The CFTC Swaps Report is designed to be a public service, the value of which is derived from its unique combination of comprehensive data aggregation, free availability, and weekly publication frequency.
The Commission notes that the voluntarily-submitted data used in the proposed version of the report represent the global market, and do not necessarily represent the swaps under the CFTC's regulatory jurisdiction; after incorporating the data reported pursuant to Part 45, the final version of the CFTC Swaps Report will represent only those swaps that are under the CFTC's regulatory jurisdiction, all of which are required to be reported under the rule. 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 and granularity, but none corresponds directly to the CFTC’s jurisdiction in the post-Dodd-Frank implementation market environment, and none publish on a weekly schedule.
There are several critical differences between the CFTC Swaps Report and other summary publications. The CFTC Swaps Report adjusts notional amounts outstanding for the double-counting caused by clearing swaps to present a single exposure for each transaction, whereas some other publications present double-counted totals for cleared swaps. The proposed version of the CFTC Swaps Report does not include information in the foreign exchange (“FX”); information in this asset class will not be included in the CFTC Swaps Report until such time as the regulatory jurisdiction of FX products is determined. The CFTC Swaps Report also excludes certain options products; after incorporating the data reported pursuant to Part 45, the final version of the CFTC Swaps Report will include data for only those products which are defined as swaps pursuant to the Commission’s “Further Definition of “Swap,” “Security-Based Swap,” and “Security-Based Swap Agreement”; Mixed Swaps; Security-Based Swap Agreement Recordkeeping” rule (17 CFR Part 1, Securities and Exchange Commission 17 CFR Parts 230, 240, and 241). The final version of the CFTC Swaps Report will, upon incorporating the data reported pursuant to Part 45, display data according to the asset classes defined in 17 CFR Part 43 and the participant types defined in the Commission’s Further Definition of “Swap Dealer,” “Security-Based Swap Dealer,” “Major Swap Participant,” “Major Security-Based Swap Participant'” and “Eligible Contract Participant” rule (17 CFR Part 240) and the Commission’s End-User Exception to the Clearing Requirement for Swaps Rule (17 CFR Part 39).
The proposed version of the CFTC Swaps Report currently uses data voluntarily submitted or made freely available by a number of entities. The entities that are currently submitting data on a voluntary basis for the CFTC Swaps Report are LCH.Clearnet’s SwapClear (one of several platforms that clear interest rate swaps), which is submitting cleared interest rate information that by LCH.Clearnet’s estimate comprises 95 percent of the global cleared interest rate swap market; DTCC’s Global Trade Repository, which is submitting uncleared interest rate and cross-currency swap information that by DTCC’s estimate comprises between 65 and 80 percent of the global uncleared interest rate and cross-currency swap market; DTCC’s Trade Information Warehouse, which is submitting cleared and uncleared credit default swap information that by DTCC’s estimate comprises approximately 98 percent of the global cleared and uncleared credit default swap market; and DTCC Derivatives Repository Ltd, which is submitting monthly uncleared equity swap information that comprises some unknown percentage of the global uncleared equity swap market. The Commission has endeavored to thoroughly evaluate the totals derived from voluntarily submitted data and cross-reference them with external survey data, but nonetheless notes that in the proposed version of the CFTC Swaps Report, these totals should be considered to be estimates, and should not be considered to be definitive assessments of the size of the swaps market; after incorporating the data reported pursuant to Part 45, the final version of the CFTC Swaps Report will include all cleared and uncleared swaps that are under the CFTC's regulatory jurisdiction, which comprises some as-yet unknown percentage of the global swaps market.
Furthermore, the data made available to the public pursuant to the requirements of the Commission’s Real-Time Public Reporting of Swap Transaction Data (17 CFR 43) will be 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.
Because the data disseminated pursuant to the requirements of Part 43 are made freely available to the public, an external entity could elect to perform an aggregation and publication service similar to that performed by the CFTC Swaps Report; however, such a service may not be, and is perhaps unlikely to be, made freely available to the public.