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32nd ICMA ERCC European Repo Market Survey
- 1. European Repo Council 32ndEuropean 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
- 2. Headline numbers 32nd Europeanrepo market survey conducted in December 2016 0 1,000 2,000 3,000 4,000 5,000 6,000 7,000 8,000 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 EURbillion Jun-10Jun-07 Dec-08 Lehman LTRO EUR 5,656bn
- 3. 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
- 4. Trading analysis 32nd Europeanrepo market survey conducted in December 2016 direct 48.6% (45.9%) triparty 12.0% (10.0%) broker 10.5% (11.1%) ATS 28.9% (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)
- 5. Trading Analysis 32nd Europeanrepo market survey conducted in December 2016 0% 10% 20% 30% 40% 50% 60% 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 direct triparty broker ATS Lehman LTRO
- 6. Trading Analysis (directlyreported by providers) 32nd European repo market survey conducted in December 2016 0 200 400 600 800 1,000 1,200 1,400 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 EURbillion ATS (direct) Lehman LTRO
- 7. Geographical Analysis 32nd Europeanrepo market survey conducted in December 2016 domestic 23.2% (23.1%) intra- eurozone 17.5% (18.2%) in/out eurozone 38.6% (33.8%) anonymous 20.7% (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
- 8. Geographical Analysis 32nd Europeanrepo market survey conducted in December 2016 0% 10% 20% 30% 40% 50% 60% 70% 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 domestic cross-border anonymous Lehman LTRO
- 9. Geographical Analysis 32nd Europeanrepo market survey conducted in December 2016 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00% 45.00% 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 cross-border outside EUR cross-border to EUR Lehman LTRO
- 10. Geographic Analysis 32nd Europeanrepo market survey conducted in December 2016 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% domestic X-border with eurozone X-border with noneurozone CCP repo reverse repo
- 11. Currency Analysis 32nd Europeanrepo market survey conducted in December 2016 EUR 61.8% (61.3%) GBP 11.3% (11.6%) USD 18.8% (17.1%) JPY 4.8% (5.2%) other 3.4% (2.1%)
- 12. Currency Analysis 32nd Europeanrepo market survey conducted in December 2016 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 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 EUR GBP USD other Lehman LTRO
- 13. Collateral Analysis 32nd Europeanrepo market survey conducted in December 2016 DE 20.9% (20.3%) IT 10.8% (10.4%) FR 12.1% (10.9%) ES 5.2% (5.9%) BE 3.0% (2.7%) other EUR 5.0% (4.9%) UK 11.8% (12.1%) US 10.0% (8.0%) Japan 4.3% (4.7%) etc 16.9% (19.6%)
- 14. Collateral Analysis ---Core Eurozone 32nd European repo market survey conducted in December 2016 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0% 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 DE FR BE NL Lehman LTRO
- 15. Collateral Analysis ---Peripheral Eurozone 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 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 IT ES GR PT IE 32nd European repo market survey conducted in December 2016 Lehman LTRO
- 16. Collateral Analysis 32nd Europeanrepo market survey conducted in December 2016 EU non- govis 13.5% (14.2%) EU govis 86.5% (85.8%)
- 17. Collateral Analysis 32nd Europeanrepo market survey conducted in December 2016 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 EU non-govis EU govis Lehman LTRO
- 18. Maturity Analysis 32nd Europeanrepo market survey conducted in December 2016 6.4% 18.9% 21.2% 16.1% 18.9% 4.3% 2.5% 1.3% 10.5% 0% 5% 10% 15% 20% 25% short dates = 56.2% (61.2%)
- 19. Maturity Analysis 32nd Europeanrepo market survey conducted in December 2016 0% 5% 10% 15% 20% 25% 30% open 1D 2D-1W 1W-1M 1-3M 3-6M 6-12M +12M fd-fd repo reverse repo
- 20. Maturity Analysis 32nd Europeanrepo market survey conducted in December 2016 0% 10% 20% 30% 40% 50% 60% 70% 80% 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 SD + open 1M+ forward Lehman LTRO
- 21. Maturity Analysis 32nd Europeanrepo market survey conducted in December 2016 0% 5% 10% 15% 20% 25% 30% 35% 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 1-6M Lehman LTRO
- 22. Maturity Analysis 32nd Europeanrepo market survey conducted in December 2016 0 20 40 60 80 100 120 140 160 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 days min. WAM max. WAM Lehman LTRO
- 23. Maturity Comparison 31st Europeanrepo market survey conducted in June 2016 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% open 1D 1W 1M 3M 6M +6M fd-fd ATS voice broker
- 24. Rate Analysis 32nd Europeanrepo market survey conducted in December 2016 fixed 81.4% (82.5%) floating 12.1% (10.8%) open 6.4% (6.7%)
- 25. Next Survey Wednesday, 7thJune 2017 32nd European repo market survey conducted in December 2016
Editor's Notes
- #6 Ignore first 2 years and shaded interval (exceptional trades). Two markers: (1) Lehman in Sep-08 and (2) 3-year LTROs after the Dec-11 survey & in Feb-12. But signs of the crisis started to emerge in H1 2007 & had gone critical by August 2007. European sovereign debt crisis from Apr/May-10. Early phase (to 2004) --- ATS rising, VB falling, TPR rising, direct falls back. 2004 to June 2007 --- ATS plateaus, VB continues to fall, TPR plateaus, direct recovers --- customer business? December 2007 to June 2009 --- ATS accelerates, VB recovers, TPR drops a notch, direct falls back --- crisis encourages resort to CCP-cleared ATS. December 2009 to June 2011 --- direct falls back, other gain modestly --- December 2011 onwards --- ATS falls back, VB falls, TPR falls, direct rises --- Banking crisis led to a rebound in direct trades (including exceptional ones) but down trend continued thereafter until H2 2012. VB trend down --- due to ATS --- but temporarily stabilised by crisis (hand-holding). ATS uptrend but post LTRO plateau. TPR flatlining. Hit by LTRO.
- #7 Absolute volumes reported by main vendors. TPR stalled (schedules pulled and revised), then hit by crisis (high market beta) but then recovers until crisis abates. ATS boosted by first phase of crisis and recently (Italians).
- #9 Domestic on downtrend but slowed by crisis. Hit by LTRO. Anonynous on uptrend. Boosted by crisis. Cross-border set back by crisis,
- #10 Domestic on downtrend but slowed by crisis. Hit by LTRO. Anonynous on uptrend. Boosted by crisis. Cross-border set back by crisis,
- #13 EUR on downtrend. Recent recovery largely post-LTRO. USD boosted by crisis (it started as a USD crisis). GBP… Other is largely JPY.
- #18 Immediate post-Lehman reaction.