Icap Information Services (IIS) and MTS are expanding the RepoFunds Rate indices to include RepoFunds Rate Euro (RFR Euro), a daily repo index for Eurozone sovereign bonds.

The new index gives euro cash investors, treasurers, bond traders and bond investors a benchmark for the whole Eurozone backed by over $200bn in cleared transactions collateralised with sovereign bonds.

"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," said Robert Walton, director of index services at Icap Information Services.

The RFR Euro index is derived from eligible repo transactions that involve sovereign bonds issued by any Eurozone country as collateral. It is based on centrally cleared, electronically executed one business day repo transactions executed on Icap’s platform BrokerTec and MTS.

Typically, the traded volume of eligible repo transactions across the two trading platforms is €230bn per day, single counted.

“Following publication of the definitions by International Swapsand Derivatives Association (ISDA) 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,” said John Edwards, managing director at BrokerTec.

Designed as transparent and trade-backed references, the RepoFund Rate indices adhere to the International Organisation of Securities Commissions (Iosco) principles for financial benchmarks. Icap and MTS continue to explore the further expansion of RepoFunds Rate.

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 RFR Germany, RFR France and RFR Italy indices measure the cost of funding sovereign bonds issued by their respective countries.