BrokerTec, ICAP’s global electronic fixed income trading platform, and MTS, a fixed income electronic trading venue that is majority-owned by London Stock Exchange Group, have launched the RepoFunds Rate daily repo index for eurozone sovereign bonds.
RepoFunds Rate, the first index to reflect the effective cost of secured funding in key Eurozone countries, was developed in consultation with the repo community and dealers from major financial institutions and 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 (GC) and filtered specifics in order to more accurately reflect the effective cost of Repo funding for trades executed on both BrokerTec and MTS.
Initially, all index data will be sourced from the BrokerTec and MTS electronic trading platforms, which together account for more than EUR250bn of eurozone sovereign bond repos each day (single count). It will be distributed broadly via third parties, including Reuters (REPOFUNDS) and Bloomberg (REPF) as well as being available via e-mail and FTP sources.
Bassma Elamir Riley, head of government bond repo, Deutsche Bank AG London, says: “RepoFunds Rate brings much needed transparency to the market. The inclusion of filtered specific transaction data, in addition to GC, sets the index apart from anything else currently available. The index will ultimately provide the trading community with a more efficient repo hedging tool, while simultaneously recognising the increasing role of collateral pricing in the OTC world.”
Oliver Clark, money market product manager at MTS, says: “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. 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.”