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STOXX® GC Pooling Indices

The STOXX® GC Pooling index family is based on the Eurex Repo GC Pooling segment and offers a transparent, rules-based, independent alternative to unsecured interbank benchmarks such as LIBOR and EURIBOR/EONIA. The indices represent secured euro lending transactions and binding Quotations that take place on the Eurex Repo GC Pooling Market.

 

Full money market curve
The STOXX GC Pooling index family covers the full money market curve, up to twelve months. Each index is available in three versions - volume-weighted average rate indices, current rate indices and total volume indices.

 

Whereas the short-term indices - Overnight (ON), Tom Next (TN), Spot Next (SN) - are calculated exclusively based on trades for both available baskets, the ECB* basket and the ECB* Extended basket, the 1 week to 12 months terms are trades and binding-quotes calculated only for the ECB basket.

 

Novel indices
Within the index family, STOXX introduces the funding rates, which aim to be a new benchmark for interbank funding and cover one business day liquidity for the broader Eurozone. The funding rates have all the advantages of standardized secured funding.

The STOXX funding rates are available in four versions as well:

  • » STOXX® GC Pooling EUR Funding Rate
  • » STOXX® GC Pooling EUR Funding Rate Volume
  • » STOXX® GC Pooling EUR Deferred Funding Rate
  • » STOXX® GC Pooling EUR Deferred Funding Rate Volume

These indices offer a volume-weighted average rate and a total volume from EUR ON, TN and SN transactions in the GC Pooling ECB basket and ECB Extended basket based either on the same trade day or same settlement day.

 

The STOXX funding rates are based on real, secured transactions, including only general collateral and not specialized collateral repo trades. The STOXX funding rate volume indices represent volumes that are comparable and even higher to unsecured markets (i.e. EONIA).

 

Based on the STOXX funding rates the STOXX GC Pooling EUR Deposit and STOXX GC Pooling EUR Investable Deposit indices are introduced. The new indices measure the total return of a hypothetical rolling deposit with an interest rate corresponding to the STOXX GC Pooling EUR Funding Rate.

 

For more information about these new indices, please see the download area or contact us at stoxx@stoxx.com.

For current data, historical data and charts please click here.

Watch Video: EUR Secured Funding Futures. Hedge secured interest rate risk.

More on Eurex GC Pooling market at www.eurexrepo.com