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BrokerTec 10 am Repo average

The BrokerTec 10AM Repo Average reports consist of a list of US Treasury and Federal Agency securities where a weighted average has been calculated based on completed repo trades from the time the US repo market opens at 7:00 AM until 10:00 AM NY time.

The VWAP is based on individual securities (CUSIPS) with a trade date equal to today and contains both overnight and term transactions for each CUSIP. The reports are broken down into two categories, Specials and GC/GCF. Each report is distributed separately via email (Excel or PDF) or over SFTP. The reports are distributed to repo traders and middle office personnel upon request and approval by internal and external management. It is a common practice for inter-dealer brokers of US repo to provide their version of 10AM averages to member firms. Repo brokers distribute a list of transactions that are specific to trades on their systems as described above. The averages are used by traders to price repo transactions between different trading areas within a firm as well as with customers of dealer desks.

 

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