CFTC Announces Weekly Swaps Report

Transparency initiative will give the public a new window into the formerly opaque swaps market

       November 20, 2013

Washington, DC – Commodity Futures Trading Commission (CFTC) Chairman Gary Gensler today announced the initiation of the CFTC Weekly Swaps Report. The weekly report will provide the public with a detailed view of the swaps marketplace that before the Dodd-Frank Act was an opaque market. Today’s report currently covers the interest rate and credit asset classes that comprise about 90% of the approximately $400 trillion swaps market. The report provides three views of the swaps market: the gross notional outstanding value, the weekly transactions measured by dollar volume, and the weekly transactions measured by ticket volume. For each asset class, the report provides detailed breakdowns of the swaps market by product type, currency (six major currencies), tenor, participant type, and whether swaps are cleared or uncleared. The Weekly Swaps Report is available at http://www.cftc.gov/MarketReports/SwapsReports.

The report shows that over the last month, approximately 70 percent of new transactions in the interest rate swaps market were cleared. As of November 8, the outstanding notional amount of market facing interest rate swaps totaled $320 trillion, and 61% of those swaps were cleared. Just 21% of the interest rate swaps market was cleared in 2008.

The Weekly Swaps Report is modeled on the CFTC’s Commitments of Traders report. The swaps report will be published each Wednesday at 3:30 p.m. Data for the week ending on a given Friday will appear in the report on the second following Wednesday (i.e. 12 days later). For example, data for the week ending November 8 appears in the report published November 20.

CFTC Chairman Gary Gensler said: “I’m pleased to announce this exciting, new transparency initiative – the CFTC Weekly Swaps Report. This builds on our long tradition of transparency in the futures markets with the Commitments of Traders report. Due to Dodd-Frank reform, the public now will benefit each week from a detailed window into the trading of the swaps market.”

Background:

The CFTC and its predecessor agencies have provided transparency into derivatives markets since the 1920s when publication of trading volume and open interest for futures markets was first required. The CFTC’s Commitments of Traders report, published weekly on Fridays, provides data on the composition of the futures and options markets. The Weekly Swaps Report expands that transparency to the swaps market.

In November 2012, the Commission began the publication of a proposed CFTC Weekly Swaps Report, with the goal of soliciting public feedback on its format, content, and supporting documentation. The preliminary version was populated with estimates derived from voluntarily supplied data and other external data sources. Commission staff incorporated feedback from comments, as well as from presentations to a number of other regulatory bodies, into the design of the current CFTC Weekly Swaps Report.

Today’s Report:

The report shows that as of November 8, the outstanding notional amount of market facing interest rate swaps totaled $320 trillion, and 61% of those swaps were cleared. Just 21% of the interest rate market cleared in 2008, according to International Swaps and Derivatives Association survey data.

The report’s transaction dollar volume data show that of the $1.8 trillion in new market facing interest rate swaps reported to swap data repositories (SDRs) during the week ending November 8, 69% of those trades were cleared.

Of the $9.1 trillion gross notional outstanding credit index swaps, over $2.1 trillion of those swaps were cleared. Transaction dollar volume data show that of $382 billion in new market facing credit index swaps over the week ending November 8, over half, or $197 billion, were cleared.

In total, for the week ending November 8, there were about 27,000 market facing swaps trades representing about $2.3 trillion. For that week, 73 percent of interest rate swap ticket volume was cleared, and 59 percent of credit index swap ticket volume was cleared.

The Weekly Swaps Report displays information on market facing swaps, which excludes transactions that are between affiliated firms within a larger corporate entity. This adjustment removes approximately $60 trillion in swaps from the total swaps value represented in the SDR records. The report also displays notional values that are analogous to the open interest figures published for exchange traded futures and options. If a swap is cleared through a central counterparty, only one of the two swaps resulting from the clearing process is counted (i.e., notional values are adjusted to remove double counting of swaps and are therefore “single-count” numbers).

To prevent the disclosure of individual market participants’ positions and proprietary trading strategies, the CFTC Weekly Swaps Report is prepared using a series of statistical screens, helping to ensure that the values presented do not inadvertently reveal confidential information.

The data in the current CFTC Swaps Report (which is being released in phases by swap asset class) is provided to SDRs by swap execution facilities, designated contract markets, derivatives clearing organizations, swap dealers, major swap participants, and other swap counterparties, as required by the final Swap Data Recordkeeping and Reporting rule (17 CFR Part 45). The CFTC Weekly Swaps Report uses data from the three SDRs: DTCC Data Repository, ICE Trade Vault, and CME SDR.

Release PR 6780-13

Questions and comments on the report can be submitted to swapsreport@cftc.gov