On December 20, 2011, the Commission adopted the Swap Data Recordkeeping and Reporting rule (17 CFR Part 45), which requires counterparties to swap transactions to report the terms of those transactions to a new type of regulated entity, swap data repositories (SDRs). This will allow the Commission to receive and analyze a valuable new stream of data.
On November 14, 2012, the Commission began the weekly publication of a proposed version of the CFTC Swaps Report, a Commission transparency initiative to aggregate and publish swaps market data. This proposed version, which used voluntarily-submitted swap data and several external data sources rather than SDR data, was designed to solicit feedback from market participants and members of the public regarding the format, classification structures, and supporting documentation of the report, until such time as data collected from SDRs pursuant to 17 CFR Part 45 could be used in 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.
This publication of the CFTC Swaps Report uses data collected from SDRs in the interest rate asset class (including cross-currency swaps, displayed separately) and the credit asset class. The phased compliance schedule for swap data reporting to SDRs adopted by the Commission required the interest rate and credit asset classes to be reported first; therefore, data in these asset classes are the first to be incorporated into the publication of the CFTC Swaps Report. Reflecting this phased compliance process, SDR data in the FX, equity, and other commodity asset classes will also be incorporated into the CFTC Swaps Report at a future date.
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 three SDRs (CME Group SDR
, DTCC Data Repository
, and ICE Trade Vault
); however, data from additional SDRs could be incorporated in the future.
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@example.com