- Data through
- 2026-09-30
- Build date
- 2026-10-20
Foreign exchange derivatives in the DTCC tape. The class is dominated by non-deliverable forwards on Asian and Latin American currencies against the dollar, which is the flow the CFTC record captures best.
Trades per day by instrument
Non-Deliverable ForwardsForwardsFx SwapsOptionsOther
Currency pairs, window
| Pair | Trades | Leg-1 notional as disseminated | Capped share of trades |
|---|---|---|---|
| KRW/USD | 262,819 | 418,440,856,099,450 | 0.7% |
| TWD/USD | 222,360 | 8,388,489,537,678 | 0.4% |
| INR/USD | 210,541 | 27,588,047,196,938 | 0.7% |
| BRL/USD | 111,427 | 2,057,101,862,526 | 0.5% |
| IDR/USD | 89,794 | 1,791,675,965,786,459 | 0.5% |
| PHP/USD | 56,607 | 4,710,550,254,987 | 0.6% |
| CLP/USD | 46,083 | 81,129,915,193,960 | 1.1% |
| COP/USD | 33,503 | 258,535,248,135,381 | 1.8% |
| EUR/USD | 19,973 | 797,542,231,582 | 1.3% |
| JPY/USD | 16,485 | 20,920,648,516,124 | 3.5% |
| CNY/USD | 11,761 | 1,110,445,474,344 | 0.8% |
| PEN/USD | 10,414 | 144,083,845,596 | 2.4% |
| CAD/USD | 8,516 | 219,635,545,021 | 2.0% |
| MXN/USD | 7,470 | 609,991,778,948 | 0.6% |
| MYR/USD | 6,749 | 42,588,838,039 | 3.4% |
Leg-1 notional is printed as disseminated, in the first leg's currency units, without conversion: pairs are not comparable in size on this column, and the trades column carries the activity comparison.
FX swaps, tenor profile
Tenor of FX swaps (the NA/Swaps contracts), execution to expiry. Cross-currency swaps are interest rate products and are disseminated in the rates record, not here.
| Tenor bucket | Trades | Leg-1 notional as disseminated |
|---|---|---|
| 0-3 months | 10,985 | 82,380,039,607,949 |
| 3-6 months | 2,760 | 28,242,063,524,854 |
| 6-12 months | 372 | 2,928,985,010,208 |
| 12-24 months | 146 | 917,935,870,919 |
| 24-36 months | 21 | 93,252,695,532 |
| 36-48 months | 3 | 32,049,950 |
| 60-84 months | 1 | 17,000,000 |
| 84-120 months | 1 | 18,499,540 |
Traded forward rates, non-deliverable forwards
Median traded outright rate by tenor bucket, from the disseminated exchange rate field, populated on over 99 percent of forward records. The tape carries no spot rate; the 0 to 7 day bucket is the shortest traded point, not a spot quote. Rates are printed in each pair's market quotation basis.
| Pair | 0-7d | 8-31d | 32-92d | 93-182d | 183-366d | 1-2Y | over 2Y |
|---|---|---|---|---|---|---|---|
| KRW/USD | 1347.1350 | 1358.1435 | 1357.7800 | 1344.5300 | 1351.6000 | 1348.9400 | 1339.2900 |
| TWD/USD | 31.7212 | 31.7450 | 31.7800 | 31.5650 | 31.6495 | 31.5700 | 31.6000 |
| INR/USD | 95.7030 | 95.3600 | 96.0500 | 95.7991 | 97.6848 | 99.1000 | 102.1900 |
| BRL/USD | 5.2025 | 5.1530 | 5.2045 | 5.2230 | 5.3850 | 5.5983 | 6.2814 |
| IDR/USD | 17685.0000 | 17744.3829 | 17800.9000 | 17757.0000 | 18025.0000 | 18167.0000 | not yet reported |
| PHP/USD | 62.6500 | 62.7000 | 62.7900 | 62.8960 | 63.4180 | 63.7625 | not yet reported |
| CLP/USD | 944.1070 | 939.2700 | 955.1500 | 935.3800 | 942.6800 | 934.1000 | not yet reported |
| COP/USD | 3140.8900 | 3162.7800 | 3218.6400 | 3186.7300 | 3319.6250 | 3492.0000 | not yet reported |
| PEN/USD | 3.3685 | 3.3650 | 3.3802 | 3.3753 | 3.3891 | 3.4006 | not yet reported |
| CNY/USD | 6.7727 | 6.7530 | 6.7304 | 6.7065 | 6.6258 | 6.5131 | not yet reported |
| MYR/USD | 4.0751 | 4.0705 | 4.0730 | 4.0511 | 4.0410 | not yet reported | not yet reported |
| EUR/USD | 1.1547 | 1.1494 | 1.1520 | 1.1669 | 1.1635 | not yet reported | not yet reported |
| EUR/GBP | 0.8591 | not yet reported | not yet reported | not yet reported | 0.8708 | not yet reported | not yet reported |
| BRL/EUR | 5.9225 | 5.9632 | 6.0057 | 6.1126 | 6.2599 | 6.4658 | not yet reported |
| EUR/KRW | 1555.7000 | 1577.3000 | 1578.6350 | 1581.3200 | 1580.5800 | 1561.7100 | not yet reported |
Cells print where at least 25 trades support the bucket. Trade counts by bucket are in the pair detail below for the three deepest pairs.
KRW/USD
| Tenor bucket | Trades | Median rate | Interquartile range |
|---|---|---|---|
| 0-7d | 4,506 | 1347.1350 | 1340.5000 to 1359.7890 |
| 8-31d | 15,663 | 1358.1435 | 1346.6400 to 1368.7735 |
| 32-92d | 220,708 | 1357.7800 | 1346.8474 to 1367.8100 |
| 93-182d | 16,580 | 1344.5300 | 1340.1136 to 1356.3000 |
| 183-366d | 1,163 | 1351.6000 | 1342.5070 to 1361.7850 |
| 1-2Y | 458 | 1348.9400 | 1341.6400 to 1361.1600 |
| over 2Y | 104 | 1339.2900 | 1330.6875 to 1353.0381 |
TWD/USD
| Tenor bucket | Trades | Median rate | Interquartile range |
|---|---|---|---|
| 0-7d | 3,439 | 31.7212 | 31.5651 to 31.8108 |
| 8-31d | 13,354 | 31.7450 | 31.6519 to 31.8190 |
| 32-92d | 190,171 | 31.7800 | 31.6510 to 31.8643 |
| 93-182d | 11,285 | 31.5650 | 31.3945 to 31.6918 |
| 183-366d | 785 | 31.6495 | 31.4750 to 31.7500 |
| 1-2Y | 250 | 31.5700 | 31.4613 to 31.6600 |
| over 2Y | 67 | 31.6000 | 31.4837 to 31.6520 |
INR/USD
| Tenor bucket | Trades | Median rate | Interquartile range |
|---|---|---|---|
| 0-7d | 5,025 | 95.7030 | 94.9800 to 95.9039 |
| 8-31d | 16,209 | 95.3600 | 94.8158 to 96.0035 |
| 32-92d | 168,992 | 96.0500 | 95.1642 to 96.2520 |
| 93-182d | 15,550 | 95.7991 | 95.2966 to 96.5278 |
| 183-366d | 1,634 | 97.6848 | 97.0800 to 98.3000 |
| 1-2Y | 767 | 99.1000 | 98.4237 to 99.4100 |
| over 2Y | 115 | 102.1900 | 101.7700 to 104.7250 |
Notional amounts are as publicly disseminated by the swap data repository. A trade larger than the regulatory cap for its asset class is disseminated at the cap value and is flagged in the source data. All notional totals are therefore lower bounds on true traded notional. The share of trades and of disseminated notional that is capped is printed beside each exhibit. Cap thresholds were revised effective 7 October 2024; comparisons across that date partly reflect the change in disclosure, not only in activity.