STOXX and Eurex Repo extend GC Pooling Index family to cover entire money market yield curve
STOXX Limited has expanded the STOXX GC Pooling Index family by adding 14 new indices to cover the full money market yield curve up to twelve months.
An additional funding rate has also been introduced that measures secured interbank funding rates and volumes in the euro zone at the short end of the money market curve.
The STOXX GC Pooling Indices provide a representation of the secured euro funding transactions taking place on the Eurex Repo GC Pooling Market, and are designed to provide transparent, rules-based alternatives to unsecured interbank benchmarks such as LIBOR and EURIBOR/EONIA.
Furthermore, the STOXX GC Pooling EUR Deposit and STOXX GC Pooling EUR Investable Deposit indices are being launched today. The new indices measure the total return of a hypothetical rolling deposit with an interest rate corresponding to the STOXX GC Pooling EUR Funding Rate. These indices are specifically designed to underlie exchange-traded products.
“As we are still seeing a growing demand for transparent, rule-based and reliable benchmarks for the interbank market from market participants and regulators globally, we are happy to introduce the second wave of our STOXX GC Pooling Indices,” says Hartmut Graf, chief executive officer STOXX Limited. “With the addition of the 14 new indices to the family, we now cover the full money market yield curve, and offer market participants a wide variety of yield terms to choose from.”
“Liquidity has further increased in the course of 2013 across all terms and maturities in our secured, transparent and centrally cleared GC Pooling Market. The new indices together with the previously launched ones are a reliable and independent alternative to existing interbanking benchmarks,” says Marcel Naas, managing director of Eurex Repo.
The Eurex Repo GC Pooling Market is the basis for the new indices, ie STOXX uses effective market data comprising daily trades and binding quotes on the GC Pooling Market. The newly added indices are based on the GC Pooling ECB basket and will be calculated on the following standard terms: spot - one week, - two weeks, - one month, - three months, - six months, - nine months and - twelve months. For each standard term as named above, two respective indices are published: a volume weighted average rate and the total volume.
For the purpose of enhancing the short term market overview, a new funding rate has been introduced: the STOXX GC Pooling EUR Deferred Funding Rate (STOXX GC Pooling EUR Deferred Funding Rate Volume), comparable to unsecured interbank lending benchmarks such as EONIA. While the existing STOXX GC Pooling EUR Funding Rate / Volume combine transactions with a common trade date, the newly launched funding rates combine those with a common settlement date, both reflecting the volumes and rates of the short end of the money market curve.
With the expansion of the STOXX GC Pooling Index family, calculation will also be extended from end of day to twice per day at 1pm CET and 6pm CET. A “current” version for all indices has also been also introduced. It indicates trading progress during the day and reflects the current market level, by showing intraday the latest trade or binding quote for the respective term.
The following new indices have been added to the index family today:
- STOXX GC Pooling EUR 1 Week Index
- STOXX GC Pooling EUR 1 Week Index Volume
- STOXX GC Pooling EUR 2 Weeks Index
- STOXX GC Pooling EUR 2 Weeks Index Volume
- STOXX GC Pooling EUR 1 Month Index
- STOXX GC Pooling EUR 1 Month Index Volume
- STOXX GC Pooling EUR 3 Months Index
- STOXX GC Pooling EUR 3 Months Index Volume
- STOXX GC Pooling EUR 6 Months Index
- STOXX GC Pooling EUR 6 Months Index Volume
- STOXX GC Pooling EUR 9 Months Index
- STOXX GC Pooling EUR 9 Months Index Volume
- STOXX GC Pooling EUR 12 Months Index
- STOXX GC Pooling EUR 12 Months Index Volume
- STOXX GC Pooling EUR Deposit Index
- STOXX GC Pooling EUR Investable Deposit Index
- STOXX GC Pooling Deferred Funding Rate
- STOXX GC Pooling Deferred Funding Rate Volume
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