New York, December 13, 2012 –The Depository Trust & Clearing Corporation (DTCC) announced today that it has released historical data on the DTCC GCF Repo Index®. The data, which covers the time period between January 2005 and November 2012, is now available online at www.dtcc.com/products/fi/gcfindex/GCF_Index_Graph_12-12-2012_V_0_3.xlsx.
The DTCC GCF Repo Index is the only index that tracks the average daily interest rate paid for the most-traded general collateral finance repurchase agreement (GCF Repo®) contracts for U.S. Treasury, federal agency and mortgage-backed securities issued by Fannie Mae and Freddie Mac. GCF Repos clear at the Government Securities Division (GSD) of DTCC’s Fixed Income Clearing Corporation (FICC).
The index’s rates are par-weighted averages of daily activity in the $400 billion overnight GCF Repo market and reflect actual daily funding costs experienced by banks and investors, per underlying asset class. The index also serves as a reference rate by which certain derivatives, such as U.S. Treasury futures and credit default swaps (CDS), are traded.
The DTCC GCF Repo Index differs from existing benchmarks in that it is not based on subjective rate estimates, and instead, reflects actual, fully collateralized and centrally cleared repo transactions. This key difference guards against manipulation of the index thus providing the market with greater transparency and better risk mitigation.
The index, first published in November, 2010, was developed in response to concerns of the Treasury Markets Practice Group, sponsored by the Federal Reserve Bank of New York, regarding the need for enhanced transparency in the Treasury, agency debt and mortgage-backed securities markets.
For more information on the DTCC GCF Repo Index, please visit https://www.dtcc.com/products/fi/gcfindex/.
Through multiple operating facilities and data centers around the world, DTCC and its subsidiary companies automate, centralize, and standardize the processing of financial transactions for thousands of institutions worldwide. With 40 years of experience, DTCC is the premier post-trade market infrastructure for the global financial services industry, simplifying the complexities of clearance, settlement, asset servicing, global data management and information services for equities, corporate and municipal bonds, government and mortgage-backed securities, derivatives, money market instruments, syndicated loans, mutual funds, alternative investment products, and insurance transactions. In 2011, DTCC’s subsidiaries processed securities transactions valued at approximately US$1.7 quadrillion. Its depository provides custody and asset servicing for securities issues from 122 countries and territories valued at US$39.5 trillion. DTCC’s global OTC derivatives trade repositories record more than US$500 trillion in gross notional value of transactions made worldwide across multiple asset classes.
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