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CFTC Swaps Report- mission accomplished-‘ish..

The CFTC yesterday released its inaugural weekly swaps report, an important step in fulfilling its mandate to bring transparency to derivatives markets. The report aggregates gross notional value and dollar and ticket volume in the: interest rate, currency, equity and commodity swap markets. Swaps will be further categorised by participant type and by cleared\uncleared status. The data is drawn from the two (currently-registered) SDR’s: DTCC and ICE  Trade Vault. CME Group has also applied for registration as an SDR, but is currently non-compliant. The report only measures market-facing swaps and does not account for intra-group transactions. The report will be released weekly at 3.30 p.m. EST (20:30 GMT) each Wednesday. The data has a 12 day lag time.

The first report shows an outstanding notional total of $320 trn. for IRS, of which 61% were cleared, and $9.1 trn outstanding credit index swaps, 23% cleared. The report details that for the week ending 8th November, there were 27,000 swaps reported, $1.8 trn. IRS and $382bn. index swaps, 73% and 59% cleared respectively.

CFTC Chairman Gary Gensler said there is still “more work to do” for the phase-in of reporting on currency, equity and commodity swaps. It is likely that reporting across all swap categories will not be completed by the end of this year. Nevertheless, the regular publication of this data is a landmark Dodd-Frank “deliverable”, the report is the first window onto a previously, wholly opaque market.

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