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by Jim Conmy

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GCF Repo Index

DTCC announced in December that, as part of its ongoing effort to bring greater transparency to the multi-billion-dollar market for General Collateral Finance (GCF) repurchase agreements (repos), it is now making the full data pack underlying its daily GCF Repo® Index downloadable to the public.

"We see this as an important opportunity to make the GCF Repo Index a more powerful resource to provide insight into the market and to allow for more efficient and effective charting of financing rate movements and trends," said Murray Pozmanter, DTCC managing director, Fixed Income Clearance and Settlement. "In addition, we believe making all the data underlying the index over the past year available for download will enhance the ability of market participants to analyze correlations between the rates on these instruments and other securities in other markets."

The DTCC GCF Repo IndexTM, which DTCC began publishing at the beginning of November, 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.

Free of charge

Both the index itself and the underlying data for the previous year are now available free of charge each day at DTCC's website,

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.

DTCC's Fixed Income Clearing Corporation introduced GCF Repo® processing more than a decade ago so that dealers could 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 U.S. government securities trades.

Calculating 'cost of carry'

"Publication of GCF Repo rates on a daily basis helps dealers and investors manage their portfolios and calculate the potential cost of carry of the securities they hold in inventory," Pozmanter said. "It also enables institutional investors and corporations to estimate their short-term funding costs more accurately. The industry quickly recognized the enormous benefits of this data in enhancing transparency and indicated that having it available in a downloadable format would allow firms to glean additional insights into and understanding of the GCF repo market."

After the publication of the index itself, some analysts speculated that the published rates, because they are an aggregate, could be used as the basis for futures contracts that broker/dealers might use to hedge or offset purchases in the cash markets.

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 in 2009 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. @