cftc weekly swaps report
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7/23/2019 CFTC Weekly Swaps Report
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Weekly Swaps Report
Special Announcement
Starting on 10/28/2015, we are removing the notional value estimates for the Equity, FX and Commodities asset classes from the CFTC Weekly Swaps
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Report. We are also rolling up cross-currency swaps into the Interest Rate Swaps asset class to align our report better with the industry standard.
what is the cftc swaps report?
On January 1, 2013, certain swap market participants began reporting new and historical swap data to SDRs pursuant to 17 CFR Part 45, and the
Commission began the process of analyzing these new data and incorporating them into the CFTC Swaps Report.
The CFTC Swaps Report is designed to be a valuable public service due to its unique combination of data aggregation, free availability, and weekly
publication frequency. The CFTC Swaps Report aggregates a comprehensive body of swap market data that was not previously reported to regulators or
regulated entities, and makes that information freely available in a form that is readily usable by both market participants and the general public. The swaps
market data included in publications produced by entities such as the BIS, ISDA, and the Office of the Comptroller of the Currency vary in scope andgranularity, but none corresponds directly to the data stored in the CFTC's SDRs.
The CFTC Swaps Report complements the data made available to the public pursuant to the requirements of the Commission’s regulations governing
Real-Time Public Reporting of Swap Transaction Data (17 CFR 43). These data reflect pricing information, contract terms, notional value, and more, and
are published at the transaction level and in real-time (more frequently than the weekly production of the CFTC Swaps Report). This level of specificity
will be highly valuable in several ways, especially in enhancing the price discovery function of the swaps market; however, these data will be disaggregated
(reported as individual transactions), and any individual stream or production of these data will reflect only those transactions that are reported to a single
SDR. The CFTC Swaps Report is designed to aggregate these data across SDRs and across regular intervals of time to produce useful, informative
summary tables. Further, the CFTC Swaps Report presents only market-facing swaps transactions, i.e. those transactions executed at arms-length
between non-affiliated entities, which allows the public a view of the competitive marketplace.
The CFTC Swaps Report represents only those swaps that are reported to the CFTC’s registered SDRs by swap market participants. The CFTC Swaps
Report currently incorporates data from four SDRs (Bloomberg SDR , CME Group SDR , DTCC Data Repository, and ICE Trade Vault); however, datafrom additional SDRs could be incorporated in the future.
The Dodd-Frank Act requires that the Commission publish a report on trading, clearing, participants, and products in the swaps market on a semiannual
and annual basis. (CEA Section 2(a)(14)). The Commission has elected to publish the CFTC Swaps Report on a weekly basis, and anticipates publishing
a semiannual and annual report at a future date. This weekly publication frequency will allow members of the public and market participants to gain a more
thorough understanding of developments in the swaps market.
The CFTC Swaps Report is published every Wednesday at 3:30 p.m., unless otherwise noted. See the Release Schedule for more detailed information.
The Commission welcomes continued feedback from market participants and members of the public regarding the format, classification structures, and
supporting documentation of the CFTC Swaps Report. Submit questions or comments on the CFTC Swaps Report to [email protected].
how is the cftc swaps report structured?
The CFTC Swaps report is structured as a set of report tables and supporting documentation.
Gross Notional Outstanding
These tables provide a weekly snapshot of the market-facing notional amounts outstanding in SDRs on a gross basis, in millions of U.S. dollars, by
participant type, cleared status, and product type. For certain asset classes, these tables also display gross notional amounts outstanding by currency,
tenor, or grade. All Swaps Reports display the most recent five weeks of data for all asset classes; Swaps by Asset Class Reports display data for
individual asset classes for only the most recent week.
Transaction Dollar Volume
These tables display total weekly market-facing swap transaction dollar volumes (the combined notional values of the trade events that occur over the
course of each week) by participant type, cleared status, and product type; for certain asset classes, these tables also display swap transaction dollar
volumes by currency, tenor, or grade. Trade events include price-forming events such as new trades, terminations, amendments, and novations. All SwapsReports display swap transaction dollar volumes for the most recent five weeks of data for all asset classes; Swaps by Asset Class Reports display swap
transaction volume data for individual asset classes for only the most recent week.
Transaction Ticket Volume
These tables display total weekly market-facing swap transaction ticket volumes (the number of trade events that occur over the course of each week) by
participant type, cleared status, and product type; for certain asset classes, these reports also display swap transaction ticket volumes by currency, tenor,
or grade. Trade events include price-forming events such as new trades, terminations, amendments, and novations. All Swaps Reports display swap
transaction ticket volumes for the most recent five weeks of data for all asset classes; Swaps by Asset Class Reports display swap transaction volume data
for individual asset classes for only the most recent week.
Archive
The archive contains all of the previous publications of the proposed and current versions of the CFTC Swaps Report, dating from the initial publication to
the current reporting period. Select a date from the calendar to view the weekly report for that date.
CFTC Swaps Report Data Dictionary
The CFTC Swaps Report Data Dictionary is a glossary of terms used in the CFTC Swaps Report. Please note that this dictionary is provided exclusively
for the purpose of enhancing the usability of the CFTC Swaps Report. Refer to the CFTC Glossary for additional definitions pertaining to swaps and
derivative markets in general.
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Gross Notional Outstanding Dollar Volume Ticket Volume
Cleared Status Cleared Status Cleared Status
Participation Type Participation Type Participation Type
Gross Notional
OutstandingDollar Volume Ticket Volume
Interest Rate and Cross-
Currency Swaps
Interest Rate and Cross-
Currency Swaps
Interest Rate and Cross-
Currency Swaps
Credit Default Swaps Credit Default Swaps Credit Default Swaps
Explanatory Notes
The Explanatory Notes provide further detail on the data, aggregation methodology, and naming conventions used in the CFTC Swaps Report. Please
note that these explanatory notes are provided exclusively for the purpose of enhancing the usability of the CFTC Swaps Report.
CFTC Swaps report tables
All Swaps
Swaps by Asset Class
RELATED LINKS
Notional Outstanding
Transaction Volume
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