The definitions set forth in the CFTC Swaps Report Explanatory Notes are provided for the purpose of enhancing the user’s understanding of the data presented in the Swaps Report tables. Where applicable, these definitions reflect aspects of the swaps visible in the data submitted to provisionally registered swap data repositories (SDRs), which the Commission uses to populate the CFTC Swaps Report.1 Definitions do not state or suggest the views of the Commission concerning the legal significance or meaning of any word or term and no definition is intended to state or suggest the Commission’s views concerning any trading strategy, market practice, or economic theory.
Gross Notional Outstanding
Gross notional outstanding represents the total outstanding market-facing notional value (the “face value” of a swap upon which the payment streams for that swap are based) of active swaps2 that are reported to an SDR as of the end of the reporting period.3 By indicating the sum of the face values of all reported market-facing swap transactions,4 the total gross notional amounts outstanding displayed in the Swaps Report present one measure of the total size of the swaps market that is readily comparable across asset classes.
Total gross notional amounts outstanding displayed in the Swaps Report for cleared swaps are accumulated using only one of the two swaps that results from the clearing process for a given transaction. The gross notional outstanding numbers displayed on the tables in the CFTC Swaps Report are broadly analogous to the notional value of futures open interest.
For the purposes of these reports, individual multi-commodity swaps are counted in the asset class identified by the reporting counterparty as the “primary asset class,” as required by reporting regulations.
Notional amounts outstanding are expressed in millions of U.S. dollars. The notional values of swaps denominated in other currencies are converted to U.S. dollars using publicly available price information.
Transaction Dollar Volume
Transaction dollar volume represents the total of the combined notional values, in U.S. dollars, of all of the new trade events that are reported to an SDR during the reporting period. Whereas the gross notional outstanding represents a weekly snapshot of the total notional value of all active swaps in SDRs, transaction dollar volumes represent the total notional values of all market-facing swaps that were transacted during the week-long period. These individual transactions are identified by using the Unique Swap Identifiers (USIs) required by the Commission’s Swap Data Recordkeeping and Reporting Rule (17 CFR Part 45) for all swap transactions reported to a registered SDR.5 The total dollar volumes of reported swap transactions displayed in the Swaps Report present a measure of swaps market activity.
For cleared swaps, transaction dollar volumes reflect the notional value of only one of the two swaps that results from the clearing process. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in transaction dollar volumes.
Transaction Ticket Volume
Transaction ticket volume represents the number of new market-facing trade events that are reported to an SDR during the one-week period between the notional outstanding snapshots used in the Swaps Report. As with transaction dollar volumes, these individual transactions are identified by using the Unique Swap Identifiers (USIs) required by the Commission’s Swap Data Recordkeeping and Reporting Rule (17 CFR Part 45) for all market-facing swap transactions6 reported to a registered SDR.7 The total volumes of reported swap transactions displayed in the Swaps Report present another measure of swaps market activity.
For cleared swaps, transaction ticket volumes are accumulated using only one of the two swaps that results from the clearing process for a given transaction. All price-forming trade events, including new trades, terminations, amendments, and novations, are included in transaction ticket volumes.
For the purposes of the CFTC Swaps Report only, a cleared swap is a swap that is submitted by its counterparties to a clearing organization, which guarantees both sides of the swap by serving as a central counterparty. The clearing organization does this by abolishing the original swap and creating two new swaps: one between each counterparty to the original swap and the clearing organization. An uncleared swap is a bilaterally-executed swap that is not cleared and settled through a clearing organization.
The CFTC Swaps Report divides swap market participants into two distinct groups: Registered swap dealers and major swap participants (SD/MSPs), and those participants that have not registered as swap dealers or major swap participants (identified in the CFTC Swaps Report with the designation “Others”). In order to segregate the data received from SDRs based on participant type, these reports determine whether each counterparty to a swap is an SD or MSP based on whether or not the counterparty has registered as such with the Commission.8 In classifying swaps market participants as SDs or MSPs, the weekly CFTC Swaps Report publication reflects the most current list of those participants registered with the Commission.9
Where appropriate to prevent the improper disclosure of identities, business transactions, or market positions of counterparties, the CFTC Swaps Report combines multiple product types into an “Other” category, which allows for the totals in the Swaps by Asset Class tables to correspond exactly to the totals in the All Swaps tables of the CFTC Swaps Report. As a result, the product categories listed in the Swaps by Asset Class tables may not be consistent for each table in a particular asset class. Through these measures, the Commission has generally sought to limit the unintended disclosure of the identities, business transactions, or market positions of swap counterparties.10
The Commission welcomes comments on the CFTC Swap Report. Submit questions and comments to email@example.com.
1 The CFTC Swaps Report uses data in the interest rate and credit asset classes reported to three SDRs that are provisionally registered with the CFTC: CME Group SDR (interest rate and credit asset classes), DTCC Derivatives Repository (interest rate and credit asset classes), and ICE Trade Vault (credit asset class). Data from additional SDRs may be incorporated at a future date.
2 Active swaps are those swaps that have not yet been terminated or reached their scheduled maturity date. These include any swap between a counterparty and a central clearing platform that results from the clearing process, so long as it has not been terminated by the counterparty or reached its scheduled maturity date.
3 The reporting period is defined as the week ending on the penultimate Friday prior to the CFTC Swaps Report’s Wednesday publication date. In other words, each CFTC Swaps Report presents data that is current as of the week ending two Fridays (12 days) before the publication of the Report. For example, if the Report is published on Wednesday, February 19, the reporting period is the week ending Friday, February 7.
4 The CFTC Swaps Report estimates the gross notional outstanding value of market-facing swaps, i.e. those transactions executed at arms-length between non-affiliated entities. The report excludes transactions that are known to be between affiliated firms within a larger corporate entity.
5 The Commission also applies a number of other screening methods in an attempt to ensure the uniqueness of trade records, including scanning for apparent duplicates using a variety of key fields.
6 The CFTC Swaps Report estimates the transaction volume of market-facing swaps, i.e. those transactions executed at arms-length between non-affiliated entities. The report excludes transactions that are known to be between affiliated firms within a larger corporate entity.
7 The Commission also applies a number of other screening methods in an attempt to ensure the uniqueness of trade records, including scanning for apparent duplicates using a variety of key fields.
8 For the proposed version of the CFTC Swaps Report, published using voluntarily submitted data, these counterparties were classified differently. For credit default swaps, counterparties were classified according to DTCC’s classification of swap dealers and buyside firms. For equity swaps, counterparties were classified according to DTCC’s classification of brokers and non-brokers. Counterparties in the interest rate and credit asset classes are now classified as “SD/MSPs” only in the event that the counterparty is provisionally registered with the Commission as such. Refer to the Archive for more information on the proposed version of the CFTC Swaps Report.
9 Should additional persons register as SDs or MSPs, previous editions of the report will not be updated retroactively.
10 See Section 8(a) of the Commodity Exchange Act.