Liquidity Coverage Ratio Service

DTCC’s Liquidity Coverage Ratio (LCR) Service provides a calculation of commercial paper (CP) market exposure that helps market participants determine optimal capital obligations.


about

DTCC’s Liquidity Coverage Ratio (LCR) Service provides a precise profile of a firm’s coverage obligation for the firm’s daily CP portfolio delivered in a daily, start-of-day CSV file. The service delivers transparency to firms and provides visibility to CP outstanding and CP maturity dates, giving firms the ability to manage with heightened precision the cash coverage for their CP obligations. While meeting today’s more-stringent regulatory mandates, market participants actively trading or holding CP, including firms’ Money Market Trading Desks and Treasury Groups, seek cost-efficient ways to enhance visibility into the obligations for the CP for which they provide loan commitments.

The LCR Service prepares a detailed profile of a firm’s current CP portfolio with obligations mapped by maturity—from seven days up to one year—and uses this information to compute the up-to-date liquidity-coverage ratio necessary to facilitate compliance with capital requirements. Utilizing data on outstanding obligations from daily feeds received by DTCC’s depository subsidiary, Depository Trust Company (DTC), in conjunction with firms’ CP portfolio data, the LCR service calculates and provides overnight delivery of customized information to help firms better optimize the capital required to meet their current, mandated obligations.

benefits

Features

Benefits

Customized Intelligence
Refine your collateral requirements relevant to your market exposure.
Market Transparency
Gain balance sheet efficiency by redeploying capital for other business needs.
Rapid Turnaround
Receive overnight delivery of aggregated maturities based on outstanding CP market positions.
Time to Maturity Reporting
Facilitates compliance with liquidity coverage mandates.

Offering

  • Daily aggregated market exposure report
  • CP Active Programs File

Coverage

  • DTC-eligible commercial paper programs

How It Works

Delivery

  • Over the Internet via SFTP

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