ETF Arbitrage Under Liquidity Mismatch

Kevin Pan of Harvard University and Yao Zeng of the University of Washington use DTCC ETF Portfolio Data to show how liquidity mismatch affects arbitrage and market efficiency when liquid exchange-traded funds (ETFs) hold relatively illiquid assets.

DTCC Data Service Aids Collateral Optimization

To meet Basel III requirements for high-quality liquid assets, firms need to hold a certain amount of short-term securities on their balance sheets. In this video, experts from DTCC’s Core and DataPro businesses describe how firms can marry data from their current portfolios with DTCC’s expansive commercial paper data to derive detailed daily profiles of their coverage obligations. Learn about DTCC DataPro’s Liquidity Coverage Ratio (LCR) Data Service.

DTCC DATAPRO FACT SHEET

DTCC DataPro offers referential and activity-based data provisioning that delivers fixed and configurable data solutions sourced from DTCC’s transaction, reference, position and asset servicing data covering all major asset classes.

DTCC DATAPRO BROCHURE

The DTCC DataPro family of services provides streamlined access to up-to-date information sourced directly from DTCC’s trade-processing and data repository engines. DataPro offerings deliver multiple perspectives to help firms address an array of business and regulatory needs.

Equity Data Service - Breakfast Series - Video

DTCC’s Equity Data Service provides NSCC transaction data. The service seeks to provide market participants with improved visibility into their business by aggregations of market activity.

Commercial Paper & Institutional Certificates of Deposit Data Service - Breakfast Series - Video

DTCC’s Commercial Paper and Institutional Certificates of Deposit Data Service provides a daily feed of anonymized transaction data. The service seeks to enhance transparency through the distribution of new issuances, maturities, and turnaround delivery orders for the $300 billion market for commercial paper (CP) and certificates of deposit (CD).

GOVERNMENT SECURITIES DATA SERVICE - BREAKFAST SERIES - VIDEO

DTCC’s Government Securities Data Service offers aggregated and enriched transaction data on U.S. government securities trades that are matched, netted and settled through FICC, including treasuries (notes, bonds, bills), TIPS, agency bonds, floating rate notes, and STRIPS.