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