Matt Bergerman, DTCC Director and Head of DTCC DataPro Fixed Income and Equity Products
traders, research analysts, portfolio managers, quantitative analysts, risk
officers and others looking to sharpen their insights and decision-making, DTCC
DataProTM Liquidity products are powerful tools for analyzing
categories of securities that can be difficult to value or understand activity
in such securities.
is one of six DTCC DataPro product “subfamilies,” each one designed to help
firms address a business or regulatory need. The DTCC DataPro business offers referential
and activity-based data, both firm-specific and market aggregates, sourced from
DTCC’s transaction, reference, position and asset servicing data covering all
major asset classes.
Connection spoke with Matt Bergerman, DTCC Director and head of DTCC DataPro Fixed
Income and Equity products, about DTCC DataPro Liquidity offerings and how subscribers can utilize them.
Connection:Why did you designate Liquidity
as one of the DTCC DataPro product categories?
Bergerman: When we set out
to create a DTCC DataPro product framework, we identified several priority
areas of need around financial data—based on what our team observed in the
marketplace as well as what prospective clients were asking for. We considered
various options and ended up with six categories, or “buckets.” For each bucket we have tapped DTCC’s
data resources to compile, aggregate and enhance data sets and turn them into
individual product offerings.
We saw liquidity as an increasingly important area of
focus, particularly among fixed income securities. At a macro level, regulators
are more concerned than ever about the liquidity of banks’ holdings.
At the individual firm level, liquidity considerations
affect day-to-day operations: recent trading activity in less-liquid, hard-to-value
securities can affect a firm’s costs to enter or exit positions in such
Yet, until now, it has been difficult for firms to find
reliable and complete sources of information around the liquidity of key asset
classes and security types. We knew that DTCC’s rich and expansive settlement
data could help firms gauge the liquidity of securities that are complex and,
in some cases, less widely traded.
Connection: How do DTCC DataPro products help
firms improve their insights around liquidity?
Bergerman: We provide
detailed, anonymized transaction data for specific asset classes that is
directly sourced from DTCC settlement activity. As a result, subscribers have
an efficient way to analyze market activity day by day for a particular type of
security. This kind of transparency is vital when firms need to value certain
types of complex securities
and assess the level of activity in these securities. Valuation and activity
are critical factors in determining your ability to execute a trade.
Connection: What are the current DTCC DataPro
Liquidity product offerings?
Bergerman: We now have two:
Paper and Institutional Certificates of Deposit Data Service—CP/CD
for short—and the Structured
Finance Data Service.
CP/CD was our inaugural offering—we launched the
product in late 2015—which demonstrates how the
challenges around liquidity guided development from the outset.
Connection: Do you plan to launch
additional products in the Liquidity area?
Bergerman: Yes, we have other Liquidity offerings in development.
Liquidity questions are especially relevant to OTC derivatives and we hope to
launch one or more products for this asset class later this year. There are
more Fixed Income offerings in our development plans as well.
Connection: What is the source of the
data used in the DTCC DataPro Liquidity products?
Our two existing products are built on daily settlement data for transactions
processed through The Depository Trust Company,
a DTCC subsidiary and the world’s largest securities depository.
The CP/CD service utilizes settled dealer turnarounds and
directly placed paper transactions for the outstanding CP and institutional CDs
on deposit at DTC, which total more than $2 trillion.
The Structured Finance service uses settlement data for securities such as collateralized bond obligations, collateralized
mortgage obligations and asset-backed securities.
For both products, the settlement records are quite detailed
so we can deliver DTCC DataPro data feeds with multiple fields that enable
firms to drill down into these securities.
should subscribe to
DTCC DataPro Liquidity data services and how
can they utilize the data?
Traders, rate desks, analysts, risk managers, portfolio managers and research
teams on the sell side and the buy side can benefit from our Liquidity
offerings. Because of the detail we provide, these services can help
subscribers track liquidity, prices, rates and volumes, create benchmarks and
indexes, and perform their own analyses.
The SEC’s [U.S. Securities & Exchange
Commission’s] money market reform in late 2016 is a great example of how a need
for particular data arose in the market and how one of our products was well positioned
to fill that need. The CP/CD service proved to be an incredibly valuable asset
before, during, and after the reform took effect. In the months leading up to
this reform and since the new rules went into effect, there have been dramatic
shifts in the activity of CP, CDs and other money market securities. Users are
still looking back at the historical data in the product as well as the current
feed to understand the direction of this unique market.
Connection: How are Liquidity products delivered?
Bergerman: We provide our
Liquidity services as daily data feeds. The CP/CD service can be delivered once
a day, at around 7PM ET, or as cumulative files delivered several times
throughout the trading day. The Structured Finance feed is delivered at around
midnight ET. Subscribers can receive the feeds via DTCC’s SMART network, via AT&T’s network-based IP VPN, or over the internet.
Connection: How can firms learn more
about subscription options?
Bergerman: Contact our DTCC
DataPro team, by phone at 1-800-253-2488 or email at [email protected]. We’d be
happy to answer any questions prospective users may have.