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Clients now have access to one-of-a-kind transaction data for commercial paper and institutional CDs

By Melanie Best

DTCC Data Service Helps Firms Navigate Money Market ReformAs impending regulatory reform of U.S. money market mutual funds stirs up trading activity in the securities these funds are permitted to hold, market participants are seeking reliable transaction data to guide their trading, risk management and other activities. DTCC Data Products is addressing this need with its Commercial Paper (CP) and Institutional Certificates of Deposit (CD) Data Service.

“Money market reform has ignited unprecedented demand for timely, accurate transaction data for money funds’ underlying securities,” said Ron Jordan, DTCC Managing Director, Data Products. “Because of our role in the settlement of transactions relating to these instruments, DTCC is actively engaged in providing this information to help firms adapt to the reform.”

DTCC’s Dynamic Market Data

The CP/Institutional CD Data Service provides a streamlined, searchable feed of anonymized CP and institutional CD secondary settlement transaction data, excluding primary IPA to dealer, that market participants can use to track and analyze daily activity in these instruments. Subscribers can opt to receive the file at end of day only or intraday. The service also offers historical data going back to December 2014.

This service is one in a suite of offerings from DTCC Data Products, which delivers centralized and dynamic market data provisioning that enables users to access DTCC data in smarter and faster ways. Sourced from the daily settlement data of DTCC’s depository subsidiary, The Depository Trust Company (DTC), the CP/CD data service offers the U.S. market’s most comprehensive database of daily secondary settlement transactions in money market securities. The amount of outstanding money market instruments (MMIs) on deposit at DTC is approximately $3.1 trillion, with CP and institutional CDs representing approximately $1.2 trillion and $1.0 trillion, respectively.

SEC rule changes

The surge of interest in transaction data on CP and CDs is driven by new rules from the U.S. Securities and Exchange Commission (SEC) governing money market funds. The rule changes, which take effect on October 14, 2016, were devised in the wake of money fund disruption during the 2008 financial crisis.

Money market funds are low-volatility funds that historically have sought to maintain a $1-per-share value by investing in commercial paper, certificates of deposit and other short-term, high-quality debt securities. But their reputation was tarnished in September 2008 when the share value of a leading money fund fell to $0.97 after the fund wrote off its holdings in by-then-bankrupt Lehman Brothers.

With the aim of making money market funds more transparent and protecting shareholders during periods of market stress, the amended SEC rules set new parameters on the quality, maturity and diversity of securities held by these funds and restrict redemptions when liquidity falls below a mandated threshold.

Multiple uses

The market is responding to the revised rules even before they take effect: active trading in commercial paper and other money market securities is producing volatility in prices, interest rates and liquidity. Some traditional investors in these instruments have moved out of them while other investors are changing the dynamics of their holdings.

In turn, firms are seeking ways to track and better understand the movements in these securities to help steer their way through the changing market.

“Our service stands out not only for its unparalleled breadth and detail of information,” said Dan Magarino, head of DTCC Data Products. “It’s distinctive because it can drive a variety of powerful analyses, whether you’re on the buy side or the sell side, in the front, middle or back office.”

The service provides transaction data—derived from DTC’s settled dealer turnarounds and directly-placed paper transactions—in a CSV file searchable across multiple fields, including security ID, security description, product type, issuer name, settlement date, maturity date, principal amount, settlement amount, interest rate and interest rate type.

Subscribers can use the CP/Institutional CD Data Service for a variety of analytical purposes. For instance:

  • Traders can use aggregates and historical data to monitor performance and performance trends against peer firms and the overall market.
  • Risk analysts can track liquidity and rate or price information changes over time.
  • Investors in money market securities monitor their total holdings and calculate their collateral requirements.
  • Front offices can determine how easily they can trade in and out of a security.
  • Rates desks and money market researchers can obtain price and rate visibility to assist in tracking against LIBOR or other rates.
  • Sell-side traders and analysts can use aggregate and/or proprietary transaction data to value difficult-to-price securities.
  • Buy- and sell-side traders and analysts can perform price discovery and portfolio pricing.
  • Research teams can conduct back-testing of price movements.

For information on subscribing to the CP/Institutional CD Data Service, please contact DTCC Data Products Sales and Support by phone at 1-800-253-2488 or email at [email protected]. Visit for additional product details and to learn about the complete suite of DTCC Data Products.