26 September 2016
Reporter: Drew Nicol

ICAP and MTS add Spanish repo index

ICAP’s global fixed income trading platform BrokerTec has partnered with MTS, a European fixed income platform, to add a Spanish repo index to its RepoFunds Rate (RFR) indices.

RFR offers series of daily European indices covering the German, French, Italian and pan-Europe repo markets.

According to ICAP, each RFR index accurately reflects the effective cost of repo funding for trades executed on the BrokerTec and MTS electronic trading platforms.

The RFR, which launched in 2012, is based on four guiding principles: it is trade backed; has a transparent methodology; is replicable with repo transactions; and has independent governance and trade sources.

It follows the IOSCO principles for financial benchmarks and was developed to be the first index to fully reflect the effective cost of secured funding in key eurozone countries.

The addition of the Spanish repo index follows the introduction of sterling repo index rate in April 2016 for UK gilt repo.

Daily trading volumes sit at €230 billion per day between the two groups.

Oliver Clark, head of product at MTS, said: “We continue to explore innovative solutions for our clients and the wider market, and the RFR Spain is the next step in the evolution of the RepoFunds Rate suite. The RFR Spain recognises the significance of the repo market as a key indicator of the secured cost of funding in Spain.”

John Edwards, managing director for BrokerTec Europe, said: “Spain has a sizeable and significant repo market and a major portion of this is transacted via the BrokerTec platform, with volumes regularly exceeding €20 billion per day in nominal terms and support from both domestic and international counterparties.”

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