📉 `cftc`¶

8 datasets · 115 columns

cftc_trades · table¶

CFTC swap trade public dissemination records from DTCC GTR. Each row is one reported swap event (new trade, amendment, termination, correction). Covers all five CFTC asset classes, one per partition: RATES, CREDITS, FOREX, EQUITIES, COMMODITIES (the source short code IR/CR/FX/EQ/CO is preserved in asset_class_code). Partitioned by asset_class/year/month. Daily EOD files from 2024-01-01; weekends and holidays produce no file (skipped cleanly). For new trades only: WHERE action_type = 'NEWT'. For live trades: exclude action_type IN ('TERM','CORR','EROR'). Join on dissemination_id / original_dissemination_id to reconstruct amendment chains.

Column	Type	Null	Description
`dissemination_id`	string	no	Unique identifier assigned by DTCC for this dissemination event (PK)
`original_dissemination_id`	string	yes	References the original NEWT dissemination_id for amendments/terminations
`action_type`	string	no	NEWT=new trade, AMND=amendment, TERM=termination, CORR=correction, EROR=error, NOVA=novation
`event_type`	string	yes	TRAD=trade, NOVA=novation, CLRG=clearing
`event_timestamp`	timestamp	no	UTC timestamp of the swap event
`amendment_indicator`	string	yes	Indicates whether the record is an amendment to a prior submission
`asset_class_code`	string	yes	CFTC standard asset-class code from the source file — IR (rates), CR (credit), FX, EQ (equity), CO (commodity). Redundant with the asset_class partition (the DTCC file is pre-split by class) but kept for analyst convenience and joins.
`product_name`	string	yes	Standard product description (e.g. 'Swap OIS USD', 'Index CDS')
`unique_product_identifier`	string	yes	UPI code identifying the swap product per ANNA DSB taxonomy
`upi_fisn`	string	yes	Financial Instrument Short Name from UPI
`upi_underlier_name`	string	yes	Underlier name from UPI (e.g. 'USD-SOFR-COMPOUND', 'CDX.NA.IG')
`cleared`	string	yes	Y=cleared, N=not cleared, I=not applicable (source 'Cleared' field; may be NULL)
`mandatory_clearing_indicator`	boolean	yes	Whether this swap is subject to mandatory clearing under CFTC rules
`execution_timestamp`	timestamp	yes	UTC timestamp when the trade was executed
`platform_identifier`	string	yes	SEF or DCM venue identifier where the trade was executed
`block_trade_election_indicator`	boolean	yes	True if the trade qualifies as a block trade (delayed reporting)
`large_notional_off_facility_swap_indicator`	boolean	yes	True if large notional off-facility swap delayed reporting elected
`prime_brokerage_transaction_indicator`	boolean	yes	True if this is a prime brokerage transaction
`effective_date`	date	yes	Date the swap begins accruing
`expiration_date`	date	yes	Scheduled maturity/expiration date of the swap
`maturity_date_underlier`	date	yes	Maturity date of the underlying instrument (for options/swaptions)
`first_exercise_date`	date	yes	Earliest exercise date for options
`notional_amount_leg1`	double	yes	Notional principal amount for leg 1 (commas removed by DuckDB auto-detect)
`notional_amount_leg2`	double	yes	Notional principal amount for leg 2
`notional_currency_leg1`	string	yes	ISO 4217 currency code for leg 1 notional
`notional_currency_leg2`	string	yes	ISO 4217 currency code for leg 2 notional
`notional_quantity_leg1`	double	yes	Physical quantity for commodity/equity swaps leg 1
`notional_quantity_leg2`	double	yes	Physical quantity for commodity/equity swaps leg 2
`total_notional_quantity_leg1`	double	yes	Aggregate quantity over the life of the swap leg 1
`total_notional_quantity_leg2`	double	yes	Aggregate quantity over the life of the swap leg 2
`quantity_unit_of_measure_leg1`	string	yes	Unit of measure for notional quantity leg 1 (BBL, MMBTU, MWH, etc.)
`quantity_unit_of_measure_leg2`	string	yes	Unit of measure for notional quantity leg 2
`quantity_frequency_leg1`	string	yes	Frequency at which quantity is delivered/settled leg 1
`quantity_frequency_leg2`	string	yes	Frequency at which quantity is delivered/settled leg 2
`quantity_frequency_multiplier_leg1`	double	yes	Multiplier applied to quantity frequency leg 1
`quantity_frequency_multiplier_leg2`	double	yes	Multiplier applied to quantity frequency leg 2
`notional_amount_effective_leg1`	double	yes	Notional in effect on the effective date for leg 1 (step-up swaps)
`notional_amount_effective_leg2`	double	yes	Notional in effect on the effective date for leg 2
`effective_date_notional_leg1`	date	yes	Date the notional amount takes effect for leg 1
`effective_date_notional_leg2`	date	yes	Date the notional amount takes effect for leg 2
`end_date_notional_leg1`	date	yes	Date the notional amount expires for leg 1
`end_date_notional_leg2`	date	yes	Date the notional amount expires for leg 2
`fixed_rate_leg1`	double	yes	Fixed coupon rate for leg 1 as a decimal (e.g. 0.036515 = 3.6515%)
`fixed_rate_leg2`	double	yes	Fixed coupon rate for leg 2 as a decimal
`fixed_rate_day_count_leg1`	string	yes	Day count convention for fixed leg 1 (A004=ACT/360, A006=30/360, etc.)
`fixed_rate_day_count_leg2`	string	yes	Day count convention for fixed leg 2
`floating_rate_day_count_leg1`	string	yes	Day count convention for floating leg 1
`floating_rate_day_count_leg2`	string	yes	Day count convention for floating leg 2
`floating_rate_reset_freq_period_leg1`	string	yes	Reset period unit for floating leg 1 (MNTH, WEEK, YEAR, EXPI, etc.)
`floating_rate_reset_freq_period_leg2`	string	yes	Reset period unit for floating leg 2
`floating_rate_reset_freq_multiplier_leg1`	double	yes	Multiplier for reset frequency period leg 1
`floating_rate_reset_freq_multiplier_leg2`	double	yes	Multiplier for reset frequency period leg 2
`fixed_rate_payment_freq_period_leg1`	string	yes	Payment frequency period unit for fixed leg 1
`fixed_rate_payment_freq_period_leg2`	string	yes	Payment frequency period unit for fixed leg 2
`floating_rate_payment_freq_period_leg1`	string	yes	Payment frequency period unit for floating leg 1
`floating_rate_payment_freq_period_leg2`	string	yes	Payment frequency period unit for floating leg 2
`fixed_rate_payment_freq_multiplier_leg1`	double	yes	Payment frequency multiplier for fixed leg 1
`fixed_rate_payment_freq_multiplier_leg2`	double	yes	Payment frequency multiplier for fixed leg 2
`floating_rate_payment_freq_multiplier_leg1`	double	yes	Payment frequency multiplier for floating leg 1
`floating_rate_payment_freq_multiplier_leg2`	double	yes	Payment frequency multiplier for floating leg 2
`spread_leg1`	double	yes	Spread over floating index for leg 1 (basis points or decimal per convention)
`spread_leg2`	double	yes	Spread over floating index for leg 2
`spread_currency_leg1`	string	yes	Currency of spread leg 1
`spread_currency_leg2`	string	yes	Currency of spread leg 2
`spread_notation_leg1`	string	yes	Notation for spread leg 1 (ABSC=absolute, PRCT=percent)
`spread_notation_leg2`	string	yes	Notation for spread leg 2
`price`	double	yes	Transaction price (commodity/equity swaps)
`price_unit_of_measure`	string	yes	Unit of measure for price
`price_currency`	string	yes	Currency of price
`price_notation`	string	yes	Price notation type
`post_priced_swap_indicator`	boolean	yes	True if the price is determined after execution
`option_type`	string	yes	CALL, PUT, OTHR — option type for swaptions/options
`option_style`	string	yes	EURO=European, AMER=American, BERM=Bermudan
`strike_price`	double	yes	Strike price for options/swaptions
`strike_price_currency`	string	yes	Currency or currency pair of the strike price
`strike_price_notation`	string	yes	Notation type for strike price
`embedded_option_type`	string	yes	Type of embedded option (callable, putable, etc.)
`option_premium_amount`	double	yes	Premium paid for the option
`option_premium_currency`	string	yes	Currency of the option premium
`exchange_rate`	double	yes	Agreed exchange rate for FX swaps/forwards
`exchange_rate_basis`	string	yes	Basis for the exchange rate quotation
`call_amount`	double	yes	Call leg notional for FX swaps
`call_currency`	string	yes	Currency of the call leg
`put_amount`	double	yes	Put leg notional for FX swaps
`put_currency`	string	yes	Currency of the put leg
`underlier_id_leg1`	string	yes	Identifier of the underlier for leg 1 (ISIN, index ticker, etc.)
`underlier_id_leg2`	string	yes	Identifier of the underlier for leg 2
`underlier_id_source_leg1`	string	yes	Identification scheme for underlier ID leg 1 (ISIN, INDX, etc.)
`underlying_asset_name`	string	yes	Human-readable name of the underlier (e.g. 'CDX.NA.IG', 'WTI Crude')
`underlying_asset_subtype_leg1`	string	yes	Subtype classification of the underlier leg 1
`underlying_asset_subtype_leg2`	string	yes	Subtype classification of the underlier leg 2
`maturity_date_underlier_leg1`	string	yes	Maturity of the underlying instrument
`other_payment_amount`	double	yes	Additional payment (e.g. upfront fee, points)
`other_payment_type`	string	yes	Type of other payment (UPFR=upfront, UFRO=upfront from other)
`other_payment_currency`	string	yes	Currency of other payment
`settlement_currency_leg1`	string	yes	Settlement currency for leg 1
`settlement_currency_leg2`	string	yes	Settlement currency for leg 2
`settlement_location`	string	yes	Settlement location/CCP (e.g. CME, LCH, ICE)
`collateralisation_category`	string	yes	FLCL=fully collateralised, PRCL=partially, UNCL=uncollateralised
`delivery_type`	string	yes	PHYS=physical delivery, CASH=cash settlement, OPTL=optional
`physical_delivery_location_leg1`	string	yes	Delivery point for commodity/physical swaps
`package_indicator`	boolean	yes	True if this trade is part of a multi-leg package transaction
`package_transaction_price`	double	yes	Price of the package as a whole
`package_transaction_price_currency`	string	yes	Currency of the package price
`package_transaction_price_notation`	string	yes	Notation for package price
`package_transaction_spread`	double	yes	Spread component of the package transaction
`package_transaction_spread_currency`	string	yes	Currency of the package spread
`package_transaction_spread_notation`	string	yes	Notation for package spread
`non_standardized_term_indicator`	boolean	yes	True if the trade contains non-standard bespoke terms
`custom_basket_indicator`	boolean	yes	True if underlier is a custom basket
`index_factor`	double	yes	Current index factor for ABS/MBS underliers
`asset_class`	string	no	DTCC asset-class partition, from the source file split — RATES, CREDITS, FOREX, EQUITIES, COMMODITIES. Drives the download URL and the Iceberg partition (no source mapping; populated from the partition dimension). See asset_class_code for the CFTC short code (IR/CR/FX/EQ/CO) carried in the data rows.
`trade_date`	date	no	Calendar date of the trade — the date portion of Event timestamp. Populated by CftcTradeDateTransformer (the DATE writer can't parse the full timestamp string, so the transformer emits a clean YYYY-MM-DD into the 'trade_date' field, which this column maps).
`year`	integer	no	Calendar year (partition key)
`month`	integer	no	Calendar month 1-12 (partition key)

rate_swaps · view¶

Interest rate swaps filtered view. Covers vanilla IRS, OIS (SOFR, EFFR), basis swaps, cross-currency swaps, and swaptions in the RATES asset class. Key columns: fixed_rate_leg1/leg2 (coupon as decimal), floating_rate_reset_freq_period_leg1 (EXPI=at-expiry OIS, MNTH=monthly reset), settlement_location (LCH, CME, etc.), upi_underlier_name (e.g. 'USD-SOFR-COMPOUND'). Filter action_type = 'NEWT' for new executions only.