Icap, the London based inter-dealer brokerage, has launched a range of indexes for the repo market.i-Repo will service the general collateral, short dated repo markets and will initially consist of three indexes: US dollar, euro and sterling.
The indexes are based on Icap’s own trading volumes and are calculated at midday and end-of-day for each region. A spokesman from Icap declined to specify the firm’s actual market share, but said that it is “sufficiently representative to form the basis of a benchmark in repo”.
John Nixon, global head of Icap Information, said, “i-Repo comes in response to increasing compliance requirements within the financial community to use independent and reliable price pricing sources for portfolio evaluation”.
Repo exposures listed in the trading book will require mark-to-market valuation as a result of regulatory requirements including FAS 133, IAS 39 and new Basel capital Accord.
More on Regulation
NCDEX finds itself in conflict with government clearing house proposals
Regulator set to focus on backtesting and replicability of index products
2015 rules promise oversight increase
Recent Iosco consultation paper aims to better co-ordinate global regulation
Sign up for Risk.net email alerts
Sponsored video: Tradeweb
Multifonds talks to Custody Risk on being nominated for the Post-Trade Technology Vendor of the Year at the Custody Risk Awards 2014
Sponsored webinar: IBM Risk Analytics
Nominated for two technology awards
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.