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CFTC says size of swaps market understated due to data error
December 19, 2013 / 7:41 AM / in 4 years

CFTC says size of swaps market understated due to data error

Dec 19 (Reuters) - The Commodity Futures Trading Commission (CFTC) said the size of the overall swaps market was understated in the weekly reports it began publishing last month, due to technical errors at two swaps data repositories that are responsible for maintaining market data.

The error in the swaps data highlights the challenges confronting the CFTC, which has been put in charge of the swaps markets and is trying to usher in transparency into what was once an opaque market.

The Depository Trust & Clearing Corp, the largest data repository, informed the agency that the notional values in the interest rate asset class have been understated due to a technical coding issue, CFTC said in its weekly swaps report.

The U.S. derivatives regulator also reported a processing error by another repository managed by the CME Group Inc , whose figures were not included in the table for interest rate swaps published on Dec. 18. ()

The swaps reports published by the CFTC aggregate swap transaction data from the repositories. The data reflects pricing information as well as the notional value of the contracts, bringing transparency to a market that was the center of a financial crisis five years ago.

The agency told the Wall Street Journal, which first reported the news, that it is reviewing the matter and hopes to have firmer figures by next week’s report, due Thursday.

Reuters could not immediately determine the extent of the undercounting.

A CFTC official familiar with the matter told the Journal that the discrepancy could be as high as $55 trillion, though another official told the newspaper the figure is closer to $10 trillion once regulators cancel out certain transactions to prevent double counting. ()

The CFTC estimates the size of the gross notional value of the swaps market at about $390 trillion.

CFTC could not immediately be reached for comment by Reuters outside of regular U.S. business hours.

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