New index to drive transparency in repo

New index to drive transparency in repo

ICAP’s global electronic fixed income trading platform BrokerTec and the European venue MTS have launched a new daily repo index series that tracks sovereign bonds of Germany, France and Italy.

The index was developed in response to industry interest and demand, recognising the growing importance of secured funding.
The RepoFunds Rate is the first index to reflect the effective cost of secured funding in key eurozone countries. It will initially cover the three eurozone countries.

The index was created in consultation with the repo community and dealers from financial institutions.

It is based on a centrally-cleared, electronically-executed one business day repo transactions that are based on a common settlement data and will include all overnight, tomorrow next (tom-next) and spot-next trades in both general collateral and filtered specifics.

Initially all index data will be sourced from the BrokerTec and MTS electronic trading platforms which together account for more than €250bn of eurozone sovereign bond repos each day.

The index will give dealers and investors confidence in benchmarking products and trades against the indices, according to a statement released by the two platforms.

Bassma Elamir Riley, head of government bond repo, Deutsche Bank AG London, said: "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."

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