DTCC: Treasury Kinetics

Elevate your repo market modeling, portfolio valuation, and analysis with data on trades, volumes, and rates.

Description:

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 Treasury Kinetics service provides users across the dealer, hedge fund, and asset manager communities additional transparency into the Delivery vs. Payment (DVP) repo market.

Views Included:
TK_MP.V_TK_EOD_HIST
TK_MP.V_TK_EOD_HIST_EMB

Fields Included:
BUSINESS_DATE
START_DATE
END_DATE
PRODUCT_TYPE
CUSIP
SECURITY_DESCRIPTION
TRADE_TERM
TRADE_DURATION
ISSUE_DURATION_YEARS
ISSUE_DURATION_DAYS
ISSUE_DAYS_TO_MATURITY
ISSUE_DATE
MATURITY_DATE
RUN
NUMBER_OF_TRADES
TOTAL_VOLUME
TOTAL_AMOUNT
VOLUME_WEIGHTED_AVERAGE_RATE
CONCENTRATION
*Dataset includes additional fields by time buckets.

About the Provider:

With over 45 years of experience, DTCC is the premier post-trade market infrastructure for the global financial services industry. From 21 locations around the world, DTCC, through its subsidiaries, automates, centralizes and standardizes the processing of financial transactions, mitigating risk, increasing transparency and driving efficiency for thousands of broker/dealers, custodian banks and asset managers. Industry owned and governed, the firm simplifies the complexities of clearing, settlement, asset servicing, data management, data reporting and information services across asset classes, bringing increased security and soundness to financial markets.

Visit the provider’s website for more

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