(Millions of USD)

Active 

SBS Count

Single Name 1,761,108.08 138,599 

 

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

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

filtered to exclude the following:

• Termination messages with notional amounts under $100, regardless of currency;

• 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 notional amounts of less than $100 or greater than $10 trillion, 

regardless of currency, which may reflect incorrect reporting; and

• Records with no security-based swap identifier (i.e., those missing both USI and UTI).

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 having 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 is divided by two. We do not divide the ITV 

cleared gross notional amount 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. For DDR, these security-based swaps are 

identified by the combination of the “Cleared” status field being “Y” but no value listed 

for the clearing organization. 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;

• Registration status of participants (i.e., whether or not either counterparty on a securitybased swap was a conditionally-registered SBSD or MSBSP as of March 31, 2022); and

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

converted to USD-values using exchange rates sourced from Bloomberg. 
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F. Appendix – Data Quality Observations

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

quality issues in security-based swap transactions reported on or after November 8, 2021:

• UNIQUE_SWAP_IDENTIFIER_USI and 

UNIQUE_TRANSACTION_IDENTIFIER_UTI are blank;

• PRIOR_USI_ID_PREFIX, PRIOR_USI, PRIOR_UTI_ID_PREFIX, and/or PRIOR_UTI 

are blank despite being cleared and/or post-allocation positions;

• UNDERLYING_ASSET_ID with:

o “Basket,”

o “BASKET,”

o “Bespoke,”

o “BESPOKE,”

o “UNKNOWN,”

o “NOREF,”

o “NRREF,”

o “DUMMY,” or 

o “TEMPTBD”; 

• UNDERLYING_ASSET_NAME with:

o “Basket,”

o “BASKET,”

o “Bespoke,”

o “BESPOKE,"

o “UNKNOWN,”

o “NOREF,”

o “NRREF,”

o “DUMMY,” or 

o “TEMPTBD”; 

• UNDERLYING_ASSET_ID with a nonstandard ISIN beginning with “C0”;

• UNDERLYING_ASSET_TYPE identified as “ISIN” but UNDERLYING_ASSET_ID is 

not 12 characters; 

• COUNTERPARTY_2_IDENTIFIER_SOURCE with “INTERNAL,” or “Internal”; or

• BUYER_IDENTIFIER, SELLER_IDENTIFIER, PAYER_IDENTIFIER_1, 

PAYER_IDENTIFIER_2 and RECEIVER_IDENTIFIER are blank.