European Repo Council 32 nd European repo market survey, conducted in December 2016 Mr. Richard Comotto, Senior Visiting Fellow, ICMA Centre - Reading University ICMA European Repo and Collateral Council (ERCC) February 2017
European Repo Council32nd European repo market survey, conducted in December 2016
Mr. Richard Comotto, Senior Visiting Fellow, ICMA Centre - Reading University
ICMA European Repo and Collateral Council (ERCC) February 2017
Headline numbers
32nd European repo market survey conducted in December 2016
Jun-
01D
ec-0
1Ju
n-02
Dec
-02
Jun-
03D
ec-0
3Ju
n-04
Dec
-04
Jun-
05D
ec-0
5Ju
n-06
Dec
-06
Jun-
07D
ec-0
7Ju
n-08
Dec
-08
Jun-
09D
ec-0
9Ju
n-10
Dec
-10
Jun-
11D
ec-1
1Ju
n-12
Dec
-12
Jun-
13D
ec-1
3Ju
n-14
Dec
-14
Jun-
15D
ec-1
5Ju
n-16
Dec
-16
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000EU
R b
illio
n
Jun-10Jun-07
Dec-08
Lehman LTRO
EUR 5,656bn
Comparable market growth
• headline number: +0.9% year-on-year; +5.2% since June 2016 • for 62 respondents participating in last 3 surveys: +0.8% year-on-year; +2.4% since June 2016
32nd European repo market survey conducted in December 2016
Trading analysis
32nd European repo market survey conducted in December 2016
direct48.6%(45.9%)
triparty12.0%(10.0%)
broker10.5%(11.1%)
ATS28.9%(33.0%) bilaterally-negotiated
by phone or electronic messaging and
bilaterally-settled
bilaterally-negotiated by phone or electronic messaging
and triparty-settled
arranged by voice-broker and bilaterally-settled
automatic trading system(whether settled bilaterally or tri-party and/or cleared across
CCP)
Trading Analysis
32nd European repo market survey conducted in December 2016
Dec
-01
Dec
-02
Dec
-03
Dec
-04
Dec
-05
Dec
-06
Dec
-07
Dec
-08
Dec
-09
Dec
-10
Dec
-11
Dec
-12
Dec
-13
Dec
-14
Dec
-15
Dec
-16
0%
10%
20%
30%
40%
50%
60%
direct
triparty
broker
ATS
Lehman LTRO
Trading Analysis (directly reported by providers)
32nd European repo market survey conducted in December 2016
Jun-
04D
ec-0
4Ju
n-05
Dec
-05
Jun-
06D
ec-0
6Ju
n-07
Dec
-07
Jun-
08D
ec-0
8Ju
n-09
Dec
-09
Jun-
10D
ec-1
0Ju
n-11
Dec
-11
Jun-
12D
ec-1
2Ju
n-13
Dec
-13
Jun-
14D
ec-1
4Ju
n-15
Dec
-15
Jun-
16D
ec-1
6
0
200
400
600
800
1,000
1,200
1,400
ATS (direct)
EU
R b
illio
nLehman LTRO
Geographical Analysis
32nd European repo market survey conducted in December 2016
domestic23.2%(23.1%)
intra-eurozone17.5%(18.2%)
in/out eurozone38.6%(33.8%)
anonymous20.7%(24.9%)
from reporting bank cross-border to a(nother)
eurozone counterparty
ATS via CCP
from reporting bank cross-border to a
non-eurozone counterparty
Geographical Analysis
32nd European repo market survey conducted in December 2016
Dec
-01
Jun-
02D
ec-0
2Ju
n-03
Dec
-03
Jun-
04D
ec-0
4Ju
n-05
Dec
-05
Jun-
06D
ec-0
6Ju
n-07
Dec
-07
Jun-
08D
ec-0
8Ju
n-09
Dec
-09
Jun-
10D
ec-1
0Ju
n-11
Dec
-11
Jun-
12D
ec-1
2Ju
n-13
Dec
-13
Jun-
14D
ec-1
4Ju
n-15
Dec
-15
Jun-
16D
ec-1
6
0%
10%
20%
30%
40%
50%
60%
70%
domestic
cross-border
anonymous
Lehman LTRO
Geographical Analysis
32nd European repo market survey conducted in December 2016
Dec
-01
Jun-
02D
ec-0
2Ju
n-03
Dec
-03
Jun-
04D
ec-0
4Ju
n-05
Dec
-05
Jun-
06D
ec-0
6Ju
n-07
Dec
-07
Jun-
08D
ec-0
8Ju
n-09
Dec
-09
Jun-
10D
ec-1
0Ju
n-11
Dec
-11
Jun-
12D
ec-1
2Ju
n-13
Dec
-13
Jun-
14D
ec-1
4Ju
n-15
Dec
-15
Jun-
16D
ec-1
6
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
45.00%
cross-border outside EURcross-border to EUR
Lehman LTRO
Geographic Analysis
32nd European repo market survey conducted in December 2016
0%5%
10%15%20%25%30%35%40%45%
reporeverse repo
Currency Analysis
32nd European repo market survey conducted in December 2016
EUR61.8%(61.3%)
GBP11.3%(11.6%)
USD18.8%(17.1%)
JPY4.8%(5.2%)
other3.4%(2.1%)
Currency Analysis
32nd European repo market survey conducted in December 2016
Dec
-01
Jun-
02D
ec-0
2Ju
n-03
Dec
-03
Jun-
04D
ec-0
4Ju
n-05
Dec
-05
Jun-
06D
ec-0
6Ju
n-07
Dec
-07
Jun-
08D
ec-0
8Ju
n-09
Dec
-09
Jun-
10D
ec-1
0Ju
n-11
Dec
-11
Jun-
12D
ec-1
2Ju
n-13
Dec
-13
Jun-
14D
ec-1
4Ju
n-15
Dec
-15
Jun-
16D
ec-1
6
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
EURGBPUSDother
Lehman LTRO
Collateral Analysis
32nd European repo market survey conducted in December 2016
DE20.9%(20.3%)
IT10.8%(10.4%)
FR12.1%(10.9%)ES
5.2%(5.9%)
BE3.0%(2.7%)
other EUR5.0%(4.9%)
UK11.8%
(12.1%)
US10.0%(8.0%)
Japan4.3%(4.7%)
etc16.9%(19.6%)
Collateral Analysis --- Core Eurozone
32nd European repo market survey conducted in December 2016
Dec
-01
Jun-
02D
ec-0
2Ju
n-03
Dec
-03
Jun-
04D
ec-0
4Ju
n-05
Dec
-05
Jun-
06D
ec-0
6Ju
n-07
Dec
-07
Jun-
08D
ec-0
8Ju
n-09
Dec
-09
Jun-
10D
ec-1
0Ju
n-11
Dec
-11
Jun-
12D
ec-1
2Ju
n-13
Dec
-13
Jun-
14D
ec-1
4Ju
n-15
Dec
-15
Jun-
16D
ec-1
6
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
40.0%
DE
FR
BE
NL
Lehman LTRO
Collateral Analysis --- Peripheral Eurozone
Dec
-01
Jun-
02D
ec-0
2Ju
n-03
Dec
-03
Jun-
04D
ec-0
4Ju
n-05
Dec
-05
Jun-
06D
ec-0
6Ju
n-07
Dec
-07
Jun-
08D
ec-0
8Ju
n-09
Dec
-09
Jun-
10D
ec-1
0Ju
n-11
Dec
-11
Jun-
12D
ec-1
2Ju
n-13
Dec
-13
Jun-
14D
ec-1
4Ju
n-15
Dec
-15
Jun-
16D
ec-1
6
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
IT
ES
GR
PT
IE
32nd European repo market survey conducted in December 2016
Lehman LTRO
Collateral Analysis
32nd European repo market survey conducted in December 2016
EU non-govis
13.5% (14.2%)
EU govis 86.5%
(85.8%)
Collateral Analysis
32nd European repo market survey conducted in December 2016
Dec-
01
Dec-
02
Dec-
03
Dec-
04
Dec-
05
Dec-
06
Dec-
07
Dec-
08
Dec-
09
Dec-
10
Dec-
11
Dec-
12
Dec-
13
Dec-
14
Dec-
15
Dec-
16
0%10%20%30%40%50%60%70%80%90%
100%
EU non-govis
EU govis
Lehman LTRO
Maturity Analysis
32nd European repo market survey conducted in December 2016
open 1D 1W 1M 3M 6M 12
M+12
Mfd-
fd0%
5%
10%
15%
20%
25%
6.4%
18.9%21.2%
16.1%
18.9%
4.3%2.5%
1.3%
10.5%
short dates = 56.2% (61.2%)
Maturity Analysis
32nd European repo market survey conducted in December 2016
open 1D 2D-1W 1W-1M 1-3M 3-6M 6-12M +12M fd-fd
-5%
0%
5%
10%
15%
20%
25%
30%
reporeverse repo
Maturity Analysis
32nd European repo market survey conducted in December 2016
Jun-
01
Jun-
02
Jun-
03
Jun-
04
Jun-
05
Jun-
06
Jun-
07
Jun-
08
Jun-
09
Jun-
10
Jun-
11
Jun-
12
Jun-
13
Jun-
14
Jun-
15
Jun-
16
0%
10%
20%
30%
40%
50%
60%
70%
80%
SD + open1M+forward
Lehman LTRO
Maturity Analysis
32nd European repo market survey conducted in December 2016
Jun-
01
Jun-
02
Jun-
03
Jun-
04
Jun-
05
Jun-
06
Jun-
07
Jun-
08
Jun-
09
Jun-
10
Jun-
11
Jun-
12
Jun-
13
Jun-
14
Jun-
15
Jun-
16
0%
5%
10%
15%
20%
25%
30%
35%
1-6M
Lehman LTRO
Maturity Analysis
32nd European repo market survey conducted in December 2016
Jun-
02De
c-02
Jun-
03De
c-03
Jun-
04De
c-04
Jun-
05De
c-05
Jun-
06De
c-06
Jun-
07De
c-07
Jun-
08De
c-08
Jun-
09De
c-09
Jun-
10De
c-10
Jun-
11De
c-11
Jun-
12De
c-12
Jun-
13De
c-13
Jun-
14De
c-14
Jun-
15De
c-15
Jun-
16De
c-16
0
20
40
60
80
100
120
140
160
min. WAMmax. WAMda
ysLehman LTRO
Maturity Comparison
31st European repo market survey conducted in June 2016
open 1D 1W 1M 3M 6M +6M fd-fd0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
ATS voice broker
Rate Analysis
32nd European repo market survey conducted in December 2016
fixed81.4% (82.5%)
floating12.1%(10.8%)
open6.4%(6.7%)
Next Survey
Wednesday, 7th June 2017
32nd European repo market survey conducted in December 2016