ICAP and MTS Add Repo Index for Eurozone Traders
European traders who execute in the repurchase agreement and sovereign bond markets can now do so using a new repo rate index.
Following publication of ISDA definitions, ICAP Information Services and MTS today announced they are expanding the RepoFunds Rate indices to include RepoFunds Rate Euro (RFR Euro), a daily repo index for Eurozone sovereign bonds. The new RFR index, according to ICAP, paves the way for better hedging and more accurate price discovery.
The new index, RFR Euro, is derived from eligible repo transactions that involve sovereign bonds issued by any Eurozone country as collateral.
“The RepoFunds Rate indices are robust and replicable benchmarks for derivatives and the development of a swap market,” said John Edwards, managing director at BrokerTec.
Designed as transparent and trade-backed references, the RepoFund Rate indices adhere to the IOSCO principles for financial benchmarks.
RepoFunds Rate is a series of daily euro repo indices which reflect the effective cost of secured funding in Eurozone sovereign bond markets.
The indices are published at the end of each business day and were launched in response to industry interest and demand, reflecting the importance of secured funding and the need for a suitable reference for derivatives for hedging and pricing.
Source: tradersmagazine
