The Commodity Futures Trading Commission has begun publishing its new “CFTC Weekly Swaps Report,” providing details of activity in each asset class. The report will be published each Wednesday at 3:30 p.m., although the data will only be current as of two Fridays earlier.
End users will find swap market data that was not reported to regulators prior to Dodd-Frank. It comes from the Swap Data Repositories set up under that law. The CFTC says it will be different and more comprehensive than the numbers published by the BIS, ISDA and the OCC.
The CFTC will report the gross notional outstanding, weekly transactions measured by dollar volume and the weekly transactions measured by transaction ticket volume. The report will break down the market for each asset class by product type, currency, tenor, participant type, and whether swaps are cleared or uncleared.
The CFTC already reports a lot of detailed swaps data under its Real-Time Public Reporting of Swap Transaction Data rules. This includes pricing information, contract terms and notional value, among other variables, published at the transaction level and in real-time. That information is meant to enhance price discovery. However, it is difficult to aggregate to get a broader view of the trends in the market, hence the new weekly swaps report.
More details of the new report, and its publication timetable, are available from the CFTC.