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 GCF Repos®. The index was developed in response to concerns of the Treasury Market Practices 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.
DTCC GCF Repo Index tracks the average daily interest rate paid for the most-traded GCF Repo contracts for U.S. Treasury and mortgage-backed securities issued by Fannie Mae and Freddie Mac. These are instruments that clear at FICC GSD. 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 GCF Repo Transactions. The weighted average is calculated on a daily basis using the following formula:
|
Example | |||
|---|---|---|---|
|
|
Trade Amount |
Rate |
Sum |
|
|
3,000,000 |
0.03 |
90,000 |
|
|
2,000,000 |
0.05 |
100,000 |
|
|
2,000,000 |
0.04 |
80,000 |
|
Sum |
7,000,000 |
270,000 |
|
|
Formula: 270,000/$7,000,000 = .0386 weighted average rate |
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The volume is reflective of the repo and reverse repo side of the GCF Repo Transactions that are executed by GCF Counterparties and excludes the GCF-Authorized Inter-Dealer Broker sides of those transactions. Also excluded from the index, are term trades (GCF Repo Transactions where the settlement date equals trade date plus two business days or greater) and forward starting GCF Repo Transactions. Currently the index is based on two types of U.S. government securities and are represented by the following GCF Repo Generic CUSIP Numbers.
- U.S. Treasury < 30-year maturity (GCF CUSIP 371487AE9) and
- Fannie Mae & Freddie Mac Fixed Rate MBS (GCF CUSIP 371487AL3)
The Index postings are automated and include the following information for the above CUSIPs:
- Weighted average rate of GCF Repo transactions submitted each day for clearing to FICC's GSD, 52-week high, and low weighted average rates, 52-week high, and low weighted average rates,
- The previous month’s weighted average rate,
- The previous week’s weighted average rate, and
- Total par value (that is, the total nominal dollar value in US$ billions).
To learn more or to get up to date information on the current GCF Repo Index stats, click here.