TIW Market Reports, a set of reporting services designed to provide market risk perspectives on credit derivatives traded globally, debuted last month as part of DTCC DataPro’s product suite. DataPro offers referential and activity-based data provisioning sourced from DTCC’s transaction, reference, position and asset servicing data covering all major asset classes. DataPro’s firm-specific and market-aggregate data sets can help firms address an array of business and regulatory needs.
TIW Market Reports are sourced from transaction and position data recorded in DTCC’s Trade Information Warehouse (TIW), a centralized infrastructure for reporting and asset servicing on approximately 98% of all credit derivative transactions outstanding worldwide.
DTCC Connection sat down with Chris Nardo, a DTCC director who oversees product management for DataPro’s derivatives offerings, to discuss the two new market reports, the Weekly Stock and Volume Reports and the Index and Index Options Activity Report, and how subscribers can access and utilize them.
Connection: What is included in the TIW database?
Nardo: The TIW is a robust database and processing infrastructure for approximately 98% of all outstanding CDS transactions in the global markets. TIW provides market participants across the globe with a wide range of automated operational capabilities including lifecycle event processing. TIW’s database holds the most current contract record for both cleared and bilateral CDS positions held by all major derivatives dealers and more than 2,500 buy-side firms and other market participants around the world.
Connection: What data is contained in the Weekly Stock and Volume Reports?
Nardo: The Weekly Stock and Volume Reports deliver detail on global CDS contract activity, presented as anonymized positions aggregated from all major dealers, buy-side firms and other market participants globally. The reports are organized into multiple tables showing details on open positions, week-on-week activity changes in open positions, all transaction activity and market risk activity. Report fields include reference entity name, gross notional, net notional, weekly notional change, trade volume, weekly trade volume change, and more.
Product types registered in TIW include single names, single name options, index and index tranche, index options, structured finance indexes and structured finance single names. For a complete list of product types, download the fact sheet from the TIW Market Reports webpage.
Connection: What data is included in the Index and Index Options Activity Report?
Nardo: The Index and Index Options Activity Report delivers a complete list of CDS index and index option positions, anonymized and aggregated from all major dealers, buy-side firms and other market participants globally. The report is designed to reveal the liquidity of particular indexes by presenting the liquidity build-up on all index and index options across the different expiry dates.
Connection: Who should subscribe to TIW Market Reports and how can they utilize the data?
Nardo: Front- and middle-office staff from sell-side and buy-side firms, including credit derivatives traders, analysts, researchers and risk monitors, consultants, academics and financial journalists can benefit from TIW Market Reports. The reports can help subscribers improve their trend analysis of the global CDS market and global credit risk and, in turn, refine their trading strategies. The depth, breadth and transparency of information in the reports can also enhance subscribers’ proprietary data sets and support research efforts.
Connection: How often is the Index and Index Options Activity Report created?
Nardo: Like the Weekly Stock and Volume Reports, the Index and Index Options Activity Report is generated and made available on a weekly basis.
Connection: Is historical data available?
Nardo: Yes. In addition to the Weekly Stock and Volume Reports, users can subscribe to the historical Stock and Volume Reports, which shows TIW’s CDS aggregate position data older than six months. Historical information is included in the weekly Index and Index Options Activity Report, which shows 1-month, 3-month and 6-month notional averages. For non-subscribers, a complimentary Weekly Stock and Volume Report is available after a 4-week embargo.
Connection: How are the reports delivered?
Nardo: Subscribers have two delivery options: they can receive TIW Market Reports by SFTP or through the Report Library section of the DTCC DataPro website. SFTP delivery is available every Tuesday after 6:00PM ET.
Connection: How can I learn more about subscription options?
Nardo: For more information on DTCC TIW Market Reports, please contact us.