The Depository Trust & Clearing Corporation (DTCC) announced today that it has released historical data on the DTCC GCF Repo Index®. The data, which covers the time period between January 2005 and November 2012, is now available online at www.dtcc.com/products/fi/gcfindex/GCF_Index_Graph_12-12-2012_V_0_3.xlsx.
The DTCC GCF Repo Index is the only index that tracks the average daily interest rate paid for the most-traded general collateral finance repurchase agreement (GCF Repo®) contracts for U.S. Treasury, federal agency and mortgage-backed securities issued by Fannie Mae and Freddie Mac. GCF Repos clear at the Government Securities Division (GSD) of DTCC’s Fixed Income Clearing Corporation (FICC).
The index’s rates are par-weighted averages of daily activity in the $400 billion overnight GCF Repo market and reflect actual daily funding costs experienced by banks and investors, per underlying asset class. The index also serves as a reference rate by which certain derivatives, such as U.S. Treasury futures and credit default swaps (CDS), are traded.
The DTCC GCF Repo Index differs from existing benchmarks in that it is not based on subjective rate estimates, and instead, reflects actual, fully collateralized and centrally cleared repo transactions. This key difference guards against manipulation of the index thus providing the market with greater transparency and better risk mitigation.
The index, first published in November, 2010, was developed in response to concerns of the Treasury Markets Practice Group, sponsored by the Federal Reserve Bank of New York, regarding the need for enhanced transparency in the Treasury, agency debt and mortgage-backed securities markets.
For more information on the DTCC GCF Repo Index, please visit https://www.dtcc.com/products/fi/gcfindex/.
