November 14, 2012

CFTC Issues Proposed Swaps Report for Public Comment

Proposed report seeks public input on format, structure, and supporting documentation

Washington, DC – The Commodity Futures Trading Commission (CFTC) today issued, for public comment, a proposed CFTC Swaps Report that, when the proposal is finalized, will give the public a view into the previously dark swaps market.

The CFTC Swaps Report will offer the public a comprehensive view of the size, risks and activities in the swaps market. The proposal for this new market transparency initiative grew out of the swaps market reforms of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act). While the Dodd-Frank Act only requires the Commission to publish a report on trading, clearing, participants, and products in the swaps market on a semiannual and annual basis (H.R. 4173-322), the agency elected to publish this information on a weekly basis. This much greater level of transparency will allow market participants and the public to gain a more thorough understanding of risks and developments in the swaps market.

CFTC Chairman Gary Gensler said:

“For years, the public has benefited from the futures market data we have published in our Commitment of Traders reports. Our goal is to provide similar transparency to the public for the swaps market. The proposed CFTC Swaps Report will build upon the increased transparency reforms by aggregating swaps market data and presenting it on a regular basis.”

The proposed report’s goal is to solicit public feedback on its format, classification structures, and supporting documentation. It must be noted that the numbers in the proposed CFTC Swaps Report are CFTC staff estimates based on voluntary submissions of swaps data from several reporting entities, and should not be considered to be definitive assessments of the size or activity in the swaps market (See Estimated Data). The data in the final CFTC Swaps Report will be based on information provided to swap data repositories (SDRs) as required by the final Swap Data Recordkeeping and Reporting rule (17 CFR Part 45). The final CFTC Swaps Report is expected to be published every Wednesday at 3:30 p.m. starting in the spring of 2013.

CFTC Chief Economist Andrei Kirilenko said: “The Commitments of Traders Report, which covers futures and options markets, was first published monthly in 1962. In fifty years that passed, swaps markets have ballooned to many times the size of the futures and options markets. The new CFTC Swaps Report, when finalized, will offer markets participants and the public an accurate and comprehensive view into the swaps market, with similar or better coverage than what they are accustomed to seeing in the futures and options markets. This will go a long way toward encouraging greater competition, more efficient risk taking, and financial integrity of regulated markets.”

Members of the public are invited to send their comments and suggestions to [email protected]. The deadline for public comments is December 14, 2012. Comments and suggestions submitted after the close of the comment period may be considered, at the discretion of the Commission.

Estimated Data:

The proposed CFTC Swaps report is populated by data from a number of sources as well as CFTC staff estimates. Data sources included data voluntarily submitted by an SDR applicant (DTCC); data voluntarily submitted by an entity that has not applied for registration as an SDR (LCH.Clearnet); and several external survey data sources, including the ISDA 2012 Operations Benchmarking Survey and the semiannual OTC derivatives statistics published by the Bank for International Settlements.

The proposed report includes staff estimates of the estimated notional amounts of swaps outstanding in each asset class and each product within an asset class on a weekly basis, as well as estimates of the total weekly swap transaction volumes in four asset classes: interest rates (cleared and uncleared swaps, with cross-currency swaps broken out separately), credit (cleared and uncleared swaps), equities (uncleared swaps only), and commodities (only survey data are currently available).

After incorporating feedback from the proposed version of the report and the data reported pursuant to Part 45, the data published in the CFTC Swaps Report is expected to include weekly snapshots of the notional amounts of cleared and uncleared swaps outstanding in SDRs (on both a gross and net basis). It also is expected to include total weekly transaction volumes reported to SDRs (on both a ticket volume and dollar volume basis) across four swap asset classes: interest rates, credit, equities, and commodities.

The data in the final CFTC Swaps Report will be based on information provided to swap data repositories by swap execution facilities, designated contract markets, derivatives clearing organizations, swap dealers, major swap participants, and other swap counterparties as required by the final Swap Data Recordkeeping and Reporting rule (17 CFR Part 45).

Last Updated: November 14, 2012