A service offering of 存的解决方案 LLC
The 存 GCF回购指数 is the only index that 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 the Government Securities Division (GSD) of the Fixed Income 清算 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, 每项标的资产类别.
查看存 GCF回购指数数据.S. Treasury and MBS on Wall Street Journal’s daily “Money Rates” table
存 GCF回购指数 data is provided under limited license, and your use of such data signifies your agreement to the 使用条款.
常见问题
What is the composition of the 存 GCF回购指数?
The 存 GCF回购指数 is composed of the following two most traded GCF Repo-eligible CUSIPs: (1) U. S. Treasury < 30-year maturity (371487AE9); and (2) Fannie Mae and Freddie Mac Fixed Rate MBS (371487AL3). The securities in the computation of the index include only overnight transactions that are completed on a daily basis for each of the two CUSIPs.
Securities not in the computation of the index include term trades (transactions w在这里 settlement date equals trade date plus two business days or greater) and forward start repos.
The volume is reflective of the repo and reverse transactions that are dealer executed and does not include the inter-dealer broker portion of the transactions.
For each of the CUSIPs a weighted average rate is calculated on a daily basis using the following formula:
Par weighted rate = SUM (for each overnight trade: Dollar amount*GC rate/SUM (for each overnight trade: Dollar amount) .
Do the charts show the rates for more than just the previous day?
是的. You can chart rates for the previous day, week, month or the previous 12 months.
Do the charts show the value of the repo transactions?
除了费率, 图表还显示了票面价值, 这是, the total nominal value of GCF Repos submitted each day for clearing to Fixed Income 清算 Corporation. You can view par value by day, week, month or year.
What is a repo (or repurchase agreement)?
A repo is generally a form of short-term secured loan that involves the sale of a security and the subsequent repurchase, 通常在同一天, 同样的安全.
What's a GCF (General Collateral Finance) Repo?
存's Fixed Income 清算 Corporation developed the GCF Repo so that dealers could trade general collateral repos, 按费率计算, term and underlying product throughout the day without requiring intra-day, trade-for-trade settlement on a delivery-versus-payment basis.
数据源是什么?
存's Fixed Income 清算 Corporation, which serves as the clearing house for trading in U.S. 政府证券.
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