DTCC has developed a Liquidity Coverage Ratio (LCR) Data Service that will be available later this month and delivered as a data-as-a-service solution by DTCC Data Products, a centralised market data provisioning service set up a year ago to allow faster and smarter access to DTCC data.
The LCR Data Service is designed to help firms manage collateral requirements for commercial paper obligations and meet regulatory capital requirements set down in Basel III and similar regulatory mandates such as Basel II BCBS 238.
The service requires firms to supply their commercial paper portfolios to DTCC every day. DTCC creates a profile of a firm’s portfolio with obligations mapped by maturity and uses the profile, in conjunction with data on new issuances and maturities aggregated from daily feeds received by DTCC subsidiary Depository Trust Company, to calculate the liquidity coverage ratio necessary for a firm to comply with capital requirements. The calculated liquidity requirement is delivered by the start of the next day.
Dan Magarino, executive director and head of DTCC Data Products, explains: “When banks issue commercial paper they don’t always have a precise view of when obligations are due, so they can over collateralise. The DTCC LCR Data Service avoids this and allows banks to make capital adjustments on a daily basis and free up large amounts of assets.”
DTCC will bring the LCR Data Service to market later this month and is talking to three large banks about its potential to remove excess collateral from balance sheets and allow capital to be redeployed. The service adds to a number of products already provisioned by DTCC Data Products, and will be followed by further additions planned for release this quarter and throughout the rest of the year.