NEX Data and JBOND team up to launch Japanese repo index

Jul 26th, 2018 | By | Category: Fixed Income

NEX Data, an analytics and index provider, has partnered with JBOND, an electronic platform for trading Japanese Repurchase agreements, to create the JBOND NEX Repo Index.

NEX Data and JBOND team up to launch Japanese repo index

NEX Data and JBOND have teamed up to launch a Japanese repo index measuring the effective cost of funding for Japanese government bonds. (BoJ pictured)

The index measures the effective cost of funding for Japanese government bonds.

It is the first Japanese repo index and has been launched in response to considerable interest from the financial community.

The Japanese Yen (JPY) repo market has been very active of late with the average month-end outstanding for 2017 reaching 160 trillion yen.

The index provides an insight in to the overall cost of funding in the dealer-to-dealer market by taking a volume-weighted average of repo rates from trades which use Japanese government bonds as collateral.

The index is calculated daily by NEX Data as the benchmark administrator, using eligible one day repo transactions traded on JBOND and centrally cleared through the Japan Securities Clearing Corporation (JSCC).

JBOND is the primary venue for the trading of Japanese government repurchase agreements and as such, these benchmarks will reflect accurate and existing prices in the marketplace.

The index methodology used is consistent with IOSCO Principles for Financial Benchmarks.

Kevin Taylor, Managing Director of NEX Data, said: “By combining NEX Data’s index calculation expertise and transparent methodology with transaction-backed data from the JBOND platform, we are bringing additional transparency to the Japanese government bond markets and helping the market better assess the cost of funding.”

Kiyomi Saito, CEO JBOND, added: “The Japanese Government Bonds (JGB) market is one of the most mature markets in the world. Yet JGB Repo market information available to global investors is very limited. This index will certainly provide far greater market transparency.”

With interest rates as they are in Japan, it is unlikely that we will see Japanese repo ETFs hitting the market any time soon; however, a market for repo-linked products is emerging in the US.

Earlier this month ClearShares introduced the ClearShares Ultra-Short Maturity ETF (OPER US), which invests in US repos, and a number of other repo-based ETF registration applications have been filed with the SEC.

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