Reports of the Office of the Chief Economist

As part of its mission, the Office of the Chief Economist prepares and publishes a number of regular reports. The goal of these reports is to foster market transparency and to inform the general public about changes and trends in derivatives markets.

Weekly Swaps Report

Weekly Swaps Report: The CFTC Swaps Report is a weekly summary of swap market transactions and positions. The summary currently provides information on US interest rate and credit swap markets, and provides breakdowns of exposures/trades by currency, by maturity and by counterparty type. The Report is based on swap-level transaction data provided to the agency by Swap Data Repositories, established by the Dodd-Frank Act.

ENNs Report

As an extension to the Weekly Swaps Report, the Office of the Chief Economist now publishes an Entity-Netted Notionals Report (ENNs Report) on a roughly quarterly basis. The ENNs report introduces a new measure of risk which provides a better estimate of the amount of risk transfer occurring in swap markets. The report provides the risk-adjusted measure of swap exposure, broken down by product type, participant type and currency. Currently, the ENNs report covers swap risks in the interest rate asset class. In the future, we hope to extend this type of analysis to other asset classes like credit and FX.

Introducing ENNs: A Measure of the Size of Interest Rate Swap Markets

Update as of March 16, 2018

Update as of June 15, 2018