The Depository Trust and Clearing Corporation's redesigned Global Trade Repository service platform went live the weekend of November 20, 2020.
The redesign has necessitated changes to the code used by staff to produce the Weekly Swap Report (WSR) and precludes publication at this time.
Publication of the WSR is not expected to resume before the end of 2021.
As of July 31, 2019, OCE has introduced a number of methodology improvements to the Weekly Swaps Report. These changes primarily affect the transaction summary tables, though there are a number of less significant shifts in the position reports. The changes aim to ensure that the Weekly Swaps Report represents, as accurately as possible, the market-facing trades that occurred during the reporting week, as well as the open swap positions that transfer risk between independent entities (e.g., omits inter-affiliate positions).
Though the methodology changes are too numerous to fully list in this note, we outline a few of the more significant adjustments below. Improvements include:
- Better identification of duplicative records across SDRs
- More granular assignments of jurisdiction and grade to credit trades and positions
- Updated inter-affiliate identifications
- More extensive tracking of swap lifecycle events, such as allocations or compressions
- Other data cleaning and data standardization efforts
Though we believe these to be broad, comprehensive changes to the report, we continue to work to improve the accuracy and clarity of the report. We welcome comments and questions on the report, as well as the recent changes; these can be sent to [email protected].
What is 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.
The CFTC Swaps Report is designed to be a valuable public service due to its unique combination of data aggregation, free availability, and weekly publication frequency. The CFTC Swaps Report aggregates a comprehensive body of swap market data that was not previously reported to regulators or regulated entities, and makes that information freely available in a form that is readily usable by both market participants and the general public. 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 data stored in the CFTC's SDRs.
The CFTC Swaps Report complements the data made available to the public pursuant to the requirements of the Commission’s regulations governing Real-Time Public Reporting of Swap Transaction Data (17 CFR 43). These data reflect pricing information, contract terms, notional value, and more, and are 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. Further, the CFTC Swaps Report presents only market-facing swaps transactions, i.e. those transactions executed at arms-length between non-affiliated entities, which allows the public a view of the competitive marketplace.
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. (Bloomberg SDR became operational on May 12, 2014 and closed on August 13, 2018)
The Dodd-Frank Act requires that the Commission publish a report on trading, clearing, participants, and products in the swaps market on a semiannual and annual basis. (CEA Section 2(a)(14)). The Commission has elected to publish the CFTC Swaps Report on a weekly basis. This weekly publication frequency will allow members of the public and market participants to gain a more thorough understanding of developments in the swaps market.
The CFTC Swaps Report is published every Wednesday at 3:30 p.m., unless otherwise noted. See the Release Schedule for more detailed information.
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 protected].
How is the CFTC Swaps Report Structured?
These tables provide a weekly snapshot of the market-facing notional amounts outstanding in SDRs on a gross basis, in millions of U.S. dollars, by participant type, cleared status, and product type. For certain asset classes, these tables also display gross notional amounts outstanding by currency, tenor, or grade. All Swaps Reports display the most recent five weeks of data for all asset classes; Swaps by Asset Class Reports display data for individual asset classes for only the most recent week.
These tables display total weekly market-facing swap transaction dollar volumes (the combined notional values of the trade events that occur over the course of each week) by participant type, cleared status, and product type; for certain asset classes, these tables also display swap transaction dollar volumes by currency, tenor, or grade. Trade events include price-forming events such as new trades, terminations, amendments, and novations. All Swaps Reports display swap transaction dollar volumes for the most recent five weeks of data for all asset classes; Swaps by Asset Class Reports display swap transaction volume data for individual asset classes for only the most recent week.
These tables display total weekly market-facing swap transaction ticket volumes (the number of trade events that occur over the course of each week) by participant type, cleared status, and product type; for certain asset classes, these reports also display swap transaction ticket volumes by currency, tenor, or grade. Trade events include price-forming events such as new trades, terminations, amendments, and novations. All Swaps Reports display swap transaction ticket volumes for the most recent five weeks of data for all asset classes; Swaps by Asset Class Reports display swap transaction volume data for individual asset classes for only the most recent week.
The archive contains all of the previous publications of the proposed and current versions of the CFTC Swaps Report, dating from the initial publication to the current reporting period. Select a date from the calendar to view the weekly report for that date.
The CFTC Swaps Report Data Dictionary is a glossary of terms used in the CFTC Swaps Report. Please note that this dictionary is provided exclusively for the purpose of enhancing the usability of the CFTC Swaps Report. Refer to the CFTC Glossary for additional definitions pertaining to swaps and derivative markets in general.
The Explanatory Notes provide further detail on the data, aggregation methodology, and naming conventions used in the CFTC Swaps Report. Please note that these explanatory notes are provided exclusively for the purpose of enhancing the usability of the CFTC Swaps Report.
CFTC Swaps Report Tables
|Gross Notional Outstanding||Dollar Volume||Ticket Volume|
|Cleared Status||Cleared Status||Cleared Status|
|Participation Type||Participation Type||Participation Type|
Swaps by Asset Class
|Gross Notional Outstanding||Dollar Volume||Ticket Volume|
|Interest Rate Swaps||Interest Rate Swaps||Interest Rate Swaps|
|Credit Default Swaps||Credit Default Swaps||Credit Default Swaps|
|FX Swaps and Cross-Currency Swaps||FX Swaps and Cross-Currency Swaps||FX Swaps and Cross-Currency Swaps|