Treasury Kinetics

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.

搜集汇总

背景与挑战

背景概述

Treasury Kinetics数据集通过汇总和匿名化美国国债回购市场的每日交易活动，增强了该市场的透明度。数据来源于DTCC的FICC GSD平台，为交易商、对冲基金和资产管理公司提供交付与支付回购市场的额外洞察，包含多个视图和字段，如业务日期、产品类型和交易量等。