Research Papers

The Office of the Chief Economist produces original research papers on a broad range of topics relevant to the CFTC’s mandate to foster open, transparent, competitive, and financially sound derivatives markets. These papers are written to educate the general public and to inform the Commission’s policy and rulemakings.

The analyses and conclusions expressed in the papers are those of the authors and do not reflect the views of other members of the Office of Chief Economist, other Commission staff or the Commission itself.


Listed below are academics who are working with CFTC economists on various research projects, many of which can be found below.  The Office of the Chief Economist has a long history of outreach across a number of academic institutions and individuals; through these partnerships, the Office of the Chief Economist is able to collaborate with some of the leading experts in financial derivatives markets and policy analysis.

Date Author(s) Title

WebAdmins, Melissa Richter , Richard Haynes

Melissa's Research Paper

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Research Paper Example A from July 10 2018

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  • Example A
  • Dated July 10, 2018



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Richard Haynes

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Richard Haynes, John Roberts, Rajiv Sharma, Bruce Tuckman

Introducing ENNs: A Measure of the Size of Interest Rate Swap Markets

Update as of March 16, 2018

  • The paper argues that notional amount, a commonly used measure of the size of derivatives markets, does not accurately represent the amount of risk transfer in interest rate swap markets.  The paper then introduces a novel metric, Entity-Netted Notionals (ENNs), as a superior measure of market size.

  • ENNs are the sum of all net long (or short) swaps exposures, expressed in 5-year equivalents, where netting is calculated within each counterparty pair and currency.

  • As measured by ENNs, the U.S. regulated swaps market is approximately $15 trillion in size, significantly lower than the notional amount of $179 trillion.  This $15 trillion exposure is comparable in size to many other fixed income markets, like corporate bonds at $12 trillion or U.S. Treasuries at $16 trillion.

Stephen Kane

Exploring price impact liquidity for December 2016 NYMEX energy contracts

  • Examines the liquidity of the December 2016 NYMEX contracts for crude oil, natural gas, diesel, and gasoline.

  • Finds that there is excellent liquidity near expiration as well as good liquidity when there are multiple years until expiration that is improved by the trading of calendar spreads.

  • Recommends a new liquidity assessment tool that may be used to calculate initial margin for large positions or by traders wanting to establish or remove a large position.