Quarterly Index Investment Data

Swap dealers and index traders that receive a “special call” (under CFTC Rule 18.05) must file monthly reports with the CFTC's Division of Marker Oversight within 5 business days after the end of the month. Selected quarterly data from those reports is published below. Those data show the national values and the equivalent number of futures contracts for all U.S. markets with more than $0.5 billion of reported net notional value of index investment at the end of any one quarter.

The most recent quarter-end information generally is added about 4 to 5 weeks after the “as of” date. Once posted, the CFTC does not generally revise this information to reflect any amended information subsequently received, but may do so if the changes are extraordinary.

Explanatory Notes