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Euroclear Bank launches first ECP benchmarks

Euroclear Bank announces the launch today of a free online service that displays average yields for Euro Commercial Paper (ECP) known as ‘Euroclear ECP Indices’. This pioneering tool provides capital market professionals with weekly and daily computed yield data, sourced from Euroclear Bank as a neutral service provider, to track the evolution of the ECP market.

The weekly Euroclear ECP benchmark data, an industry first, displays five ECP investment grade categories, including financial, corporate and sovereign issues, with different maturity periods, or tenors, of one month and three months, in three currencies (EUR, GBP and USD). The daily Euroclear ECP benchmark data provides average yield data only on the highest quality paper (i.e. A1/P1/F1 paper) for the same maturity periods and currencies.

Market professionals are able to quickly and easily download daily average weighted yields expressed in percentage format. The data is based on primary market ECP transactions settled at Euroclear Bank, calculated according to standard market practice for deriving annualized yield values.

Issuers may use the yield information to benchmark their ECP offerings, whereas investors may use them to compare investment opportunities. ECP dealers will also find the data of value to price paper that is entering the ECP market for the first time.

Olivier Grimonpont, Director and head of product management for fixed income securities and collateral services at Euroclear, stated: “We are responding to the investment community’s call for greater transparency and accuracy in benchmarking yield information for short-term paper. All euro commercial paper processed by Euroclear Bank will be included in our yield data, provided they meet the requirements in terms of tenor, currency and issuer type.”

Peter Eisenhardt, Chairman of the International Capital Market Association’s ECP Committee, continued: “The Euroclear ECP Indices are a big step forward for the market. They will enhance transparency in this challenging environment, and promote market growth. For the first time, investors and issuers will be able to benchmark their trading activity not just against Euribor and LIBOR, but against the broad ECP market as well.

The benchmarks were designed with market input to ensure that the categories – currency, duration, rating and type – are the most relevant and useful. Historical data was analysed so that the daily and weekly sector benchmarks will be based on meaningful amounts of data. It is recognised that in current, unprecedented financial market conditions, trading in some categories is much reduced.”