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BBA Repo Rates

3 Aug 2010

At their recent committee meeting the independent Foreign Exchange and Money Markets Committee that oversees BBA LIBOR as well as the Repo fixings asked the BBA on their behalf to call for new contributors to the Repo fixing panel.

Therefore, any bank that is active in the Repo market transacted via London and is interested in joining the panel is asked to contact the Secretary of the Foreign Exchange and Money Markets Committee at the address below. Potential contributor banks do not need to be physically located in London, but must be prepared to make available to the Secretary their levels of activity in the Repo market in strict confidence, as this will be the basis for the Committee's decision on inclusion of new panel banks.

Banks wishing to be considered for inclusion should contact the secretary of the Foreign Exchange and Money Markets Committee by close of business on September 23rd 2010.

Notes to editors

The secretary to the Foreign Exchange and Money Markets Committee can be contacted at info@bbalibor.com, or care of the British Bankers' Association, 105-108 Old Broad Street, London EC2N 1EX Repurchase agreements (Repos) are collateralised lending transactions. One party agrees to sell securities (e.g. gilts) to the other against a transfer of funds. At the same time the parties agree to repurchase the same or equivalent securities at a specific price in the future.

Bank of England and the European Central Bank use Repo as a major instrument of monetary policy.

BBA Repo Rates have the following criteria:

Calculated in the following Maturities: O/n, 1 week, 2 week, 3 week, 1 month, 2 month, 3 month, 6 month, 9 month, 1 year

Benchmarked amount: 'Normal market size' is about GBP 25 million or equivalent

Type of security: General collateral (GC), no right of substitution, bid bonds/offer cash

Calculation method: Averaging method like LIBOR - arithmetic average of middle two quartiles

Benchmarking Time: GBP 1100hrs, London time on London business days

Download the current repo rates belows.

Repo rates
 
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