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Accessing Repo Trade Data Amid Market Volatility

Tim Lind, DTCC Data Services

DICC recently launched the DTCC Treasury Kinetics, a new service that provides access to critical U.S. treasury transaction data, increasing transparency into the repurchase agreement (repo) market.

Leveraging data from the Government Securities Division of DTCC’s subsidiary, Fixed Income Clearing Corporation (FICC), this new service provides a daily summary of aggregated and anonymized trade activity including number of trades, volumes, dollar amounts and rates for delivery vs. payment (DVP) repo. On average, FICC matches, nets, and settles repo transactions valued at more than $3 trillion dollars each day.

The repo market plays an important role in the U.S. financial ecosystem, acting as a key source of liquidity and short-term funding. As the repo market continues to evolve and grow, increased volatility in this sector has underscored the need for market participants to have access to data that enables them to better understand valuation, rates, and liquidity. Treasury Kinetics provides historical data dating back to 2011, allowing asset buyers across the globe to back-test current repo data against historical events.

GlobalTrading had an opportunity to speak with Tim Lind, Managing Director of DTCC Data Services to learn more about DTCC’s Treasury Kinetics solution and its impact on asset managers who buy and sell U.S. treasuries.  

Why was this solution invented? What was the vision behind it?  

The trading of repos has traditionally been bilateral and fragmented, which makes it difficult to obtain market data on rates and trends.    

As the repo market continues to grow and evolve, recent volatility has reinforced the need for a broader source of transparency into rates and pricing.

Providing clearing services and market transparency is core to DTCC’s overall commitment to help mature, modernize, and make the repo markets more efficient.

What was the pain points that this service fixed? 

In the repo markets, both price discovery and execution quality is difficult due to the lack of a central trading mechanism and source of market data. Ultimately, this product empowers investors with better info on interest rates.

How is this new service able to offer transparency for asset buyers based in Asia? 

The Treasury market is the deepest and most liquid in the world. Anyone who invests in the U.S. markets, in any capacity, is likely to use the repo market to access liquidity.

Why should asset managers and traders take on this service?  

Asset managers often don’t have access to clearing facilities directly, and may not participate in electronic trading platforms, so market data doesn’t always flow to the investor segment. 

This creates challenges in terms of price formation and how to compare where they get best return – so best execution is a challenge. 

Asset managers are looking for objective measurement in the quality and fair treatment by their counterparties and the knowledge that rates are in line with expectations.

What is different about this service compared to other competitors?  

As the central counterparty clearing repo transactions, DTCC has the broadest view of market activity available. 

How were you able to create a single data source?

The data comes from the Government Securities Division of DTCC’s subsidiary, Fixed Income Clearing Corporation (FICC). On average, FICC matches, nets and settles repo transactions valued at more than US$3 trillion dollars each day.

DTCC is working to expand access to its DTCC Treasury Kinetics and other data services products by making them available on cloud-based marketplaces, beginning with Snowflake Data Marketplace, which is expected to be launched in the first quarter of 2022.  What’s next?

DTCC intends to leverage cloud-based marketplaces and delivery models to provision and integrate our data into environments that our clients prefer. 

Based on client demand, we are planning to make additional products available in data marketplaces offered by other cloud and technology providers.

Is there anything else important that asset management traders should know about this service? 

Given the macroeconomic changes impacting fixed income markets and volatility in risk assets like equities, combined with monetary policy changes by central banks, we expect investors to focus on funding rates more than ever.   

The more benchmark information on rates and liquidity available to investment managers, the better returns they can achieve for their clients.