DTCC Connection

For traders, research analysts, portfolio managers, quantitative analysts, risk officers and others looking to sharpen their insights and decision-making, DTCC DataPro^TM Liquidity products are powerful tools for analyzing categories of securities that can be difficult to value or understand activity in such securities.

Liquidity 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.

DTCC 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 securities.

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: the Commercial 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?

Bergerman: 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.

Connection: Who should subscribe to DTCC DataPro Liquidity data services and how can they utilize the data?

Bergerman: 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 datapro@dtcc.com. We’d be happy to answer any questions prospective users may have.