BBA Repo Rates

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 the major instrument of monetary policy.

With effect from 04 March 2002 eurepo has replaced the BBA Euro Repo benchmark. Further information on eurepo is available at www.eurepo.org.

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

Panel size: 12 contributors