The RepoFunds Rate Euro (RFR Euro) is derived from eligible repo transactions involving sovereign bonds issued that are issued by any Eurozone country as collateral. The one business day repo transactions will be centrally cleared and electronically executed on ICAP’s global electronic fixed income trading platform BrokerTec and MTS.
According to a note from ICAP, the traded volume of eligible repo transactions across the two trading platforms is typically €230 billion per day (single counted).
The RepoFund Rate indices adhere to the IOSCO principles for financial benchmarks, which came into force at the end of last month, as they are trade-backed and transparent.
RepoFunds Rate is a series of daily euro repo indexes which reflect the cost of secured funding in Eurozone sovereign bond markets. The current indices (RFR Germany, RFR France and RFR Italy), which were launched in 2012, measure the cost of funding sovereign bonds issued by their respective countries.
Robert Walton, director of Index Services at IIS, said: "RFR Euro is an important addition to the RepoFunds Rate 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 RepoFunds Rate indices."
Oliver Clark, head of money market and derivatives product at MTS, said: “Where the three country specific RepoFunds Rate 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 $200billion in cleared transactions collateralised with sovereign bonds.”
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.