Euro Repo Index

  • Index backed by BrokerTec and MTS trades
  • Secured one-day interest rates
  • Published for combined Eurozone and individual German, French, Italian, Spanish, Dutch and Belgian government bond markets

About RepoFunds Rate

RepoFunds Rate ("RFR") is a series of daily euro repo indices comprising RFR Euro, RFR Germany, RFR France, RFR Italy, RFR Spain, RFR Netherlands and RFR Belgium. The indices are calculated from trades executed on either the BrokerTec or the MTS electronic platforms. All eligible repo trades are centrally cleared and RepoFunds Rate is calculated and published by NEX Data.

Each index is calculated with repo trades that use sovereign government bonds as collateral. Trades using sovereign bonds issued by any Eurozone country are eligible for RFR Euro. Country-specific RFR indices are calculated with trades using sovereign bonds issued by the relevant country only. All indices are denominated in euros.

Euro Repo Market

Repo transactions are used for borrowing and lending on a secured basis and for financing and covering bond positions. Overall daily volumes in eurozone sovereign repos typically exceed €300 billion (single count), with volume being split between general collateral and specific collateral repo trades.

 

By including both general collateral and suitable specific collateral repo trades, RepoFunds Rate provides a unique insight into current repo rates and market volumes and reflects the overall cost of funding achieved by the market.

Index Governance

RepoFunds Rate is registered as a regulated data, non-significant benchmark under the EU Benchmarks regulation and NEX Data Services is the registered benchmark administrator.

The administrator operates to a full oversight committee as the RepoFunds Rate oversight function. The committee provides independent challenge to the integrity of the benchmark.

Please note...

From the 9th October 2017 the Repo Funds Rate (RFR) data on this website will be subject to a 24 hour delay. To continue to receive the data in its current format we ask you to register your interest by emailing indices@nexdata.com.

NEX Data Services is pleased to announce that on 2 February 2018 it was approved as one of the first Benchmark Administrators under the EU Benchmarks Regulation (BMR). The RepoFunds Rate suite of daily euro benchmarks for the Euro, Italy, Germany, Spain, The Netherlands and Belgium will now fall under the BMR.

NEX Data's statement on the categorisation of RFR as a non-Interest Rate benchmark can be read here.

Data resource

Benchmark Statement
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Factsheet
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Methodology
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Additional Data
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Daily updated index file values CSV
Download RFR Euro
Download RFR Belgium
Download RFR France
Download RFR Germany
Download RFR Italy
Download RFR Netherlands
Download RFR Spain
Contact: indices@nexdata.com
Bloomberg: REPF
Reuters: REPOFUNDS


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Daily updated index file values: Euro

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Daily updated index file values: Germany

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Daily updated index file values: France

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Daily updated index file values: Italy

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Daily updated index file values: Spain

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Daily updated index file values: Netherlands

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Daily updated index file values: Belgium

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