DTCC GCF Repo Index®

a service offering of DTCC Solutions LLC

The DTCC GCF Repo Index is the only index that tracks the average daily interest rate paid for the most-traded GCF Repo contracts for U.S. Treasury, federal agency and mortgage-backed securities issued by Fannie Mae and Freddie Mac. These are instruments that clear at the Government Securities Division (GSD) of the Fixed Income Clearing Corporation (FICC). The index’s rates are par-weighted averages of daily activity in the GCF Repo market and reflect actual daily funding costs experienced by banks and investors, per underlying asset class.

Click here to view DTCC GCF Repo Index data for U.S. Treasury and MBS on Wall Street Journal’s daily “Money Rates” table

 

DTCC GCF Repo Index data is provided under limited license, and your use of such data signifies your agreement to the Terms of Use.

Indices:

52 WEEK PAR VALUE
SECURITY LATEST 1 WEEK HIGH LOW (BILLIONS USD)

AGENCY          
MBS          
TREASURY          

Weighted Average Rate
Total PAR Value (in billions USD)

Can I download the data in these charts?
Yes, the data in these charts, which display data going back one year from the most recent date, can be downloaded. By downloading the data you agree to DTCC’s terms and conditions on this webpage and in the Terms of Use. To download the data, click here: here

Historical index data could be found here: Historical Index Data 2005 - 2013

What is the composition of the DTCC GCF Repo Index?
The DTCC GCF Repo Index is composed of the following three most traded GCF Repo-eligible CUSIPs: (1) U. S. Treasury < 30-year maturity (371487AE9); (2) Non-Mortgage Backed U. S. Agency Securities (371487AH2); and (3) Fannie Mae and Freddie Mac Fixed Rate MBS (371487AL3). The securities in the computation of the index include only overnight transactions that are completed on a daily basis for each of the three CUSIPs.

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 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.

For each of the CUSIPs a weighted average rate is calculated on a daily basis using the following formula:
Par weighted rate = SUM (for each overnight trade: Dollar amount*GC rate/SUM (for each overnight trade: Dollar amount) .

Do the charts show the rates for more than just the previous day?
Yes. You can chart rates for the previous day, week, month or the previous 12 months.

Do the charts show the value of the repo transactions?
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 view par value by day, week, month or year.

What is a repo (or repurchase agreement)?
A 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.

What's a GCF (General Collateral Finance) Repo?
DTCC'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.

What's the data source?
DTCC's Fixed Income Clearing Corporation, which serves as the clearing house for trading in U.S. government securities.


BY 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. The DTCC GCF Repo Index® and related data provided on this webpage are for personal use only, and except for the limited license expressly granted by DTCC Solutions LLC in the Terms of Use or with the written permission of DTCC, you may not publish, republish, redistribute, broadcast or retransmit the DTCC GCF Repo Index data, compile the data into a database or information service, create any analysis or derivative of the data for commercial distribution, use the data to compete with the business of DTCC or its affiliates, or use the data in the calculation of an index or as the basis of any financial instrument or investment product that is based on or seeks to match the performance of the values included in the data, and you may not authorize any other person to engage in any of these activities with respect to the data. The unauthorized use, reproduction or distribution of DTCC GCF Repo Index data is prohibited. DTCC’s liability regarding use of the DTCC GCF Repo Index is limited as provided in the Terms of Use. You acknowledge and agree that the DTCC GCF Repo Index data has been developed, compiled, prepared, coordinated, selected and arranged by DTCC and that such efforts involve the expenditure of substantial time, effort, judgment and money, and thus that the DTCC GCF Repo Index constitutes valuable intellectual property of DTCC.