New European repo index hits the market
29 August 2014 London
Image: Shutterstock
ICAP Information Services and MTS are expanding the RepoFunds Rate indices to include RepoFunds Rate (RFR) Euro, a daily repo index for eurozone sovereign bonds.
RFR Euro is derived from eligible repo transactions that involve sovereign bonds of eurozone countries as collateral. The index is based on centrally cleared, electronically executed one-business day repo transactions executed on BrokerTec, ICAP’s global electronic fixed income trading platform, and MTS.
Typically, the traded volume of eligible repo transactions across the two trading platforms is €230 billion per day.
Robert Walton, director of index services at ICAP Information Services, said: "RFR Euro is an important addition to the RepoFunds Rate index family. By providing a broader measure of the cost of financing sovereign bonds from issuers in the eurozone, it complements the existing country-specific RepoFunds Rate indices."
Oliver Clark, head of money market and derivatives product at MTS, said: “Where the three country specific RepoFunds Rate indices provide robust and relevant references for each of these separate sovereign bond markets, the new RFR Euro index gives euro cash investors, treasurers, bond traders and bond investors a benchmark for the whole eurozone, backed by over $200 billion in cleared transactions collateralised with sovereign bonds.”
The RepoFunds Rate series of daily euro repo indices were launched in 2012 to measure the cost of funding sovereign. The current indices cover Germany, France and Italy.
RFR Euro is derived from eligible repo transactions that involve sovereign bonds of eurozone countries as collateral. The index is based on centrally cleared, electronically executed one-business day repo transactions executed on BrokerTec, ICAP’s global electronic fixed income trading platform, and MTS.
Typically, the traded volume of eligible repo transactions across the two trading platforms is €230 billion per day.
Robert Walton, director of index services at ICAP Information Services, said: "RFR Euro is an important addition to the RepoFunds Rate index family. By providing a broader measure of the cost of financing sovereign bonds from issuers in the eurozone, it complements the existing country-specific RepoFunds Rate indices."
Oliver Clark, head of money market and derivatives product at MTS, said: “Where the three country specific RepoFunds Rate indices provide robust and relevant references for each of these separate sovereign bond markets, the new RFR Euro index gives euro cash investors, treasurers, bond traders and bond investors a benchmark for the whole eurozone, backed by over $200 billion in cleared transactions collateralised with sovereign bonds.”
The RepoFunds Rate series of daily euro repo indices were launched in 2012 to measure the cost of funding sovereign. The current indices cover Germany, France and Italy.
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