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Connecting the world’s
financial markets
ICAP INFORMATION SERVICES (IIS)
ICAP INDICES
REPOFUNDS RATE (RFR) EXPANSION
August 6th, 2014
OVERVIEW
ICAP INFORMATION SERVICES (IIS)
ICAP INDICES
REPOFUNDS RATE (RFR) EXPANSION
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ICAP INFORMATION SERVICES (IIS)
Information Services
Real-time, end-of-day and historical data solutions across
ICAP’s brokered product range
Hedge funds
Corporates
FX
Central Banks
IRS
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IIS
We operate in the
world’s major
financial centres
where volume traded
between users via
ICAP is fed into our
market data products
E&C
280 m
Dealers
Investment
Managers
Mutual Funds
MM
CDS
Average
number of
daily data
updates
Pension Funds
Number of
records
96,000
delivered
to end user
customers
70+
FI
ICAP Indices
Transaction Based,
Volume Weighted Indices
Commercial
and
Investment
Banks
Market Commentary
Diverse, end
user
‘000’s
customer
base
Unique, authoritative analysis from
notable economists in key global
markets
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COLLECTION & DISTRIBUTION OF DATA
Mission Statement: to deliver transaction-based, market-reflective,
client-focused data solutions
INTERNAL ANALYTICS
PLATFORM
GLOBAL BROKING
280 M AVERAGE NUMBER OF DAILY UPDATES
CONTROL FUNCTION
CENTRALISED
DATABASE
4 TB TICK
DATABASE
INDICES
ELECTRONIC
GLOBAL
QUALITY
ASSURANCE
TEAM
24/5
COVERAGE
LONDON
NEW YORK
HONG KONG
MANILA
GLOBAL
MARKET DATA
PLATFORM
ICAP
US TREASURY INDEX
BrokerTec 10 am
REPO AVERAGE
HEFFR
HEDDR
THIRD PARTY FEEDS
GLOBAL MONITORING
JOINT PRODUCTS
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ICAP Information Services - Strategy
Seize opportunities created by regulatory change
• MiFID II for pre and post trade data services
• IOSCO Principles for Financial Benchmarks
Electronic Focus (iSwap, BrokerTec, EBS)
• Source Driven – customer sponsored product development initiatives
Expand Distribution
• Partnerships (Data / Analytics / Indices)
• Expand and diversify customer base
ICAP Indices / Fixings / Benchmarks
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ICAP INDICES: BUSINESS MODEL
Index
Creation
IIS Range of
Indices
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IOSCO Principles for Financial Benchmarks
GOVERNANCE
QUALITY OF THE BENCHMARK
QUALITY OF THE METHODOLOGY
ACCOUNTABILITY
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
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ICAP BENCHMARKS: GOVERNANCE &
CONTROL FRAMEWORK
All ICAP benchmarks are designed to comply with the IOSCO Principles for Financial
Benchmarks
Independent
Advisory
Groups
ICAP Indices
Control
Functions
ICAP Indices
INDICES
Audit
Functions
ICAP INDICES POLICIES & PROCEDURES
BENCHMARK OPERATIONAL PROCESSES - IIS
ICAP
US TREASURY INDEX
BrokerTec 10 am
REPO AVERAGE
HEFFR
Internal
Submission
HEDDR
Thomson Reuters
Calculation
Quality
Control
Distribution
Third Party
Submission
Bloomberg
Internet
Opportunity
• Derivatives
• ETFs & Structured Products
• Index Data Sales
• Execution Venues
ICAP direct
Operational Monitoring & Surveillance
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RepoFunds Rate
Eurozone Repo Markets
Growing significance of secured money markets
Source: ECB Euro Money Market Survey, Nov 2013, percentage of total
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RepoFunds Rate
Eurozone Repo Markets: Concentration of turnover in secured lending
Source: ECB Euro Money Market Survey, Nov 2013, percentage of total
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•
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)
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RepoFunds Rate
RepoFunds Rate Indices
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Launched December 2012
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Comprising RFR Germany, RFR France
and RFR Italy
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Includes General Collateral transactions
and Specific Collateral transactions
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Transparent methodology
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Transparent pricing
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Replicable
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Trade-backed and high volume
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RepoFunds Rate
RepoFunds Rate Euro
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Launched August 2014
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Uses repo transactions with any
Eurozone sovereign bond as
collateral
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High volume benchmark:
€221.9bn per day (pre-filter
Jan-Jun 2014 average, single
counted)
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Daily turnover representative
of Eurozone sovereign repo
market
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RepoFunds Rate
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Initial volumes used in calculation of RFR Indices
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REPOFUNDS RATE
Key Design Features
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Trade-backed and high volume
Transparent
Replicable
Uses include
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•
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Benchmark and measure of performance for funding
Reference for OIS
With OIS, bond collateral discount curves
Next steps
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Additional industry repo trade providers
Additional currencies
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ICAP plc
2 Broadgate, London EC2M 7UR
+44 (0) 20 7000 5000
www.icap.com
Kevin Taylor
Managing Director - IIS
+44 20-7000-5504 (P)
+44 (0) 7825 770459 (M)
[email protected]
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]
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.

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