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A Primer on the DTCC GCF Repo Index

The DTCC GCF Repo Index reports the total par value of the GCF Repo transactions each day and serves as a reference rate by which certain derivatives, such as U.S. Treasury futures, are traded.

On July 16, futures contracts linked to the DTCC GCF Repo Index began trading on NYSE Liffe U.S., the U.S. futures exchange of NYSE Euronext. Volume across U.S. Treasury GCF Repo futures, MBS Repo futures and Agency GCF futures reached nearly 20,000 contracts, valued at approximately $100 billion, in the first week of trading.

This innovative product allows traders to hedge their interest rate exposure using the index as a benchmark that is linked to GCF Repos.

“We anticipate firms will also look to adopt the index as a benchmark reference for interest rate swap instruments, which will give traders another tool to hedge their short-term interest rate exposure,” explained Gary Chan, DTCC Managing Director, Clearing Services, Fixed Income Clearing Corporation.