February 2, 2014

Weekly CFTC OTC Market Report

If you weren't aware, the CFTC now publish aggregate data based on the trade data submissions on OTC products to the DTCC, ICE and CME SDRs on a weekly basis. The introduction page explains the approach and their Data Dictionary. There are then two sub-pages providing reports by Notional outstanding and reports by number of transactions. The definitions of the various asset classes are covered in the CFTC Data Dictionary.

  • Interest Rates includes Vanilla IRS, Basis Swaps, OIS, FRAs, Inflation Swaps, IR Options, Bond Options, and Swaptions
  • Credit includes single name CDS, Index CDS and Total Return Swaps on Indices
  • Cross-Currency Swaps means a contract with legs in any combination of FIxed or Float

Here is my rework of the transaction data summary for this week, the proportion of cleared trades is moving significantly from week to week in each asset class, in time this may become a pattern but hard to tell at the moment.

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