government securities.īY ACCESSING OR USING THIS WEBPAGE OR THE DTCC GCF REPO INDEX DATA YOU AGREE TO THE TERMS AND CONDITIONS ON THIS PAGE AND IN THE TERMS OF USE. What's a GCF (General Collateral Finance) Repo?ĭTCC's Fixed Income Clearing Corporation developed the GCF Repo so that dealers could trade general collateral repos, based on rate, term and underlying product throughout the day without requiring intra-day, trade-for-trade settlement on a delivery-versus-payment basis.ĭTCC's Fixed Income Clearing Corporation, which serves as the clearing house for trading in U.S. What is a repo (or repurchase agreement)?Ī repo is generally a form of short-term secured loan that involves the sale of a security and the subsequent repurchase, typically on the same day, of the same security. You can view par value by day, week, month or year. In addition to the rates, the charts also show the par value, that is, the total nominal value of GCF Repos submitted each day for clearing to Fixed Income Clearing Corporation. You can chart rates for the previous day, week, month or the previous 12 months.ĭo the charts show the value of the repo transactions? ĭo the charts show the rates for more than just the previous day? Par weighted rate = SUM (for each overnight trade: Dollar amount*GC rate/SUM (for each overnight trade: Dollar amount). The volume is reflective of the repo and reverse transactions that are dealer executed and does not include the inter-dealer broker portion of the transactions.įor each of the CUSIPs a weighted average rate is calculated on a daily basis using the following formula:
GEEKTYPER REPO INDEX PLUS
Securities not in the computation of the index include term trades (transactions where settlement date equals trade date plus two business days or greater) and forward start repos. The securities in the computation of the index include only overnight transactions that are completed on a daily basis for each of the two CUSIPs.
GEEKTYPER REPO INDEX MAC
Treasury < 30-year maturity (371487AE9) and (2) Fannie Mae and Freddie Mac Fixed Rate MBS (371487A元). The DTCC GCF Repo Index is composed of the following two most traded GCF Repo-eligible CUSIPs: (1) U. What is the composition of the DTCC GCF Repo Index? Trade Information Warehouse Trade Information Warehouse (Japanese)ĬA 20022 Service CA Web Service ETF Portfolio Data Service Legal Notice System Data Security Master File Data Liquidity Coverage Ratio ServiceĬDS Kinetics Equity Benchmark Kinetics Equity Kinetics Investor Kinetics FRTB Service Money Market Kinetics Treasury Kinetics GTR Europe GTR UK GTR Asia GTR North America
He said the Repo index from Govpx was developed "to meet the growing needs of global bond dealers and investors in the valuation and creation of new financial products such as futures, options, forwards, etc. "The trillion-dollar-a-day repo market is the primary short-term funding mechanism for the nation's banks and financial institutions - yet until now there were no benchmarks of these rates," said Lawrence Leuzzi, chairman and chief executive of Govpx. Treasury bond portfolios -the seller agrees to buy back securities at an agreed-upon price, interest rate and date. Repurchase agreements are increasingly used by banks, mainly as a short- term hedge against their U.S.
Treasury repurchase agreements, a derivative instrument based on the benchmark U.S. New York City-based Govpx, which is owned by 42 government securities dealers and four interdealer brokers, has launched the Repo index, a comprehensive source of rates and trading volume for the market in U.S.