The DTCC has begun publishing the financial service industrys first index to list average daily interest rates for the multi-billion-dollar daily market in General Collateral Finance (GCF) repos.
The new DTCC GCF Repo Index lists the average interest rate paid each day for the most-traded general collateral repos involving US Treasury securities, federal agency securities and mortgage-backed securities issued by Fannie Mae and the Federal Home Loan Mortgage Corporation. The index also records the total par value of these repo transactions each day.
Trading in GCF repos averaged more than $690 billion a day in 2009.
“Leveraging our data to make these repo rates public will bring some much-needed transparency to this large and crucial market,” says Murray Pozmanter, managing director of Fixed Income Clearing and Settlement at DTCC. “It’s one of a number of initiatives we’re taking at DTCC to meet the needs of our customers for ways to manage risk, and to meet the needs of regulators for more accurate and timely information to supervise markets.”
Daily publication of the GCF Repo rates will help dealers and investors to manage their portfolios and calculate the value of the securities they hold in inventory, DTCC says.