DTCC Connection

Jul 01, 2011 • DTCC Connection

GCF Repo Index Data via Bloomberg

by James Conmy


Data from DTCC’s daily GCF Repo Index® is now being carried on the Bloomberg Terminal system, which provides data services and news to financial organizations throughout the world.


The GCF Repo Index lists the average interest rate paid each day for the mosttraded 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 repurchase, or repo, transactions each day.


“We’re very pleased to have Bloomberg display GCF Repo Index data,” said Murray Pozmanter, DTCC managing director and general manager, Clearing Services. “The repo index provides valuable information for traders and others in the financial markets, and having it available via Bloomberg gives the index a wider distribution network and provides greater transparency to the marketplace.”


How the data is used

Dealers and investors typically rely on General Collateral Finance (GCF) Repo rates to manage their portfolios each day and calculate the value of the securities they hold in inventory. The GCF Repo Index also enables institutional investors and corporations to estimate their shortterm funding costs more accurately. Trading in GCF repos averaged about $793 billion a day in 2010.


The GCF Repo Index can be found on its own Bloomberg page by entering GCFR into the terminal. Published daily, the index includes downloadable data going back a year as well as analytical tools that allow the construction of trend lines and comparison of the different asset types.


The index is also available on DTCC’s website at www.dtcc.com.@


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