December is usually a quiet month, but if you look at swap data repositories, it was a little bit more hectic than usual.

CFTC SDR reports went live with their re-write changes in the first week of December, meaning that we had to be extra careful with the new fields and the data that were being pulled in. Cleaning data is part of what we love to do, so we took a little extra time and care to make sure everything was accurate.

There were quite a few changes in this re-write that we thought would be particularly interesting. For example, there is now much more granularity into day count conventions for transaction legs (4 data fields vs 1 prior). One fiddly change that we had to think about implementing/interpreting was the introduction of 'Underlier ID-Leg' to replace three existing fields. We think this makes a lot of sense and reduces one dimensionality of confusion, but on the other hand, we had to spend some time to think about how to map this internally across the asset classes. This re-write also introduces 7 new fields related to Package trades, something that we will discuss in further detail in a separate post.

Overall, we are positive on these changes and look forward to giving our users access to cleaned and verified trade data with greater granularity and ease-of-use. Reach out to us if you need a detailed mapping and breakdown of the changes or want to discuss how we implemented these changes!

Happy New Year, and have a great 2023!