Overview

Each RepoFunds Rate benchmark is a volume-weighted average repo rate calculated using centrally-cleared transactions executed on either the BrokerTec or the MTS electronic platforms. Eligible repo trades for each daily benchmark calculation are selected using the following criteria:

• Repo collateral to be any euro-denominated sovereign government bond, bill, floating-rate note or inflation-linked bond issued by the relevant government
• Common settlement: any 'Overnight' trade executed on the benchmark publication day, any 'Tom-Next' trade executed on the previous business date and any 'Spot-Next' trade executed two business days before the benchmark publication day and, in all cases, settling on the benchmark publication day
• Either general collateral and suitable specific collateral repo trades, where specific collateral repo trades are first filtered to remove outliers or trades in particular instruments which are in short supply and have specific intrinsic value, outside of typical funding levels

Repo Trade Filtering

Specific collateral repo trades are in the majority traded at typical market funding levels. However, due to supply/demand issues, some trade at a premium.

RepoFunds Rate filters out and eliminates these outlying specific collateral trades and only uses those trades that reflect the general cost of funding. No filtering is applied to general collateral repo trades.

Benchmark Publication

RepoFunds Rate is published at T+0 18:30 GMT (on each TARGET business day) via Bloomberg. Data will also be available from FTP and by download from this website.

RepoFunds Rate is published for internal use only. For further information on how the RepoFunds Rate may be used, please click here. All commercial usage and redistribution is subject to a licence.