BrokerTec and MTS to develop Euro Repo Index Series

BrokerTec and MTS to develop Euro Repo Index Series

  • New daily repo index series tracking sovereign bonds of eight Eurozone countries
  • Indices to be calculated with one-day repo transactions
  • Developed in response to market interest and demand
  • Overall daily transaction volumes in sovereign repos in excess of €300 billion (single count)
  • Due to be launched in Q4 2012

BrokerTec, the global electronic fixed income trading platform owned by ICAP, and MTS, a leading fixed income trading venue in Europe, which is majority owned by London Stock Exchange Group, are launching a daily repo index series for the euro. The index series will include indices for each of the sovereign bond markets of Germany, France, Italy, Spain, Austria, Netherlands, Belgium and Finland and is due to be launched in Q4 2012.

The Index calculation and design has been established following market interest and demand and is supported by a group of Repo dealers representing several major financial institutions. BrokerTec and MTS intend to establish an advisory group to ensure that the indices remain relevant to users. Discussions are progressing with a third potential partner who has an established presence in the repo sector to further increase the robustness of the index.

Repo transactions are used for borrowing and lending on a secured basis and for financing and covering bond positions. Overall daily transaction volumes in eurozone sovereign repos typically reach in excess of €300 billion (single count). The indices will be calculated with one-day repo transactions, which represent the bulk of trading activity. By using aggregated data from real repo transactions over each trading day, the index will calculate the volume-weighted effective funding rate for eurozone sovereign bonds issued in these countries.

Commenting on the new index series as a key supporter, Romain Dumas, Managing Director of EMEA short term government products at Credit Suisse said: “We welcome this development. In early discussions we have been encouraged by the enthusiastic support shown from the Repo community, in helping to develop this index as well as by the interest emanating from the derivatives desks. We are optimistic of its potential in accurately reflecting the secured cost of funding in each of the main Eurozone markets.”

Stefano Bellani, Head of Repo Financing in EMEA at J.P. Morgan, said: “This new index will be backed by traded volume, executed on electronic trading platforms and cleared via central counterparties rather than based on indicative quotes and this could potentially become a benchmark for secured funding rates across Europe.”

Oliver Clark of MTS said: “This new Index series is being launched at a time when the focus on transparency in repos and the importance of secured investment and funding are stronger than ever. The unparalleled transparency of these new daily fixings will provide confidence to both repo participants and investors in both benchmarking and in the issuance and management of financial products referenced to the index series."

John Edwards of BrokerTec said: "With the divergence of Eurozone markets and macro-economic issues affecting the European Government Bond market, developing an Index that provides a cost of funding reference for sovereign bonds has considerable interest and demand from various sectors of the markets.’’

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Notes to editors:
1. ICAP BrokerTec and MTS are electronic platforms for cash bond and repo transactions that together account for €250 billion plus of euro zone sovereign bond repos per day (single count).

2. The new Repo Index is based on Overnight, Tom-Next and Spot-Next repo transactions involving eurozone sovereign bond markets.

About MTS:
MTS is Europe’s premier facilitator for the electronic fixed income trading market, with over 500 unique counterparties and average daily volumes exceeding EUR 85 billion. MTS customers benefit from its relationship with Europe’s leading diversified exchange business, the London Stock Exchange Group, which operates the largest and most liquid equity marketplace in Europe.

MTS markets provide the professional trading environment for the interdealer marketplace, enabling primary dealers from across the globe to access unparalleled liquidity, transparency and coverage.

The MTS Repo platform delivers an order driven market for the electronic transaction of repo agreements and buy/sellbacks. ACM is an electronic auction-trading platform that uses the MTS Repo technology to enable cash-rich investors to enter into secured money market investments via the tri-party repo mechanism.

MTS further facilitates the dealer-to-client bond market through BondVision, the most trusted and efficient electronic bond trading market, delivering exceptional access for institutional investors direct to the market makers, while MTS Credit delivers an electronic market for a wide range of euro-denominated non-government bonds.

MTS Data is sourced directly and exclusively from the MTS interdealer market and includes benchmark real-time data, reference data, reference prices, time series data and snap-shot data, providing the benchmark data source on the fixed income market.

MTS Indices provide the first independent, transparent, real-time and tradable eurozone fixed income indices, based on tradable prices from MTS. MTS indices are tracked by (and can be traded via) 30 ETFs in addition to numerous structured products.

About London Stock Exchange Group:
London Stock Exchange Group (LSE.L) sits at the heart of the world’s financial community. The Group operates a broad range of international equity, bond and derivatives markets, including London Stock Exchange; Borsa Italiana; MTS, Europe's leading fixed income market; and Turquoise, offering UK and Russian derivatives trading, pan-European and US lit and dark equity trading. Through its markets, the Group offers international business unrivalled access to Europe’s capital markets.

The Group is a leading developer of high performance trading platforms and capital markets software and also offers its customers around the world access and an extensive range of real-time and reference data products and market-leading post-trade services. The Group is also home to a world leading index provider FTSE, which creates and manages over 200,000 equity, bond and alternative asset class indices.

Headquartered in London, United Kingdom with significant operations in Italy and Sri Lanka, the Group employs around 1,850 people.

Further information on London Stock Exchange Group can be found at