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Data Problems Lead to CFTC Misrepresenting Swaps Market Size

The CFTC says that errors at two of the US data repositories mean that it has misreported the overall size of the swaps market.

The data repositories (DDRs) involved are the Depository Trust and Clearing Corporation (DTCC) and the CME Swap Data Repository (SDR), who earlier this year were involved in a legal wrangle over the CME introducing Rule 1001. T

This rule states, “all swaps cleared by the Clearing House, and the resulting positions, the Clearing House shall report creation and continuation data to CME's swap data repository”.

The DTCC argued that this forced swaps data into the CME repository and eliminated customer choice.

In a statement about the figures provided by the DTCC, CFTC says: “due to a DDR technical coding issue, the notional values in the interest rate asset class have been understated in the DDR data provided to CFTC. This error affects the following tables as published on the CFTC website through December 18, 2013: Gross Notional Outstanding; Ticket Volume; Dollar Volume.”

With regards to the CME SDR the CFTC says that a “processing error” meant that it did not include interest rate swaps in the data that it published.

According to a report from the Wall Street Journal these errors meant that the CFTC overestimated the size of the swaps market by as much as $55 trillion. Last month Scott O’Malia highlighted the problems that the Commission was facing in collecting and organising the swaps data.

Speaking at the Sefcon IV conference in New York he explained that he asked CFTC staff for a series of basic statistics of trade volumes on SEFs and that, two weeks later, they were still unable to provide him with this information.

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