In a move that brings some much needed transparency to the global repo market, the DTCC announced this week it would begin publishing a daily index of general collateral repo rates.
As the DTCC explained about its index:
“The publication of this index by DTCC is a major step on the critical path of enhanced transparency in the secured funding markets,” said Tom Wipf, the head of the Treasury Markets Practice Group (TMPG) and a managing director at Morgan Stanley. “This collaboration demonstrates the shared commitment of TMPG and DTCC in support of the integrity and efficiency of the Treasury, agency debt and mortgage-backed securities markets.”
DTCC’s Fixed Income Clearing Corporation introduced GCF repo processing more than a decade ago so that dealers can trade general collateral repos—based on rate, term, and the underlying product—throughout the day without requiring intra-day, trade-for-trade settlement. Unlike standard repos, which require individual trade-for-trade settlement on a delivery-versus payment basis, GCF repo transactions are netted each day and settled as part of the clearing process for all government securities trades.
This endeavor adds to the data already being provided by the DTCC in conjunction with the New York Fed from last year onwards on volume of failures-to-deliver in US Treasury markets.
The initial chart illustrating one-year’s worth of repo data , meanwhile, paints an interesting story aleady:
Unlikes the rates provided by other data distributors, the above represents a weighted average of all General Collateral Finance Repurchase Agreements in US government securities.
It’s therefore a much clearer indicator of overall repo financing costs.
This, meanwhile, is the initial par value of transactions chart:
Unfortunately, the data is restricted to the US market, which is a shame given that the European market is one of the areas most in need of transparency, largely due to its fragmented nature.
Related links:
Bunds are the new Treasuries, when they want to be – FT Alphaville
Euribor has been vaporised – FT Alphaville
Developments in repo markets during the financial turmoil – BIS
Frozen in the Greek repo markets – FT Alphaville
Repo-airing European banks – FT Alphaville