INTRODUCTION - WHAT IS THE CFTC SWAPS REPORT?

On December 20, 2011, the Commission finalized the Swap Data Recordkeeping and Reporting 

rule (17 CFR Part 45), which requires counterparties to swap transactions to report the terms of 

those transactions to a new type of regulated entity, swap data repositories (SDRs), which will 

allow the Commission to receive and analyze a valuable new stream of data. In anticipation of 

receiving data pursuant to the requirements of Part 45, the Commission has prepared to publish 

the CFTC Swaps Report, a Commission transparency initiative to aggregate and publish swaps 

market data.

This is the proposed version of the CFTC Swaps Report, designed to solicit feedback from 

market participants and members of the public regarding the format, classification structures, and 

supporting documentation of the report. Upon the effective implementation of the Commission's 

Swap Data Recordkeeping and Reporting rule (17 CFR Part 45), the CFTC Swaps Report will 

use data required to be submitted to the Commission pursuant to that rule's requirements; the 

feedback on this proposed version will support the development of the final version of the CFTC 

Swaps Report as it incorporates this more comprehensive body of swaps market data.

WHY IS THE CFTC PUBLISHING THIS REPORT?

The CFTC Swaps Report will aggregate a comprehensive body of swap market data that was not 

previously reported to regulators or regulated entities, and make that information freely available 

in a form that is readily usable by both market participants and the general public. 

Although the Dodd-Frank Act only requires that the Commission publish a report on trading, 

clearing, participants, and products in the swaps market on a semiannual and annual basis (H.R. 

4173-322), 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 proposed version 

of the CFTC Swaps Report is published every Wednesday at 3:30 p.m., unless otherwise noted. 

See the Release Schedule for more detailed information.

WHAT’S INCLUDED IN THE CFTC SWAPS REPORT?

The proposed version of the CFTC Swaps Report includes weekly snapshots of the estimated 

notional amounts of swaps outstanding in each asset class and each product within an asset class 

on a weekly basis, calculated on a gross basis (and on a net basis where available), as well as 

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), 

equity (uncleared swaps only), and commodities (no data 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 final version of the CFTC Swaps Report is expected to include 

weekly snapshots of the notional amounts of swaps outstanding in swap data repositories 

(SDRs), reported on both a gross and net basis, as well as total weekly transaction volumes, 

including both ticket volumes (the number of individual trades) and dollar volumes (the 
combined notional value of those trades) reported to SDRs across four swap asset classes: 

interest rates, credit, equities, and commodities.

This proposed version does not use data submitted pursuant to the requirements of Part 45. It 

instead uses estimates derived from a number of sources: data voluntarily submitted by SDR 

applicants (DTCC and ICE); data 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 numbers published in this proposed version of the 

CFTC Swaps Report should thus be considered to be estimates, and should not be considered to 

be definitive assessments of the size of the swaps market.

HOW IS THE CFTC SWAPS REPORT STRUCTURED?

The CFTC Swaps report is structured as a set of tables and supporting documentation.

Notional Outstanding

These reports provide a weekly snapshot of the notional amounts outstanding in an SDR or 

SDRs on both a gross and net basis, in millions of U.S. dollars, by participant type, cleared 

status, and product type; for certain asset classes, these reports also display gross and net 

notional amounts outstanding by currency, tenor, and grade. All Swaps Reports display the most 

recent five weeks of data for the interest rate, credit, equity, and other commodity asset classes. 

Swaps by Asset Class Reports display data for individual asset classes for only the most recent 

week. 

Transaction Volume

These reports display total weekly swap transaction ticket volumes (the number of trades each 

week) and dollar volumes (the combined notional values of those trades) by participant type, 

cleared status, and product type; for certain asset classes, these reports also display swap 

transaction volumes by currency, tenor, and grade. All Swaps Reports display swap event 

volume for the most recent five weeks of data for the interest rate, credit, equity, and other 

commodity asset classes. Swaps by Asset Class Reports display swap transaction volume data 

for individual asset classes for only the most recent week.

Archive

The archive contains all of the previous publications of the proposed version of the CFTC Swaps 

Report, dating from the intial publication to the current reporting period. Select a date from the 

calendar to view the weekly report for that date.

CFTC Swaps Report Data Dictionary

The CFTC Swaps Report Data Dictionary is a glossary of terms used in the proposed version of 

the CFTC Swaps Report. Some terms included in the Data Dictionary may not appear in the 

CFTC Swaps Report, but are nonetheless included for general reference. 

Explanatory Notes
The Explanatory Notes provide further detail on the data, aggregation methodology, and naming 

conventions used in the proposed version of the CFTC Swaps Report.

HOW DOES THE CFTC SWAPS REPORT COMPARE TO OTHER PUBLICATIONS?

The CFTC Swaps Report is designed to be a public service, the value of which is derived from 

its unique combination of comprehensive data aggregation, free availability, and weekly 

publication frequency. 

The Commission notes that the voluntarily-submitted data used in the proposed version of the 

report represent the global market, and do not necessarily represent the swaps under the CFTC's 

regulatory jurisdiction; after incorporating the data reported pursuant to Part 45, the final version 

of the CFTC Swaps Report will represent only those swaps that are under the CFTC's regulatory 

jurisdiction, all of which are required to be reported under the rule. 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 

CFTC’s jurisdiction in the post-Dodd-Frank implementation market environment, and none 

publish on a weekly schedule. 

There are several critical differences between the CFTC Swaps Report and other summary 

publications. The CFTC Swaps Report adjusts notional amounts outstanding for the doublecounting caused by clearing swaps to present a single exposure for each transaction, whereas 

some other publications present double-counted totals for cleared swaps. The proposed version 

of the CFTC Swaps Report does not include information in the foreign exchange (“FX”); 

information in this asset class will not be included in the CFTC Swaps Report until such time as 

the regulatory jurisdiction of FX products is determined. The CFTC Swaps Report also excludes 

certain options products; after incorporating the data reported pursuant to Part 45, the final 

version of the CFTC Swaps Report will include data for only those products which are defined as 

swaps pursuant to the Commission’s “Further Definition of “Swap,” “Security-Based Swap,” 

and “Security-Based Swap Agreement”; Mixed Swaps; Security-Based Swap Agreement 

Recordkeeping” rule (17 CFR Part 1, Securities and Exchange Commission 17 CFR Parts 230, 

240, and 241). The final version of the CFTC Swaps Report will, upon incorporating the data 

reported pursuant to Part 45, display data according to the asset classes defined in 17 CFR Part 

43 and the participant types defined in the Commission’s Further Definition of “Swap Dealer,” 

“Security-Based Swap Dealer,” “Major Swap Participant,” “Major Security-Based Swap 

Participant'” and “Eligible Contract Participant” rule (17 CFR Part 240) and the Commission’s 

End-User Exception to the Clearing Requirement for Swaps Rule (17 CFR Part 39).

The proposed version of the CFTC Swaps Report currently uses data voluntarily submitted or 

made freely available by a number of entities. The entities that are currently submitting data on a 

voluntary basis for the CFTC Swaps Report are LCH.Clearnet’s SwapClear (one of several 

platforms that clear interest rate swaps), which is submitting cleared interest rate information that 

by LCH.Clearnet’s estimate comprises 95 percent of the global cleared interest rate swap market; 

DTCC’s Global Trade Repository, which is submitting uncleared interest rate and cross-currency 

swap information that by DTCC’s estimate comprises between 65 and 80 percent of the global 

uncleared interest rate and cross-currency swap market; DTCC’s Trade Information Warehouse, 

which is submitting cleared and uncleared credit default swap information that by DTCC’s 

estimate comprises approximately 98 percent of the global cleared and uncleared credit default 
swap market; and DTCC Derivatives Repository Ltd, which is submitting monthly uncleared 

equity swap information that comprises some unknown percentage of the global uncleared equity 

swap market. The Commission has endeavored to thoroughly evaluate the totals derived from 

voluntarily submitted data and cross-reference them with external survey data, but nonetheless 

notes that in the proposed version of the CFTC Swaps Report, these totals should be considered 

to be estimates, and should not be considered to be definitive assessments of the size of the 

swaps market; after incorporating the data reported pursuant to Part 45, the final version of the 

CFTC Swaps Report will include all cleared and uncleared swaps that are under the CFTC's 

regulatory jurisdiction, which comprises some as-yet unknown percentage of the global swaps 

market. 

Furthermore, the data made available to the public pursuant to the requirements of the 

Commission’s Real-Time Public Reporting of Swap Transaction Data (17 CFR 43) will be 

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.

Because the data disseminated pursuant to the requirements of Part 43 are made freely available 

to the public, an external entity could elect to perform an aggregation and publication service 

similar to that performed by the CFTC Swaps Report; however, such a service may not be, and is 

perhaps unlikely to be, made freely available to the public.

HOW CAN I COMMENT ON THE PROPOSED VERSION OF THE CFTC SWAPS 

REPORT?

Submit comments on the proposed version of the CFTC Swaps Report to swapsreport@cftc.gov. 

The Commission will accept comments on the proposed version of the CFTC Swaps Report for a 

period of 30 days, beginning November 14, 2012.