Report on Security-Based Swaps

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

Issued on March 20, 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 2022 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

Mar. 31 May 27 Jul. 29 Sep. 30 Nov. 25 Mar. 31 May 27 Jul. 29 Sep. 30 Nov. 25

Total Credit 2,603,180 2,618,783 2,708,521 2,652,922 2,780,613 448,643 498,878 488,993 495,257 523,212

 Cleared 133,951 141,115 146,971 151,136 184,753 36,449 40,165 40,219 39,787 45,923

 Uncleared 2,432,441 2,425,930 2,535,471 2,447,888 2,523,893 407,087 451,282 444,754 447,732 464,946

 Intent to Clear 36,788 51,738 26,079 53,898 71,967 5,107 7,431 4,020 7,738 12,343

Total Equity 5,228,427 5,007,184 3,690,675 3,488,627 3,613,617 4,877,471 5,955,083 3,356,922 3,219,057 3,444,968

 Cleared - - - - - - - - - -

 Uncleared 5,228,427 5,007,184 3,690,675 3,488,627 3,613,617 4,877,471 5,955,083 3,356,922 3,219,057 3,444,968

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

Total Rates 189,976 185,559 295,245 159,758 177,992 5,575 5,895 5,829 5,620 5,705

 Cleared - - - - - - - - - -

 Uncleared 189,976 185,559 295,245 159,758 177,992 5,575 5,895 5,829 5,620 5,705

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

TOTAL 8,021,583 7,811,526 6,694,441 6,301,307 6,572,222 5,331,689 6,459,856 3,851,744 3,719,934 3,973,885
4

2. ITV

ITV

Gross Notional Outstanding 

(Millions of USD) Active SBS Count

Mar. 315 May 27 Jul. 29 Sep. 30 Nov. 25 Mar. 31 May 27 Jul. 29 Sep. 30 Nov. 25

Total Credit 1,752,680 1,676,765 1,671,191 1,797,763 1,892,416 136,601 135,121 133,365 145,082 154,903

 Cleared 1,752,270 1,674,980 1,669,685 1,795,423 1,887,583 136,441 134,822 133,196 144,803 154,228

 Uncleared 89 1,418 1,449 2,270 4,733 20 147 155 262 605

 Intent to Clear 321 367 57 70 100 140 152 14 17 70

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

 Cleared - - - - - - - - - - 

 Uncleared - - - - - - - - - - 

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

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

 Cleared - - - - - - - - - - 

 Uncleared - - - - - - - - - - 

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

TOTAL 1,752,680 1,676,765 1,671,191 1,797,763 1,892,416 136,601 135,121 133,365 145,082 154,903

 5

 For ITV, the gross notional amount and active security-based swaps outstanding for March 31, 2022, have been updated compared to the 

information previously published on July 15, 2022. This reflects updates to: (1) remove historical security-based swaps that were terminated prior 

to November 8, 2021; and (2) correct labels for “Uncleared” and “Intent to Clear” swaps. 
5

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.6 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

Mar. 31 May 27 Jul. 29 Sep. 30 Nov. 25 Mar. 31 May 27 Jul. 29 Sep. 30 Nov. 25

Total Credit 5,206,360 5,237,566 5,417,042 5,305,844 5,561,226 897,286 997,756 977,986 990,514 1,046,424

 SBSDs or MSBSPs 4,029,506 4,111,794 4,157,332 4,165,550 4,403,130 686,522 771,337 755,342 765,436 812,647

 Other 1,176,854 1,125,772 1,259,710 1,140,294 1,158,096 210,764 226,419 222,644 225,078 233,777

Total Equity 10,456,854 10,014,368 7,381,350 6,977,254 7,227,234 9,754,942 11,910,166 6,713,844 6,438,114 6,889,936

 SBSDs or MSBSPs 6,380,665 6,047,352 4,537,190 4,330,411 4,490,592 5,360,253 6,470,769 3,878,802 3,779,530 4,013,393

 Other 4,076,189 3,967,016 2,844,160 2,646,843 2,736,642 4,394,689 5,439,397 2,835,042 2,658,584 2,876,543

Total Rates 379,952 371,118 590,490 319,516 355,984 11,150 11,790 11,658 11,240 11,410

 SBSDs or MSBSPs 228,963 223,430 335,968 190,341 210,663 6,043 6,398 6,478 6,128 6,214

 Other 150,989 147,688 254,522 129,175 145,321 5,107 5,392 5,180 5,112 5,196

TOTAL 16,043,166 15,623,052 13,388,882 12,602,614 13,144,444 10,663,378 12,919,712 7,703,488 7,439,868 7,947,770

 6

 Based on whether an entity was conditionally registered as of each specified date. As of March 31, 2022, May 27, 2022, July 29, 2022, 

September 30, 2022, and November 25, 2022, there were, respectively, 47, 47, 47, 48, and 49 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 five dates.
6

2. ITV

ITV

Gross Notional Amount Outstanding 

(Millions of USD) Active SBS Count

Mar. 317 May 27 Jul. 29 Sep. 30 Nov. 25 Mar. 31 May 27 Jul. 29 Sep. 30 Nov. 25

Total Credit 1,753,090 1,678,550 1,672,697 1,800,103 1,897,249 136,761 135,420 133,534 145,361 155,578

 SBSDs or MSBSPs 1,516,302 1,438,005 1,427,820 1,543,047 1,632,251 107,176 104,193 102,126 113,584 122,831

 Other 236,788 240,545 244,877 257,056 264,998 29,585 31,227 31,408 31,777 32,747

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

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

 Other - - - - - - - - - -

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

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

 Other - - - - - - - - - -

TOTAL 1,753,090 1,678,550 1,672,697 1,800,103 1,897,249 136,761 135,420 133,534 145,361 155,578

 7

 For ITV, the gross notional amount and active security-based swaps outstanding for March 31, 2022, have been updated compared to the 

information previously published on July 15, 2022. This reflects updates to remove historical security-based swaps that were terminated prior to 

November 8, 2021. 
7

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

Mar. 31 May 27 Jul. 29 Sep. 30 Nov. 25 Mar. 31 May 27 Jul. 29 Sep. 30 Nov. 25

Portfolio Swap 2,454,765 2,128,047 2,021,873 1,737,657 1,688,672 2,076,173 2,215,784 2,250,008 2,125,179 2,266,706

Swap 1,694,928 1,677,337 973,370 1,057,021 1,183,279 447,038 530,206 415,751 462,797 491,508

Contract For 

Difference 781,843 921,678 419,822 348,036 398,952 2,304,023 3,159,701 644,314 584,481 642,965

Option 8,196 8,861 8,403 7,672 6,915 1,183 1,218 1,296 1,327 1,281

Forward 4,599 4,660 5,495 5,727 5,663 1,279 1,289 1,286 1,420 1,393

Other8 284,096 266,601 261,712 332,514 330,136 47,775 46,885 44,267 43,853 41,115

Total 5,228,427 5,007,184 3,690,675 3,488,627 3,613,617 4,877,471 5,955,083 3,356,922 3,219,057 3,444,968

 8

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

Product Type

Gross Notional Outstanding 

(Millions of USD) Active SBS Count

Mar. 31 May 27 Jul. 29 Sep. 30 Nov. 25 Mar. 31 May 27 Jul. 29 Sep. 30 Nov. 25

Index 116,448 110,061 106,248 40,847 44,407 6,440 7,146 6,740 3,086 2,992

Single Name: 

Corporate 1,341,904 1,321,748 1,298,748 1,404,801 1,556,315 301,666 342,591 330,658 339,652 364,465

Single Name: 

Sovereign 892,284 936,555 901,618 903,958 900,072 91,349 97,997 95,087 93,881 93,807

Total Return Swap 135,187 129,283 274,457 173,019 156,849 39,582 41,002 47,383 48,372 49,867

Other9 117,357 121,136 127,450 130,297 122,970 9,606 10,142 9,125 10,266 12,081

Total 2,603,180 2,618,783 2,708,521 2,652,922 2,780,613 448,643 498,878 488,993 495,257 523,212

3. DDR Interest Rate

Product Type

Gross Notional Outstanding 

(Millions of USD) Active SBS Count

Mar. 31 May 27 Jul. 29 Sep. 30 Nov. 25 Mar. 31 May 27 Jul. 29 Sep. 30 Nov. 25

Exotic 163,540 158,146 156,841 135,238 153,306 4,476 4,532 4,471 4,315 4,419

Forward 26,022 26,254 137,319 23,778 23,818 1,095 1,237 1,241 1,186 1,164

Other10 414 1,159 1,085 742 868 4 126 117 119 122

Total 189,976 185,559 295,245 159,758 177,992 5,575 5,895 5,829 5,620 5,705

 9

 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).

10 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

Mar. 3111 May 27 Jul. 29 Sep. 30 Nov. 25 Mar. 31 May 27 Jul. 29 Sep. 30 Nov. 25

Single Name: 

Corporate 1,202,846 1,133,722 1,146,738 1,256,974 1,348,002 115,920 116,135 114,737 125,886 134,741

Single Name: 

Sovereign 549,834 543,043 524,453 540,789 544,414 20,681 18,986 18,628 19,196 20,162

Total 1,752,680 1,676,765 1,671,191 1,797,763 1,892,416 136,601 135,121 133,365 145,082 154,903

 11 For ITV, the gross notional amount and active security-based swaps outstanding for March 31, 2022, have been updated compared to the 

information previously published on July 15, 2022. This reflects updates to remove historical security-based swaps that were terminated prior to 

November 8, 2021. 
10

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 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

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 each specified date);
11

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

publicly available ITV reference file;12 and

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

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

Bloomberg and ICE. The exchange rates sourced were the end of day, last price, 

exchange rates for each specified date.

 12 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.
12

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 currency13 as of November 25, 2022. 

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.

 13 “Other” includes an additional 33, 33, and 21 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:

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

• EXPIRATION_DATE is blank. 

• OPTION_PREMIUM_PAYMENT_DATE, OPTION_TYPE, and/or OPTION_STYLE 

are blank despite OPTION_PREMIUM_AMOUNT being provided. 

• NOTIONAL_CURRENCY is not the actual currency of NOTIONAL_AMOUNT.

• Both counterparties report the same transaction to a SBSDR. 

• 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_TYPE identified as “ISIN” but UNDERLYING_ASSET_ID is 

not 12 characters.

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

• BUYER_IDENTIFIER, SELLER_IDENTIFIER, PAYER_IDENTIFIER_1, 

PAYER_IDENTIFIER_2 and RECEIVER_IDENTIFIER are blank.