DTCC DataPro Readies Fundamental Review of the Trading Book Solution

Blog entry

DTCC DataPro is planning to add Fundamental Review of the Trading Book (FRTB), expanded risk and extended exchange-traded funds (ETFs) solutions to its portfolio of data products through 2017. We caught up with Ron Jordan, managing director of Data Services at DTCC, soon after the rebranding of DTCC Data Products to DTCC DataPro to find out more about this year’s plans for the business.

DTCC Data Products was established in July 2015 to pull together data from the company’s post-trade processing and data engines and deliver centralised, on-demand data provisioning designed to help firms meet regulatory demands, reduce risk, increase efficiency, gain better market insight and lower costs. Jordan says the name change to DTCC DataPro is a rebranding exercise, although the company has also used the opportunity to reorganise how its products are offered to market and identify additional products that provide added value to clients.

On the roadmap for this year is a real-price data service that will support the observation element of FRTB, which requires at least 24 real prices a year to be observable, with a maximum of one month between observations, if an instrument is to be classified as modellable within the confines of the regulation.

Jordan says: “We have the largest repository of transaction and reported data in the industry and will leverage this to provide observation data for FRTB.” He expects the company’s solution to be a service that will package, anonymise and deliver required data to help firms with modelling. Alternatively, it could be an enquiry service providing only data. The company is working on proofs of concept and will develop the solution in line with expected regulatory requirements on observations.

Additional risk solutions are also on the plan for this year. Jordan explains: “DTCC is strong on risk internally, so we are looking at how our data and tools could be used externally by other firms to manage positions and risk.” Moving on to ETF solutions, he says the company is developing benchmarking products as well as ETF liquidity scores designed to help firms understand the components in a basket of ETFs.

The reorganisation of DTCC DataPro’s product offerings changes the emphasis from asset class categorisation to six types of products that cross asset classes: announcement, liquidity, market and benchmark analytics, regulatory compliance, risk, and security reference.