On March 20th, the SEC published its Report on Security-Based Swaps - Pursuant to Section 13(m)(2) of the Securities Exchange Act of 1934. The report provides aggregated and protected sensitive data for the security-based swap (SBS) market as of the dates specified for calendar year 2022 in the report’s tables. The findings are based on information reported under SEC Regulation SBSR 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).
The report uses two metrics, Gross Notional Amount Outstanding and Active SBS Count, to provide information related to the size of market-facing and active security-based swaps. These swaps are categorized by the cleared status of security-based swaps, the registrant status of entities with outstanding security-based swaps, and product types. For further details regarding these metrics and the methodology, see Section E of the report (Explanatory Notes).