CFTC Announces Weekly Swaps Report

CFTC Chairman Gary Gensler announced the initial edition of the CFTC’s Weekly Swaps Report, which will be published each Wednesday at 3:30 p.m. to provide the public with a detailed view of the swaps marketplace.

The Weekly Swaps Report uses data collected from swap data repositories (“SDRs”) in the interest rate asset class and credit asset class, and represents only those swaps that are reported to the CFTC’s registered SDRs by swap market participants. The 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 report provides three views of the swaps market: the gross notional outstanding value, the weekly transactions measured by dollar volume, and the weekly transactions measured by ticket volume. For each asset class, the report provides detailed breakdowns of the swaps market by product type, currency (six major currencies), tenor, participant type, and whether swaps are cleared or uncleared.

The most recent report shows that over the last month, approximately 70 percent of new transactions in the interest rate swaps market were cleared. As of November 8, 2013, the outstanding notional amount of market facing interest rate swaps totaled $320 trillion, and 61 percent of those swaps were cleared. Just 21 percent of the interest rate swaps market was cleared in 2008.

Lofchie Comment: Comments are welcome (at slofchie@the-cfs.org) regarding the value of knowing the ticket volume of swaps. Please weigh in on whether this information is worth the cost of collection.

See: CFTC Press Release; Weekly Swaps Report; Notional Outstanding Report; Transaction Volume Report.