Icap launches repo benchmark index
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.
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