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.
Entity-Netted Notionals Report (ENNs)
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.
- Description of Interest Rate Swap ENNs
IRS ENNs reports provide an update on the notional and entity-netted notional (ENN) size of the CFTC-regulated interest rate swap (IRS) market. ENNs were introduced in a paper published in the beginning of 2018 and updated in March 2020. IRS ENNs aim to provide a measure for the amount of risk transfer in rate swaps that is comparable to measures used for other interest rate markets.
- Description of Credit Default Swap and Foreign Exchange ENNs
CDS and FX ENNs reports provide an update on the notional and entity-netted notional (ENN) size of the CFTC-regulated credit default swap (CDS) and foreign exchange (FX) markets. ENNs for the FX and credit asset classes were introduced in a paper published in February 2019. ENNs aim to provide a measure for the amount of risk transfer in the CDS and FX swaps. CDS ENNs aim to provide a measure for the amount of risk transfer in credit swaps and represent risk-adjusted swap risk netted within a counterparty pair and reference entity. FX ENNs are defined as risk-adjusted exposures netted within a counterparty and currency pair.
- Update as of 2022 | Quarter 1 | Quarter 2 | Quarter 3
- Update as of 2021 | Quarter 1 | Quarter 2 | Quarter 3 | Quarter 4
- Update as of 2020 | Quarter 1 | Quarter 2 | Quarter 3 | Quarter 4
- Update as of 2019 | Quarter 1 | Quarter 2 | Quarter 3 | Quarter 4
- Update as of 2018 | Quarter 1 | Quarter 2 | Quarter 3 | Quarter 4
CDS and FX ENNs:
ENNs for Corporate and Sovereign CDS and FX Swaps (PDF)