Embed Size (px)
Citation preview
ICAP INFORMATION SERVICES (IIS)
ICAP INDICES
REPOFUNDS RATE (RFR) EXPANSION
August 6th, 2014
Connecting the world’sfinancial markets
OVERVIEW
ICAP INFORMATION SERVICES (IIS)
REPOFUNDS RATE (RFR) EXPANSION
ICAP INDICES
2
ICAP INFORMATION SERVICES (IIS)
3
32
70+
We operate in the
world’s major
financial centres
where volume traded
between users via
ICAP is fed into our
market data products
280 m
Average
number of
daily data
updates
‘000’s
Diverse, end
user
customer
base
96,000
Number of
records
delivered
to end user
customers
IISIRS
CDS
FI
FX
E&C
MM
Hedge funds
Corporates
Central Banks
Commercial
and
Investment
Banks
Dealers
Investment
Managers
Mutual Funds
Pension Funds
Real-time, end-of-day and historical data solutions across
ICAP’s brokered product range
Information Services
Transaction Based,
Volume Weighted Indices
ICAP IndicesUnique, authoritative analysis from
notable economists in key global
markets
Market Commentary
280 M AVERAGE NUMBER OF DAILY UPDATES
INTERNAL ANALYTICS
PLATFORM
THIRD PARTY FEEDS
GLOBAL BROKING
ELECTRONIC
COLLECTION & DISTRIBUTION OF DATA
JOINT PRODUCTS
MARKET DATA PLATFORM
4 TB TICK DATABASE
GLOBALQUALITY
ASSURANCE TEAM24/5
COVERAGE
LONDONNEW YORK
HONG KONGMANILA
CONTROL FUNCTIONCENTRALISED
DATABASE
GLOBAL MONITORING
GLOBAL
4
Mission Statement: to deliver transaction-based, market-reflective,
client-focused data solutions
ICAP
US TREASURY INDEX
INDICES
BrokerTec 10 am
REPO AVERAGE
HEFFR
HEDDR
ICAP Information Services - Strategy
Seize opportunities created by regulatory change• MiFID II for pre and post trade data services
• IOSCO Principles for Financial Benchmarks
Expand Distribution
• Partnerships (Data / Analytics / Indices)
• Expand and diversify customer base
Electronic Focus (iSwap, BrokerTec, EBS)
• Source Driven – customer sponsored product development initiatives
5
ICAP Indices / Fixings / Benchmarks
ICAP INDICES: BUSINESS MODEL
6
IIS Range of Indices
Index Creation
IOSCO Principles for Financial Benchmarks
IIS has adopted the IOSCO Principles for Financial Benchmarks
All principles are implemented through:
- Internal ICAP policies and procedures
- The creation of IIS Ltd (Sept 14) as a separate legal entity
- The creation of independent advisory groups for each benchmark
- The review, continuation or termination of IIS’s submitting activities
7
GOVERNANCE
QUALITY OF THE METHODOLOGY
QUALITY OF THE BENCHMARK
ACCOUNTABILITY
8
Operational Monitoring & Surveillance
ICAP INDICES POLICIES & PROCEDURES
BENCHMARK OPERATIONAL PROCESSES - IIS
Independent Advisory Groups
ICAP IndicesICAP Indices
Control Functions
Audit Functions
Internal Submission
Calculation Quality Control
Distribution
Thomson Reuters
Bloomberg
Internet
ICAP direct
Third Party Submission
ICAP
US TREASURY INDEX
All ICAP benchmarks are designed to comply with the IOSCO Principles for Financial
Benchmarks
INDICES
BrokerTec 10 am
REPO AVERAGE
HEFFR
HEDDR
ICAP BENCHMARKS: GOVERNANCE &
CONTROL FRAMEWORK
Opportunity
• Derivatives
• ETFs & Structured Products
• Index Data Sales
• Execution Venues
RepoFunds Rate
Eurozone Repo Markets
Growing significance of secured money markets
Source: ECB Euro Money Market Survey, Nov 2013, percentage of total
9
RepoFunds Rate
Eurozone Repo Markets: Concentration of turnover in secured lending
Source: ECB Euro Money Market Survey, Nov 2013, percentage of total
• Share of all government bonds within pool of EU-originated collateral: 81.4% (ICMA European Repo Market
Survey, Dec 13)
• BrokerTec and MTS combined volumes in cleared one-day Eurozone sovereign repo: €220bln per day (single
counted)10
RepoFunds Rate
RepoFunds Rate Indices
• Launched December 2012
• Comprising RFR Germany, RFR France
and RFR Italy
• Includes General Collateral transactions
and Specific Collateral transactions
• Transparent methodology
• Transparent pricing
• Replicable
• Trade-backed and high volume
11
RepoFunds Rate
RepoFunds Rate Euro
• Launched August 2014
• Uses repo transactions with any
Eurozone sovereign bond as
collateral
• High volume benchmark:
€221.9bn per day (pre-filter
Jan-Jun 2014 average, single
counted)
• Daily turnover representative
of Eurozone sovereign repo
market
12
RepoFunds Rate
• Initial volumes used in calculation of RFR Indices
13
REPOFUNDS RATE
Key Design Features• Trade-backed and high volume
• Transparent
• Replicable
Uses include• Benchmark and measure of performance for funding
• Reference for OIS
• With OIS, bond collateral discount curves
Next steps• Additional industry repo trade providers
• Additional currencies
14
ICAP plc
2 Broadgate, London EC2M 7UR
+44 (0) 20 7000 5000
www.icap.com
Kevin TaylorManaging Director - IIS+44 20-7000-5504 (P)+44 (0) 7825 770459 (M)[email protected]
Disclaimer
The information and material presented in the attached presentation (the “Presentation") are provided to you for informational purposes only and are not to be
used or considered as an offer or a solicitation to sell or an offer or solicitation to buy or subscribe for securities or other financial instruments or any advice or
recommendation with respect to such securities or other financial instruments. Neither ICAP Plc nor any of its affiliates (collectively “ICAP”) makes any
representation or warranty or guarantee as to the completeness, accuracy, timeliness or suitability of any information contained within any part of the
Presentation nor that it is free from error. ICAP does not accept any liability (whether in contract, tort or otherwise howsoever and whether or not they have been
negligent) for any loss or damage (including, without limitation, loss of profit), which may arise directly or indirectly from use of or reliance on such information.
Whilst the information provided has been obtained from sources believed to be reliable, ICAP does not attest to its accuracy or completeness. ICAP reserves the
right to change any source without restriction or notice. The values quoted for any particular investment are indicative only and are subject to change.
Past performance should not be taken as an indication or guarantee of future performance and no representation or warranty, express or implied, is made
regarding future performance. Opinions and/or estimates reflect a judgment at the original date of publication by us and are subject to change without notice.
The price of, value of and income from any of the securities or financial instruments mentioned in the Presentation can fall as well as rise.
Jan de Smedt
Global Head of Indices - IIS+44 20-7000-5866 (P)+44 (0) 7436 283343 (M)[email protected]
Robert Walton
Director of Index Services - IIS+44 20-7000-5741 (P)+44 (0) 758 788750 (M)[email protected]
