STOXX and Eurex Repo launch GC Pooling Indices
17 April 2013 Zurich
Image: Shutterstock
STOXX Limited, the index concepts provider, and Eurex Repo have co-created a STOXX GC Pooling index family, migrating existing GC Pooling Indices calculated by Deutsche B枚rse.
The STOXX GC Pooling Indices provide a representation of the secured euro funding transactions taking place on the Eurex Repo GC Pooling Market. Both firms point to the introduction of two funding rates that measure secured interbank funding rates and volumes in the euro zone as a unique feature of the index family.
All STOXX GC Pooling Indices aim to provide transparent, rules-based alternatives to unsecured interbank benchmarks such as LIBOR and EURIBOR/EONIA. The new indices can be used for benchmarking purposes in the money market, and as underlying for financial products. The STOXX GC Pooling Index family will be calculated in euro and will be available end-of-day in CET time.
鈥淚n light of the recent LIBOR scandal, market participants and regulators globally are looking for a transparent, rules-based and reliable benchmark for the interbank market, based on real transactions,鈥� said Hartmut Graf, chief executive officer of STOXX Limited. 鈥淢oney market trading volumes have shifted significantly from unsecured to secured markets over the recent years.
STOXX and Eurex Repo have thus teamed up to develop the STOXX GC Pooling Indices, which are based on the daily transactions on the regulated GC Pooling market. These innovative indices can contribute to improved trust in reference interest rates.鈥�
The indices will be available based on two standardised fixed-income securities baskets available on the GC Pooling Market: the ECB basket and the ECB EXTended basket. The following standard terms will be calculated for each basket, respectively: OverNight (ON), TomNext (TN) and SpotNext (SN). Each index will have two versions - volume weighted average rate and total volume. This approach is in line with the central banks鈥� proposal to implement and use reference rates based on short-term transactions like repos since these exclude counterparty and credit risks. Indices that reflect the entire yield curve are expected to be introduced shortly.
The STOXX GC Pooling Indices provide a representation of the secured euro funding transactions taking place on the Eurex Repo GC Pooling Market. Both firms point to the introduction of two funding rates that measure secured interbank funding rates and volumes in the euro zone as a unique feature of the index family.
All STOXX GC Pooling Indices aim to provide transparent, rules-based alternatives to unsecured interbank benchmarks such as LIBOR and EURIBOR/EONIA. The new indices can be used for benchmarking purposes in the money market, and as underlying for financial products. The STOXX GC Pooling Index family will be calculated in euro and will be available end-of-day in CET time.
鈥淚n light of the recent LIBOR scandal, market participants and regulators globally are looking for a transparent, rules-based and reliable benchmark for the interbank market, based on real transactions,鈥� said Hartmut Graf, chief executive officer of STOXX Limited. 鈥淢oney market trading volumes have shifted significantly from unsecured to secured markets over the recent years.
STOXX and Eurex Repo have thus teamed up to develop the STOXX GC Pooling Indices, which are based on the daily transactions on the regulated GC Pooling market. These innovative indices can contribute to improved trust in reference interest rates.鈥�
The indices will be available based on two standardised fixed-income securities baskets available on the GC Pooling Market: the ECB basket and the ECB EXTended basket. The following standard terms will be calculated for each basket, respectively: OverNight (ON), TomNext (TN) and SpotNext (SN). Each index will have two versions - volume weighted average rate and total volume. This approach is in line with the central banks鈥� proposal to implement and use reference rates based on short-term transactions like repos since these exclude counterparty and credit risks. Indices that reflect the entire yield curve are expected to be introduced shortly.
NO FEE, NO RISK
100% ON RETURNS If you invest in only one securities finance news source this year, make sure it is your free subscription to Securities 麻豆影视传媒 Times
100% ON RETURNS If you invest in only one securities finance news source this year, make sure it is your free subscription to Securities 麻豆影视传媒 Times
