BrokerTec and MTS release RepoFunds Rate
17 December 2012 London
Image: Shutterstock
A fixed income trading platform and an electronic trading venue have teamed up to launch the RepoFunds Rate daily repo index for eurozone sovereign bonds.
ICAP’s global fixed income trading platform, BrokerTec, and the London Stock Exchange’s European fixed income electronic trading venue, MTS, are behind the index that reflects the effective cost of secured funding in key eurozone countries.
Repo businesses and dealers from major financial institutions were consulted on its development. The index will initially cover Germany, France and Italy.
RepoFunds Rate is based on centrally cleared, electronically executed one-business day repo transactions rather than indicative quotes.
These are based on a common settlement date and will include all Overnight, Tom-Next and Spot-Next trades in both general collateral and filtered specifics to accurately reflect the effective cost of repo funding for trades that are executed on BrokerTec and MTS.
All index data will be sourced from the BrokerTec and MTS electronic trading platforms, which together account for more than €250 billion of eurozone sovereign bond repos each day.
Data will be distributed broadly via third parties, including Reuters (REPOFUNDS) and Bloomberg (REPF), as well as through email and FTP sources.
The new indices will be published at the end of each business day. RepoFunds Rate data, including historical analysis, is publicly available at www.repofundsrate.com.
Bassma Elamir Riley, head of government bond repo at Deutsche Bank in London, said that RepoFunds Rate brings much needed transparency to the market and will provide traders with a more efficient repo hedging tool, “while simultaneously recognising the increasing role of collateral pricing in the OTC world."
Romain Dumas, managing director of EMEA short-term government products at Credit Suisse, added: "RepoFunds Rate should accurately reflect the cost of funding for the various types of collateral being used. As each trade will be centrally cleared, the counterparty dimension is removed to leave a purer measure of the secured interest rate, as essentially driven by the underlying collateral.”
"At a time when uncertainty is a defining element of the Eurozone sovereign bond world RepoFunds Rate delivers the high levels of transparency participants need to restore confidence in benchmarking and managing products referenced to the indices,” said Oliver Clark, money market product manager at MTS.
“These indices are built on significant volumes of real trade data executed by a diverse range of pan-European counterparties on electronic platforms and cleared—not traded bilaterally—and therefore are solid, reliable and robust. The fast time to market for the indices, from inception to launch, is testament to what can be achieved when the industry works together."
ICAP’s global fixed income trading platform, BrokerTec, and the London Stock Exchange’s European fixed income electronic trading venue, MTS, are behind the index that reflects the effective cost of secured funding in key eurozone countries.
Repo businesses and dealers from major financial institutions were consulted on its development. The index will initially cover Germany, France and Italy.
RepoFunds Rate is based on centrally cleared, electronically executed one-business day repo transactions rather than indicative quotes.
These are based on a common settlement date and will include all Overnight, Tom-Next and Spot-Next trades in both general collateral and filtered specifics to accurately reflect the effective cost of repo funding for trades that are executed on BrokerTec and MTS.
All index data will be sourced from the BrokerTec and MTS electronic trading platforms, which together account for more than €250 billion of eurozone sovereign bond repos each day.
Data will be distributed broadly via third parties, including Reuters (REPOFUNDS) and Bloomberg (REPF), as well as through email and FTP sources.
The new indices will be published at the end of each business day. RepoFunds Rate data, including historical analysis, is publicly available at www.repofundsrate.com.
Bassma Elamir Riley, head of government bond repo at Deutsche Bank in London, said that RepoFunds Rate brings much needed transparency to the market and will provide traders with a more efficient repo hedging tool, “while simultaneously recognising the increasing role of collateral pricing in the OTC world."
Romain Dumas, managing director of EMEA short-term government products at Credit Suisse, added: "RepoFunds Rate should accurately reflect the cost of funding for the various types of collateral being used. As each trade will be centrally cleared, the counterparty dimension is removed to leave a purer measure of the secured interest rate, as essentially driven by the underlying collateral.”
"At a time when uncertainty is a defining element of the Eurozone sovereign bond world RepoFunds Rate delivers the high levels of transparency participants need to restore confidence in benchmarking and managing products referenced to the indices,” said Oliver Clark, money market product manager at MTS.
“These indices are built on significant volumes of real trade data executed by a diverse range of pan-European counterparties on electronic platforms and cleared—not traded bilaterally—and therefore are solid, reliable and robust. The fast time to market for the indices, from inception to launch, is testament to what can be achieved when the industry works together."
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