Euroclear has launched the first benchmark to help European investors evaluate prices in the region’s commercial paper markers. The securities settlement provider has indicated that the service is based on Euroclear data and provides daily and weekly data on average yields for euro commercial paper.
Olivier Grimonpont, director and head of product management for fixed income securities and collateral services at Euroclear, explains the drivers: “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.”
The service, which has been dubbed Euroclear ECP Indices, is aimed at allowing industry participants to 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 annualised yield values.
The weekly Euroclear ECP benchmark data 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: the euro, the US dollar and the British pound sterling. The daily Euroclear ECP benchmark data provides average yield data only on the highest quality paper for the same maturity periods and currencies, says Euroclear.
Peter Eisenhardt, chairman of the International Capital Market Association’s (ICMA) ECP Committee, comments on the indices: “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.”
He continues: “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.”