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CFTC Introduces Weekly Swaps Report
Practical Law Legal Update 9-549-7868 (Approx. 3 pages)
CFTC Introduces Weekly Swaps Report
by Practical Law Finance
| Published on 25 Nov 2013 • USA (National/Federal) |
The CFTC published the inaugural edition of the CFTC Weekly Swaps Report, which is designed to make the swaps markets more transparent. The report, which will be published on Wednesdays at 3:30 p.m., will reflect data for the week ending on the second previous Friday.
On Wednesday, November 20, 2013, the CFTC published the inaugural edition of the CFTC Weekly Swaps Report, which is designed to make the swaps market more transparent. The report will be published on Wednesdays at 3:30 p.m. and will reflect data for the week ending on the second previous Friday (12 days prior). For example, the inaugural report reflects data as of November 8, 2013.
The report:
- Breaks down the swaps markets by product type (such as interest rate swaps and credit default swaps) and further divides the data into swap currency, tenor, participant type and whether the swap is cleared or not cleared.
- Provides three different types of information about each of these markets (the gross notional outstanding value, dollar value and ticket volume of weekly transactions).
- Contains information on market-facing swaps and excludes transactions between subsidiaries and parent companies, which accounts for about $60 trillion in swaps.
- Displays notional analogous to the open-interest figures published for futures and options traded on exchanges.
- Avoids the double counting of swaps by counting only one of the resulting two swaps created when a swap is cleared by a clearinghouse (see Practice Note, Mechanics of Derivatives Clearing).
- Is prepared using statistical screens to help prevent the accidental revealing of individual market participants' confidential information (such as positions and proprietary trading strategies).
- Incorporates feedback from comments on a previously published test version of the report.
- Was modeled after the CFTC's Weekly Commitments of Traders report, which provides detailed information about the futures and options markets.
As required by final rules on swap data reporting and recordkeeping, called the final "SDR" rules, under Part 45 of the CFTC Regulations (17 C.F.R. §§ 45.1 - 45.14), the CFTC provides data in the report that it has received from swap data repositories (SDRs). This data has been reported to SDRs under the final SDR rules by SEFs, DCMs, DCOs, SDs, MSPs and other swap counterparties (for definitions of abbreviated terms, see Legal Update, The Dodd-Frank Alphabet Soup Quiz: Answers and Explanations). For details on the final SDR rules, see Practice Note, US Derivatives Regulation: CFTC Swap Data Reporting and Recordkeeping Rules: Final "SDR" Data Reporting Rules).