NYSE Liffe US is to launch a new futures contract which will track the highly liquid General Collateral Finance (GCF) repo market.
The move was enabled by the exchange securing an exclusive index license agreement on the DTCC GCF Repo Index.
Annual turnover for the repo markets is approximately USD1.6tn, USD400bn of which is on the GFC repo market.
Currently the only existing exchange traded repo products listed by FOWi are carried by the Bourse de Montreal and Tokyo Financial Exchange which offer short-term interest rate futures based on underlying repo rates. Thomas Callahan, head of NYSE Liffe US, said:...