NYSE Liffe U.S., the innovative U.S. futures exchange of NYSE Euronext (NYX) today announced that it will begin trading futures based on the Depository Trust and Clearing Corporation’s proprietary DTCC GCF Repo IndexTM on July 16, 2012, subject to regulatory approval. Designed to track the $400 billion GCF Repo®market, futures on DTCC GCF Repo IndexTM products are licensed to trade exclusively on NYSE Liffe U.S. and will clear at NYPC. Calculated using actual, fully-collateralized transactions in the underlying cash Treasury, Agency and Agency Mortgage-Backed markets, the DTCC GCF Repo Index™ follows the average interest rate paid each day for the most actively traded U.S. repo market.
About DTCC GCF Repo IndexTM Futures“In our ongoing effort to deliver efficiency to the U.S. futures market, NYSE Liffe U.S. is proud to launch futures on the DTCC GCF Repo Index™,” said Tom Callahan, CEO, NYSE Liffe U.S. “GCF Repo Futures offer the industry a new and more reliable short-term interest rate benchmark for market participants to precisely hedge critical business risks. Based on an index of actual, fully collateralized and centrally cleared financing transactions, we expect these products to quickly become a fundamental tool for the management of short term interest rate risk.”
The DTCC GCF Repo IndexTM is the financial services industry’s first index to list average daily interest rates for General Collateral Finance repurchase agreements or the multi-billion-dollar GCF Repo® market, which clears at DTCC’s Fixed Income Clearing Corporation (FICC). Futures on the DTCC GCF Repo IndexTM will enable traders to more effectively manage interest rate exposure via a new short-term benchmark tied to actual, collateralized repo transactions. Traded on NYSE Liffe U.S., these products will clear at NYPC, and therefore benefit from the features offered by this innovative ‘one pot‘ clearing mechanism that combines the capital efficiencies achieved by calculating margin requirements based on the total risk within a portfolio of both FICC-cleared repos and futures. Trading on the LIFFE CONNECT® platform, these futures will be listed alongside the highly liquid NYSE Liffe U.S. Eurodollar and US Treasury Futures.