BrokerTec European Repo VWAP
A definitive view of European repo market activity.
BrokerTec European Repo VWAP (Volume-Weighted Average Price) data offers a definitive source for analyzing the European repo market, providing daily volume-weighted average prices for each ISIN traded in Overnight, Tom-Next and Spot-Next terms, which is crucial for evaluating trade execution and understanding market liquidity and pricing.
ASSET CLASS
Interest Rates
PRODUCT GROUP
Cash Markets Data
Key features
Weighted average pricing
Provides volume-weighted average prices for each ISIN based on all completed repo trades during the trading day.
Comprehensive coverage
Includes data for various European markets, such as Austria, Belgium, Finland, France, Germany, Italy, Spain and the UK Gilts.
Term-specific data
The data is broken down by repo term, including Overnight (O), Tom-Next (T/N) and Spot-Next (S/N).
Extended analytics
The daily file includes a 20-day average volume, providing additional context for market analysis.
Ideal for
Market participants
Use the data to evaluate trade execution and compare a transaction's price to the daily VWAP.
Financial analysts
Analyze trends in market liquidity and pricing for various European repo markets.
Portfolio managers
Assess the performance of repo transactions and optimize funding strategies.
Algorithmic traders
Use VWAP as a benchmark to determine the best price at which to buy or sell.
Data connection options
Get connected: Steps for licensing and access
Step 1
Get licensed for use
Licensing and costs vary based on your specific use case. Please contact us, and a data expert will assist you.
Step 2
Complete Information License Agreement (ILA)
If you do not already have one, you will need to complete an Information License Agreement (ILA) or update an existing one to include licenses for this data.
Step 3
Access data
Once licensing is complete, you can begin accessing the data via your chosen connectivity option.
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