DTCC commercial paper transaction data (restricted access)

Confidential data: not exercised here

This is confidential DTCC transaction data. It is not an off-the-shelf feed and not publicly downloadable: it carries no provenance badge because there is no access path we can run here. Researchers obtained it under a restricted arrangement with DTCC (the post-trade infrastructure provider). The page documents what the data is and the gotchas; treat it as unverified. This is the honest grade under the institute’s Verified discipline.

DTCC commercial paper (CP) transaction data is the transaction-level record of CP issuance cleared through DTCC: for each issue, the issuer, volume, rate, and maturity. Because DTCC clears the bulk of U.S. CP, the data is a broad cross-section of U.S. CP at the security level, more detailed than the published aggregate CP outstanding series, but defined by what clears through DTCC. A paper we distill uses it: Anderson, Du & Schlusche use DTCC CP transaction data (issuer, volume, rate, maturity) to measure banks’ unsecured funding and build their arbitrage-capital measures, alongside FR 2420 money-market rates and FR 2644 balance sheets.

• Cost: not for sale as a standard feed. Restricted-access confidential data.
• Source: DTCC Solutions LLC (the data-licensing subsidiary of the DTCC group; CP settles through DTC, the Depository Trust Company, also part of DTCC).
• Coverage: CP issuance cleared through DTCC at the transaction level; a large share of U.S. CP, but defined by what clears through DTCC, not literally every CP trade.

Access (restricted)

• No public download. The transaction microdata is confidential; only aggregate CP statistics are public (for example the Fed’s CP releases).
• Through a restricted arrangement with DTCC. Access is granted per project under confidential terms; there is no standing way for a third party to reach the same data.

Gotchas (the ones that bite pipelines)

These are the failure modes to expect; they are documented, not verified here.

• Issuance flow, not outstanding stock. The data is new issues with their terms; building an outstanding-amount series requires aggregating issues by maturity, not reading a stock field. Do not confuse issuance with outstanding.
• CP programs and issuer identity. An issuer can run multiple programs and appear under different names or conduits (especially ABCP); mapping issues to the ultimate parent requires care. Verify the issuer crosswalk.
• Asset-backed versus unsecured CP. ABCP and unsecured financial/nonfinancial CP behave differently; pooling them conflates very different funding. Separate by CP type.
• Rate conventions. CP is quoted on a discount basis with specific day-count conventions; comparing CP rates to other money-market rates needs conversion. Convert before comparing.
• Coverage is defined by DTCC clearing. Anything not cleared through DTCC is outside the data; do not treat it as literally every CP trade. State the coverage assumption.
• Not redistributable. Results can be reported but the microdata cannot be shared or re-pulled by others. Plan for non-reproducibility of the raw inputs.

Citation

Cite the source and arrangement, e.g.: DTCC commercial paper transaction data (DTCC Solutions LLC), confidential; used under restricted arrangement, YYYY-MM-DD. State the sample window, the CP type (ABCP versus unsecured), and the issuance-versus-outstanding treatment.