The Depository Trust & Clearing Corporation (DTCC) began publishing the DTCC GCF Repo Index® in November 2010 to help bring greater transparency to the U.S. financing markets by creating a benchmark that tracks general collateral finance repurchase agreements (GCF Repos®). The index 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.
The DTCC GCF Repo Index was based on an average daily funding of $331 billion (dealer to dealer overnight trades and excludes inter-dealer broker activity) in the GCF Repo funding market in 2013. The DTCC GCF Repo Index provides transparency to the market, helps the Fixed Income Clearing Corporation’s (FICC) members manage risk, and assists regulators in conducting risk management oversight in the large and dynamic GCF Repo market.
DTCC GCF Repo Index is the only index that tracks the average daily interest rate paid for the most-traded GCF Repo contracts for U.S. Treasury, federal agency and mortgage-backed securities issued by Fannie Mae and Freddie Mac. These are instruments that clear at the Government Securities Division (GSD) of the Fixed Income Clearing Corporation (FICC). The index’s rates are par-weighted averages of daily activity in the GCF Repo market and reflect actual daily funding costs experienced by banks and investors, per underlying asset class. The DTCC GCF Repo Index is comprised of the weighted average of the interest rates paid each day on overnight transactions involving GCF Repos, which are based on three basic types of U.S. government securities and are represented by the following “generic” CUSIP numbers:
• U.S. Treasury < 30 year maturity (371487AE9)
• Non Mortgage-Backed U. S. Agency Securities (371487AH2)*
• Fannie Mae & Freddie Mac Fixed Rate MBS (371487AL3)
The Index postings are automated and include the following information for each of the three CUSIPs:
• Weighted average rate of GCF Repo® transactions submitted each day for clearing to FICC's GSD,
• 52-week high and low weighted average rates,
• The previous week’s weighted average rate, and
• Total par value, that is, the total nominal dollar value in US$ billions.
To learn more or to get up to date information on the current GCF Repo Index stats, click here.
To learn more, check out the video on the GCF Repo Index Primer below.
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*Click pdf here to view the update on the Non Mortgage-Backed U. S. Agency Securities (371487AH2).