What is the CFTC: Daily Open Swaps Report?

The SDR must provide a daily file that contains all “open swaps”, as that term is defined in §49.2 in the SDR as of the end of the day. There should be a separate file for each day and each supported asset class[1]. The open swaps files are expected to include all “live”[2] UTIs/USIs for the given day. The open swaps file must also include all valuation related fields and contain the most recent valuation data for the given transaction for the given day.

[1] For example, if the SDR supported all 5 asset classes (Credit, Other Commodity, Equity, FX and Interest Rates) it would provide the CFTC with 5 Open Swap files.

[2] The swap has not reached maturity or expiration, and that have not been fully exercised, closed out, or terminated, as described in parts 49.2(a) and 49.9(a).

In the open swaps file, the SDRs should use the values provided in the most recent transaction message for the fields submitted in both transaction and valuation messages. However, in the case of "Initial margin collateral portfolio code” and “Variation margin collateral portfolio code” the SDRs should use the values provided in the valuation message.

There should be separate file for each supported asset class. The list of fields applicable for each asset class can be found here.

CFTC Daily Open Swaps Report

As not all Guidebook fields are aligned using the Tech Specs, KOR is required to configure certain fields on output, those mappings can be found here.