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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.
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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.
RepoFunds Rate commercial policy
To view the data in real time or for commercial usage of RFR a license is required, please see the RFR pricing guide and contact indices@nexdata.com with any questions you may have.
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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. |
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On 1st October 2019, EONIA moved to a T+1 publication schedule. As a result, the publication of RFR Euro and RFR France were similarly adjusted to allow for the inclusion of the EONIA rate in the calculation.
Having monitored relevant market transactions since 1st October, we have observed that market participants have predominantly migrated away from trading EONIA + spread to a fixed basis.
Therefore, from 11th October 2019, RFR France and RFR Euro will be reverting to a T+0 calculation and publication schedule.
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