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DTCC Begins Publishing Daily Index of General Collateral Repo Rates

New York - November 1, 2010 The Depository Trust & Clearing Corporation (DTCC) announced today that it has begun publishing the financial service industry’s first index to list average daily interest rates for the multi-billion-dollar daily market in General Collateral Finance (GCF) repurchase agreements (repos).

The new DTCC GCF Repo Index^TM lists the average interest rate paid each day for the most-traded general collateral repos involving U.S. Treasury securities, federal agency securities and mortgage-backed securities issued by Fannie Mae and the Federal Home Loan Mortgage Corporation. The index also records the total par value of these repo transactions each day.

Repos are typically a form of short-term secured loan that involves the sale of a security and the subsequent repurchase of the same security. Trading in GCF repos averaged more than $690 billion a day in 2009.

“Leveraging our data to make these repo rates public will bring some much-needed transparency to this large and crucial market,” said Murray Pozmanter, DTCC managing director, Fixed Income Clearing and Settlement. “It’s one of a number of initiatives we’re taking at DTCC to meet the needs of our customers for ways to manage risk, and to meet the needs of regulators for more accurate and timely information to supervise markets.”

Daily publication of the GCF Repo rates will help dealers and investors to manage their portfolios and calculate the value of the securities they hold in inventory. The new index will also enable institutional investors and corporations to estimate their short-term funding costs more accurately. In addition, having the interest rate data publicly available each day will create greater transparency and help regulators conduct risk management oversight in the large and dynamic General Collateral repo market.

The index will be published daily on DTCC’s public website (www.dtcc.com) and includes data going back a year as well as analytical tools that allow the construction of trend lines and comparison of the different asset types.

Pozmanter noted that DTCC had worked with the Treasury Markets Practice Group (TMPG), which is sponsored by the Federal Reserve Bank of New York, in developing the new index to expand transparency and risk management protection. The TMPG is made up of senior business managers and legal and compliance professionals from a variety of institutions, including securities dealers, banks, buy-side firms, market utilities and others.

"The publication of this index by DTCC is a major step on the critical path of enhanced transparency in the secured funding markets,” said Tom Wipf, the head of the TMPG and a managing director at Morgan Stanley. “This collaboration demonstrates the shared commitment of TMPG and DTCC in support of the integrity and efficiency of the Treasury, agency debt and mortgage-backed securities markets.”

DTCC’s Fixed Income Clearing Corporation introduced GCF repo processing more than a decade ago so that dealers can trade general collateral repos—based on rate, term, and the underlying product—throughout the day without requiring intra-day, trade-for-trade settlement. Unlike standard repos, which require individual trade-for-trade settlement on a delivery-versus payment basis, GCF repo transactions are netted each day and settled as part of the clearing process for all government securities trades.

Publication of the GCF repo rates is the latest in a series of steps DTCC has taken to bring greater transparency to global financial markets. Working with the New York Fed, DTCC began last year to publish the volume of failures-to-deliver for trading in the U.S. Treasury markets. Through its Trade Information Warehouse in New York and its Derivatives Repository in London, DTCC also publishes data each week critical to the global OTC credit default swap market and to market regulators around the world.

About DTCC
DTCC, through its subsidiaries, provides clearance, settlement and information services for equities, corporate and municipal bonds, government and mortgage-backed securities, money market instruments and over-the-counter derivatives. In addition, DTCC is a leading processor of mutual funds and insurance transactions, linking funds and carriers with their distribution networks. DTCC's depository provides custody and asset servicing for more than 3.6 million securities issues from the United States and 121 other countries and territories, valued at US$33.9 trillion. In 2009, DTCC settled nearly US$1.48 quadrillion in securities transactions. DTCC has operating facilities and data centers in multiple locations in the United States and overseas. For more information, visit www.dtcc.com.