Treasury Kinetics

DTCC Treasury Kinetics will enhance the transparency of the U.S. Treasury repurchase agreement (repo) market by delivering a daily summary of aggregated and anonymized repo trade activity.

• About

  DTCC Treasury Kinetics enhances the transparency of the U.S. Treasury repurchase agreement (repo) market by delivering a daily summary of aggregated and anonymized repo trade activity. Sourced from DTCC’s Fixed Income Clearing Corporation’s (FICC’s) Government Securities Division (GSD) platform, the DTCC Treasury Kinetics service provides users across the dealer, hedge fund, and asset manager communities additional transparency into the Delivery vs. Payment (DVP) repo market.

• Benefits

  Features	Benefits
  Enhanced Market Insight	Improve your understanding of repo market activity with comprehensive data on FICC-cleared U.S. repos. Strengthen your investment strategy with greater transparency into repo rates. FICC holds the largest dollar volume of U.S. Government securities trades processed through FICC. Today, on average, FICC matches, nets, settles and risk manages repo transactions valued at more than $3 trillion a day.
  Unprecedented Market Transparency	Elevate your repo market modeling, portfolio valuation and analysis using daily details on number of trades, volumes, dollar amounts and rates.
  Deep Historical Perspective	Back-test current repo data against historical events using service’s historical data dating back to 2011.

• How It Works

  

  • The output is produced daily showing aggregated transactions data from the prior business day.
  • The service anonymizes and aggregates the data by CUSIP and trade tenor.

• Delivery

  • DTCC Treasury Kinetics is delivered via SFTP in a CSV format.
  • Data is expected to be delivered to clients Tuesday through Saturday before 7 a.m. ET.
  • Treasury Kinetics is also available on the Snowflake Data Marketplace.*
    * Available in AWS-US-East-1 (N. Virginia) and AWS-US-West-2 (Oregon) regions.