The Wall Street Journal began publishing DTCC GCF Repo Index® data in print and online in January 2013. The data appears daily in the “Money Rates” tables in the Money & Investing section.
“DTCC created the DTCC GCF Repo Index to improve transparency and liquidity in the U.S. funding markets,” said Murray Pozmanter, DTCC Managing Director and General Manager, Clearing Services. “Having the data broadly disseminated through the Wall Street Journal helps us further accomplish this goal.”
Launched in 2010, 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.
Based on actual transactions processed by DTCC subsidiary, Fixed Income Clearing Corporation (FICC), the DTCC GCF Repo Index is a more accurate reflection of funding costs than Libor and other benchmarks that are based on estimated costs. This key difference guards against manipulation of the index and provides greater transparency and better risk mitigation. The creation of the index is another way in which DTCC is advancing safety and security in the global financial markets.
The DTCC GCF Repo Index has also gained a significant foothold in the market as a reference rate by which derivatives, such as U.S. Treasury futures and credit default swaps, are traded. NYSE Liffe U.S. launched futures contracts based on the DTCC GCF Repo Index in July 2012. Prices for the futures are also available in the Wall Street Journal’s daily “Money Rates” table.
To view the daily Money Rates table with the DTCC GCF Repo Index data, visit wsj.com.