MTS and ICAP add Eurozone index to RepoFunds Rate

MTS and ICAP add Eurozone index to RepoFunds Rate

  • Following publication of ISDA definitions, RFR paves the way for hedging and price discovery

MTS, a leading fixed income electronic trading venue in Europe and ICAP Information Services (IIS), the information business of ICAP plc announce today that they are expanding the RepoFunds Rate indices to include RepoFunds Rate Euro (RFR Euro), a daily repo index for Eurozone sovereign bonds.

The new index, RFR Euro, includes eligible repo transactions that use sovereign bonds issued by any Eurozone country as collateral. The index is based on centrally cleared, electronically executed one business day repo transactions rather than indicative quotes, with trades supplied by BrokerTec, ICAP’s global electronic fixed income trading platform, and MTS. Typically, the traded volume of eligible repo transactions across the two trading platforms is €230 billion per day (single counted).  

Designed as transparent and trade-backed references, the RepoFund Rate indices adhere to the IOSCO principles for financial benchmarks.  ICAP and MTS are continuing to liaise with other industry trade providers to explore the further expansion of RepoFunds Rate.

Oliver Clark, Head of Money Market and Derivatives Product at MTS, said: “Where the three country specific RFR indices provide robust and relevant references for each of these separate sovereign bond markets, the new RFR Euro index gives euro cash investors, treasurers, bond traders and bond investors a benchmark for the whole Eurozone backed by over $200 billion in cleared transactions collateralised with sovereign bonds.”

John Edwards, Managing Director at BrokerTec, said: “The RepoFunds Rate indices are robust and replicable benchmarks for derivatives and the development of a swap market.  Following publication of the definitions by ISDA in April this year for the original three RFR indices, a suitable derivatives market can now develop to provide both a hedging mechanism and offer a source of price discovery for term financing of government bonds.”

Robert Walton, Director of Index Services at ICAP, said: "RepoFunds Rate Euro is an important addition to the RFR index family.  By providing a broader measure of the cost of financing sovereign bonds from issuers in the Eurozone, it complements the existing country-specific RFR indices. "

RepoFunds Rate is a series of daily euro repo indices which reflect the effective cost of secured funding in Eurozone sovereign bond markets. Launched in 2012 following consultation with the repo community, the current indices (RFR Germany, RFR France and RFR Italy) measure the cost of funding sovereign bonds issued by their respective countries.

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.

RepoFunds Rate data, including historical data, is publicly available on the website at  Full details of the calculation methodology are also available on the website.

- Ends -

For further information:

Ed Clark +44 (0)20 7797 1222

Notes to editors:

About London Stock Exchange Group:

London Stock Exchange Group (LSE.L) is a diversified international exchange Group that sits at the heart of the world's financial community. The Group can trace its history back to 1801.

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 the pan-European equities platform, Turquoise. Through its markets, the Group offers international business, and investors, unrivalled access to Europe's capital markets.

Post trade and risk management services are a significant and growing part of the Group’s business operations. LSEG operates CC&G, the Rome headquartered CCP and Monte Titoli, the significant European settlement business, selected as a first wave T2S participant. The Group is also a majority owner of leading multi-asset global CCP, LCH.Clearnet.

The Group offers its customers an extensive range of real-time and reference data products, including Sedol, UnaVista, Proquote and RNS. FTSE calculates thousands of unique indices that measure and benchmark markets and asset classes in more than 80 countries around the world.

London Stock Exchange Group is also a leading developer of high performance trading platforms and capital markets software. In addition to the Group’s own markets, over 40 other organisations and exchanges around the world use the Group’s MillenniumIT trading, surveillance and post trade technology.