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Richard Comotto
38th European repo market survey conducted in December 2019
Headline numbers: ICMA & FRBNY surveys
38th European repo market survey conducted in December 2019
0
1,000
2,000
3,000
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9,000
Jun
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EU
R b
illio
nEUR 8,310 bn (7,761)
ICMA survey
USD 4,784 bn (4,472)
Primary Dealers
Trading Analysis
38th European repo market survey conducted in December 2019
0%
10%
20%
30%
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70%
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direct = 52.5% (53.6%)
ATS = 28.9% (30.3%)
voice-broker = 9.9% (8.1%)
tri-party = 8.7% (8.0%)
Geographical Analysis
38th European repo market survey conducted in December 2019
0%
10%
20%
30%
40%
50%
60%
70%
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domestic = 26.3% (25.5%)
X-border = 52.6% (52.2%)
anonymous = 21.1% (22.3%)
Geographical Analysis
38th European repo market survey conducted in December 2019
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
Dec
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X-border out of EUR
= 38.2% (35.3%)
X-border to EUR
= 14.4% (16.9%)
Currency Analysis
38th European repo market survey conducted in December 2019
EUR53.6%(62.0%)
GBP13.6%(13.3%)
USD18.9%(17.0%)
JPY5.4%(4.5%)
other8.5%(3.1%)
Currency Analysis
38th European repo market survey conducted in December 2019
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
90.0%
Dec
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EUR (53.6%)
GBP (13.6%)
USD (18.9%)other (13.9%)
Collateral Analysis --- Core Eurozone
38th European repo market survey conducted in December 2019
0%
5%
10%
15%
20%
25%
30%
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40%
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De
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c-1
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c-1
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De
c-1
9
NL = 1.2% (1.9%)
DE = 13.5% (16.4%)
FR = 12.9% (14.0%)
BE = 3.1% (3.5%)
Collateral Analysis --- Peripheral Eurozone
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
De
c-0
1
De
c-0
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De
c-0
3
De
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De
c-0
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De
c-0
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De
c-0
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Dec-0
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De
c-0
9
De
c-1
0
De
c-1
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De
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IT = 14.1 % (14.8%)
ES = 5.8% (5.2%)
GR = 0.4%IE = 0.6%PT = 0.7%
38th European repo market survey conducted in December 2019
Collateral Analysis --- non-EU collateral
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
De
c-1
5
Ju
n-1
6
De
c-1
6
Ju
n-1
7
De
c-1
7
Ju
n-1
8
De
c-1
8
Jun-1
9
De
c-1
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UST = 8.8% (6.4%)
JGB = 5.1% (3.6%)
38th European repo market survey conducted in December 2019
Collateral Analysis
38th European repo market survey conducted in December 2019
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Dec-0
1Ju
n-0
2D
ec-0
2Ju
n-0
3D
ec-0
3Ju
n-0
4D
ec-0
4Ju
n-0
5D
ec-0
5Ju
n-0
6D
ec-0
6Ju
n-0
7D
ec-0
7Ju
n-0
8D
ec-0
8Ju
n-0
9D
ec-0
9Ju
n-1
0D
ec-1
0Ju
n-1
1D
ec-1
1Ju
n-1
2D
ec-1
2Ju
n-1
3D
ec-1
3Ju
n-1
4D
ec-1
4Ju
n-1
5D
ec-1
5Ju
n-1
6D
ec-1
6Ju
n-1
7D
ec-1
7Ju
n-1
8D
ec-1
8Ju
n-1
9D
ec-1
9
EU govis = 89.6% (89.9%)
Maturity Analysis
38th European repo market survey conducted in December 2019
9.6%(6.6%)
16.9%(17.1%)
17.3%(18.4%)
16.8%(18.0%)
13.3%(11.1%)
4.7%(4.6%)
5.1%(3.2%)
3.4%(2.5%)
12.9%(18.5%)
0%
5%
10%
15%
20%
25%
short dates = 50.4% (53.5%)
Maturity Analysis
38th European repo market survey conducted in December 2019
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
ON + open < 30D > = 30D fd
repo
reverse repo
Maturity Analysis
38th European repo market survey conducted in December 2019
0
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160
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days max. WAM
min. WAM
Rate Analysis
38th European repo market survey conducted in December 2019
fixed
85.0% (79.0%)
floating
9.0%(14.1%)
open
6.0%(6.9%)
Richard Comotto
38th European repo market survey conducted in December 2019