a service offering of DTCC Solutions LLC
Can I download the data in these charts?
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.
The DTCC GCF Repo Index is the first – and only – index that tracks the average daily interest rate paid on overnight transactions in the $400 billion daily market for general collateral finance repurchase (GCF Repos®) agreements in U.S. Treasury, federal agency and mortgage-backed securities issued by Fannie Mae and Freddie Mac.Read More