Collaboration with Researchers
The Office of the Chief Economist values collaboration with academic researchers on a wide variety of research topics. This collaboration usually focuses on producing research paper on topics of relevance to the Commission and of interest to the academic community. Many of these papers use the detailed data sets collected by the agency in order to monitor markets and formulate policy. Research with agency data and publication of results are governed by strict rules and procedures to safeguard confidentiality and uphold ethical standards.
Examples of papers resulting from collaboration of staff economists with academics can be found on the “Research Papers” page. Descriptions of some regulatory data sets available to the agency can be found below.
If you are interested in learning more about academic research collaborations, please send an email with a detailed description of your proposal to OCE-Research@cftc.gov.
Part 16 Data:
Clearing Member Data: The CFTC operates a comprehensive system of collecting information on market participants as part of its market surveillance program. In addition to providing public data on trading volume, open contracts, futures delivery notices, exchanges of futures for cash, and prices, under Part 16 of the CFTC’s regulations; Title 17 CFR Part 16, exchanges must provide the Commission with confidential information on the aggregate positions and trading activities for each of their clearing members. Each day, exchanges report each clearing member’s open long and short positions, purchases and sales, exchanges of futures for cash, and futures delivery notices for the previous trading day. This data is reported separately by proprietary and customer accounts, by futures month, and for options by puts and calls, expirations date, and strike price.
Datasets associated with Part 16 Data include daily clearing member positions data for Futures and Options on Futures (Part 16.00), daily market price and volume data for Futures and Options on Futures and data from Swap Execution Facilities (Part 16.01), and transaction level trade data for Futures and Options on Futures (Part 16.02)
Part 17 Data:
Large Trader Data: Under the Commission’s LTRS (Large Trader Reporting System); clearing members, Futures Commission Merchants (FCMs), and foreign brokers (collectively called reporting firms) file daily reports with the Commission under Part 17 of the CFTC’s regulations, Title 17 CFR Part 17. The reports show futures and option positions of traders with positions at or above specific reporting levels as set by the Commission. Current reporting levels are found in CFTC Regulations 15.03(b), 17 CFR 15.03(b).
Datasets associated with Part 17 Data include futures firms making daily reports about the activity of their largest traders, including the number of open futures or options positions, the number of delivery notices issued or stopped, and the count of exchange for related positions (EFRPs) (Part 17.00).
Part 20 Data:
On July 22, 2011, the CFTC published large trader reporting rules for physical commodity swaps and swaptions (76 FR 43851). The reporting rules became effective on September 20, 2011 and are codified in new Part 20 of the Commission’s regulations. Section 20.3 of the reporting rules requires daily reports from clearing organizations. Section 20.4 of the reporting rules requires daily reports from clearing members and swap dealers. Clearing members that are required to provide § 20.4 reports are those entities that are authorized by a clearing organization to clear one or more paired swaps as that term is defined in § 20.1 (regardless of whether the entity actually does clear such swaps). Reporting entities are required to report inter-affiliate transactions under Part 20 if they are separate legal entities.
Part 39 Data:
Derivatives Clearing Organizations (DCO) reporting rules become effective on Nov. 8, 2012 and are set forth in Part 39, Section 39.19. The rules cover daily, quarterly, annual, and event-specific reporting.
Daily reporting requirement from DCOs for each clearing member (“CM”) by house origin and by each customer origin for all futures, options, and swaps positions, and all securities positions held in a segregated account or pursuant to a cross margining agreement.
1. Section 39.19 (c) (1) (i) (A) addresses initial margin requirements and initial margin on deposit for each clearing member, by house origin and by each customer origin.
2. Section 39.19 (c) (1) (i) (B) addresses daily variation margin, separately listing the mark-to-market amount collected from or paid to each clearing member, by house origin and by each customer origin.
3. Section 39.19 (c) (1) (i) (C) addresses all other daily cash flows relating to clearing and settlement including, but not limited to, option premiums and payments related to swaps such as coupon payments, collected from or paid to each clearing member, by house origin and by each customer origin;
4. Section 39.19 (c) (1) (i) (B) addresses end of day positions for each clearing member, by house origin and by each customer origin.
Part 43 Data:
Part 43 data is from the Real Time Ticker, which provides price forming trade data. Part 43 Publicly Reported Data can be found on Bloomberg, but some fields are difficult to find. The SDR’s under the Part 43 are the following: – Depository Trust & Clearing Corporation (DTCC), The intercontinental Exchange (ICE), Chicago Mercantile Exchange (CME), and Bloomberg. Compared to Part 45 private data, Part 43 public Data do not disclose participants’ name/LEI disclosure, have rounded or capped notional and less columns.
Part 45 Data:
The rule requires market participant to report a host of swap information upon execution or shortly thereafter to a swap data repository (SDR), which is then responsible for disseminating a portion of that information to the public. Updated information of a given swap must be reported to the same SDR throughout the life of the swap. The rule establish the general swap data reporting obligations of swap dealers, major swap participants, non-SD/MSP counterparties, swap execution facilities, designated contract markets, and derivatives clearing organizations to report swap data to a SDR.
Swap Creation Data: A swap’s primary economic terms and confirmation data. Primary economic terms data means all of the data elements necessary to fully report all of the primary economic terms of a swap in the swap asset class of the swap in question, such as whether the swap is cleared; effective and end dates; price information; and execution timestamps. Confirmation data means all of the terms of a swap matched and agreed upon by the counterparties in confirming the swap. For cleared swaps, confirmation data also includes the internal identifiers assigned by the automated systems of the derivatives clearing organization to the two transactions resulting from novation to the clearing house.
Swap Continuation Data: All changes to the primary economic terms of the swap occurring during the existence of the swap including life cycle event data or state data.
Part 46 Data:
Reporting for pre-enactment and transition swaps in existence on or after April 25, 2011
(1) Initial data report: minimum primary economic terms data, LEI of the reporting counterparty, identifier of the non-reporting counterparty, the internal transaction identifier to identify the swap.
(2) Reporting of required swap continuation data: changes to the minimum primary economic terms For swaps expired or terminated prior to April 25, 2011, information relating to the terms of the transaction that was in the reporting counterparty’s possession is to be reported.
Yacine Ait-Sahalia, Princeton University
Agostino Capponi, Columbia University
Raymond (Pat) Fishe, University of Richmond
Eleni Gousgounis, Stevens Institute of Technology
Pankaj (P.K.) Jain, University of Memphis
Vikas Raman, University of Warwick
Michel Robe, University of Illinois at Urbana-Champaign
Pradeep Yadav, University of Oklahoma
Haoxiang Zhu, MIT