NEX Data, which delivers independent market intelligence and price information for OTC Data, and JBond, the electronic platform for trading in Japanese repurchase agreements, have announced the launch of the JBond Nex Repo Index to measure the effective cost of funding for Japanese government bonds.
The firms say it is the first Japanese repo index and they have launched it in response to “considerable interest” from financial community.
The Japanese yen repo market has been very active of late with the average month-end outstanding for 2017 reaching 160 trillion yen. The new 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). The 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,” says Kevin Taylor, managing director, Nex Data.
Kiyomi Saito, CEO JBond, adds, “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.”