Cftc Cds Index Trades

---

Implementation details

Class names

Model name	Parameters class	Data class
CftcCdsIndexTrades	CftcCdsIndexTradesQueryParams	CftcCdsIndexTradesData

Import Statement

from openbb_core.provider.standard_models. import (
CftcCdsIndexTradesData,
CftcCdsIndexTradesQueryParams,
)

Parameters

• standard
• cftc

index: str | None
Filter by index family, matched against the UPI Underlier Name. E.g., 'CDX.NA.IG'. Matching is exact and case-insensitive, because 'ITRAXX EUROPE' is a substring of two other index families. Default is every index.

date: date | None
Dissemination date (UTC). Default is the most recent date whose file holds index prints matching the query; a file is published every calendar day, but weekends and holidays carry almost none. Files are retained for 366 days.

tenor: str | None
Filter by the print's tenor at execution. E.g., '5Y'. Default is every tenor.

min_notional: float | None
Filter out prints whose leg 1 notional is disseminated below this amount. A print above the reporting cap is disseminated at the cap, which is only a floor on its true size, so a threshold above a cap drops prints that may in fact exceed it. Caps vary by index, tenor and currency.

limit: int | None
Number of prints to return. Default is all matching.

use_cache: bool | None
Default: True
Cache the daily file locally, revalidating it against the source ETag.

Data

• standard
• cftc

dissemination_date: date
Date the SDR publicly disseminated the print, being the report date of the file it was published in. The cumulative file carries no per-message dissemination timestamp.

trade_key: str | None
Asset-class-qualified dissemination identifier, e.g. 'CR:4411567497000000101'. The qualifier keeps the 19-digit identifier out of IEEE-754 double range, which truncates it past its 16th digit.

action_type: str | None
Type of action taken on the swap transaction: NEWT (new), MODI (modify), CORR (correct), EROR (error), TERM (terminate), or REVI (revive).

event_type: str | None
Explanation or reason for the action being taken on the swap transaction: TRAD (trade), NOVA (novation/step-in), COMP (compression or post trade risk reduction exercise), ETRM (early termination), CLRG (clearing), EXER (exercise), or CREV (credit event).

event_timestamp: datetime | None
Date and time of occurrence of the event, as determined by the reporting counterparty or a service provider.

execution_timestamp: datetime | None
Date and time the transaction was originally executed, resulting in the generation of a new UTI. It remains unchanged throughout the life of the UTI, so on a correction or termination it dates the original trade.

index: str | None
Name of the asset or index underlying the product corresponding to the UPI. It names the index family only and carries no series number, so maturity_date is what pins the series.

upi_fisn: str | None
ISO 18774 Financial Instrument Short Name issued by the UPI Service Provider. 'NA/CDS Corp Idx Tra' marks a tranche print.

unique_product_identifier: str | None
ISO 4914 Unique Product Identifier (UPI), a unique set of characters that represents a particular OTC derivative.

effective_date: date | None
Unadjusted date at which obligations under the transaction come into effect. For a credit index this should be the effective date of the contract, usually one or two days after execution, and not the roll date of the underlying index.

maturity_date: date | None
Unadjusted date at which obligations under the transaction stop being effective, as included in the confirmation ('Expiration date'). Early termination does not affect it. Together with index it identifies the series traded.

tenor: str | None
Years from execution_timestamp to maturity_date, snapped to the nearest standard CDS index tenor within one year, else the rounded year count. Derived, not disseminated.

coupon: float | None
Per annum rate of the fixed leg, expressed as a decimal (0.05 is 500bp). The index's standardised coupon, and with upfront_amount the price of the print.

coupon_day_count: str | None
ISO 20022 day count convention of the fixed leg. A004 is ACT/360.

coupon_payment_frequency: str | None
Time unit associated with the frequency of fixed leg payments: DAIL, WEEK, MNTH, YEAR, ADHO, or EXPI (payment at term).

coupon_payment_frequency_multiplier: float | None
Number of time units of coupon_payment_frequency between payments. MNTH with a multiplier of 3 is quarterly.

upfront_amount: float | None
Payment amount corresponding to upfront_type, in upfront_currency. With coupon it prices the print.

upfront_type: str | None
Type of the other payment amount. UFRO is an upfront payment: the initial payment made by one of the counterparties either to bring a transaction to fair value or for any other reason that may be the cause of an off-market transaction. UWIN is an unwind or full termination payment; PEXH is a principal exchange.

upfront_currency: str | None
Currency in which upfront_amount is denominated.

spread: float | None
Reported spread on the leg 1 index reference price, as disseminated. Conditional: it is required only where coupon is not populated and upfront_type is not 'UFRO', so it is an alternative to the coupon-plus-upfront quote rather than the price of the print. Read it together with spread_notation - the field also carries a price in points of par on the price-quoted indices. See the package README.

spread_notation: str | None
Manner in which spread is expressed: 1 (monetary amount, in spread_currency), 3 (decimal, e.g. 0.0257 for 2.57%), or 4 (basis points, e.g. 257 for 2.57%).

spread_currency: str | None
Currency in which spread is denominated. Only applicable when spread_notation is 1.

index_factor: float | None
The index version factor or percent, expressed as a decimal value, that multiplied by the notional amount yields the notional amount covered by the seller of protection. Below 1 once a constituent has defaulted.

notional_amount: float | None
Leg 1 notional amount specified in the contract, gross of any version incrementing due to a credit event. Values above the reporting cap are disseminated at the cap and flagged by is_capped.

notional_currency: str | None
Currency in which the leg 1 notional amount is denominated.

is_capped: bool | None
Whether any amount on the print was disseminated at a reporting cap rather than its true value. Other disseminated amounts are proportionally scaled when the notional is capped.

venue: str | None
ISO 10383 segment MIC of the trading facility the transaction was executed on. XOFF marks a transaction in a listed instrument executed off venue, XXXX an instrument not listed on any venue, and BILT a reporting counterparty that could not determine whether the instrument is listed.

cleared: str | None
Whether the transaction has been cleared, or is intended to be cleared, by a central counterparty: Y (centrally cleared), N (not centrally cleared), or I (intent to clear, for original swaps planned to be submitted to clearing).

block_trade: bool | None
Whether an election has been made to report the transaction as a block trade, by the reporting counterparty or as calculated by the SDR on its behalf or by a third party.

package_trade: bool | None
Whether the transaction is part of a package transaction, being two or more transactions negotiated together as the product of a single economic agreement.