Opening & Update on recent developments repo/reverse repo Not included in US Borrowers need to...
Transcript of Opening & Update on recent developments repo/reverse repo Not included in US Borrowers need to...
Opening & Update on recent developmentsGodfried De Vidts, Chairman of the ERC
European Repo CouncilGeneral Meeting
London9 September 2008
Recent market events/issues
Changes in the composition of the committee CESR MiFID Markets Sub-Group re non-equities
markets transparency Collateralisation – need to expand ECB / ERC consultations Optimalisation of liquidity Regulatory impact versus selfregulation
A new market organisationTr
adin
gCl
earin
gSe
ttlem
ent
LCH. Clearnet SA EuroCCP EMCFEurex
Euronext Deutsche BörseEquiduct Smartpool Turquoise Nasdaq OMX Chi-X
Single CCP ?
T2S
Short term Long term
Trading
Clearing
Settlement
CSD
T2 Cash
CCBM2
Cash
Collateral
T1 T2 T3 T4 T5
C1 C2 C3 C4 C5
ESES (Q4 08)
T2S
Recent market events/issues
ISIN code issue – EU Commission call for evidence
Repo product development
Eurepo
Educational efforts
Contacts
Thank you, Ladies and Gentlemen
Contacts and information:
http://www.icmagroup.org/about1/[email protected]
GMRA Issues–The past, the present & the future.
September 9, 2008
Lisa ClearyAssociate Counsel, ICMA, Zurich
The past..
Available opinionsOpinions orderedRequest from ERC committee to establish whether clean legal opinions can be obtainedMonitoring of legal developments
GMRA opinions - worldwide
Format of the combined opinion
Combined legal opinion seeking/updating exercise 2008
Core opinionrelating to
GMRA/GMSLA/GESLA/OSLA
Appendix 2relating to GMSLA/
GESLA/OSLAAppendix 1relating to GMRA
Appendix 1relating to GMRA
Core opinionrelating to
GMRA/GMSLA/GESLA/OSLA
Appendix 2relating to GMSLA/
GESLA/OSLA
Core opinionrelating to
GMRA/GMSLA/GESLA/OSLA
+ =
+ = GMSLA/GESLA/OSLAopinion
Available on subscription
GMRA opinionAvailable free of charge to
ICMA/SIFMA members
The present..
Funding & availability of combined opinions
68 GMRA opinions 39 opinions funded by ICMA alone 29 joint opinions funded by ICMA and SIFMA
such opinions provided free of charge to members.
GMSLA/GESLA/OSLA opinions funded by the SLRC subscriber group with access
via subscription.
Result of the combined legal opinion seeking/updating exercise 2008
Result of the combined legal opinion seeking/updating exercise 2008
ICMA/SIFMA/SLRC ICMA/SLRC ICMA/SIFMA ICMA
1 Abu Dhabi √2 Ajman √3 Anguilla √4 Australia √5 Austria* √6 Bahamas √7 Bahrain* √8 Barbados √9 Belgium* √10 Bermuda √11 Brazil √12 British Virgin Islands* √13 Canada* √14 Caymans Islands* √15 Croatia* √16 Cyprus √17 Czech Republic √18 Denmark* √19 Dubai √20 England* √21 Estonia √22 Finland* √23 France* √24 Fujairah √25 Germany* √26 Greece* √27 Guernsey √28 Hong Kong √29 Hungary √30 Iceland* √31 India* √32 Indonesia √33 Ireland* √ √34 Israel*35 Italy √36 Japan √37 Jersey √
No. Jurisdiction Combined (GMRA/GMSLA/GESLA/OSLA) opinions
obtained by
GMRA only opinions obtained by
Result of the combined legal opinion seeking/updating exercise 2008
ICMA/SIFMA/SLRC ICMA/SLRC ICMA/SIFMA ICMA
38 Kuwait √39 Latvia √40 Lithuania √41 Luxembourg* √42 Malta √43 Mexico √44 Netherlands* √45 Netherlands Antilles √46 New Zealand √47 Norway √48 Philippines √49 Poland √50 Portugal* √51 People’s Republic of China √52 Ras Al Khaimah √53 Saudia Arabia √54 Scotland* √55 Sharjah √56 Singapore √57 Slovakia √58 Slovenia √59 South Africa √60 South Korea √61 Spain* √62 Sweden* √63 Switzerland* √64 Taiwan √65 Thailand* √66 Turkey √67 Umm Al Quwain √68 USA* √
No. Jurisdiction Combined (GMRA/GMSLA/GESLA/OSLA) opinions
obtained by
GMRA only opinions obtained by
Result of the combined legal opinion seeking/updating exercise 2008
Extended counterparty coverage
* Opinions extended to cover insurance companies, hedge funds and mutual funds as parties to the GMRA (USA opinion does not cover insurance companies)
Feedback on the GMRA
Liaison with lawyers of ERC member banks regarding the way the GMRA had worked over the past 18 months – taking into account recent market turmoil.
Had the GMRA been robust enough or was an urgent update of the agreement was needed?
Based on the lawyers’ feedback, the conclusions were that the GMRA was indeed very robust and had not shown deficiencies.
The lawyers consulted felt that a positive point was the slimness of the GMRA and the product-specificity of the agreement.
There was still room for improvement, notably in the case of events of default. However the consensus that emerged was that there was no need for urgent changes to the GMRA.
The future..
2009 opinions exercise is about to commence.
Review of combined opinions – Freshfields Timing – Combined opinions to be
updated by March 31, 2009. Management of combined opinion
updating exercise – ICMA.
Combined legal opinion seeking/updating exercise 2009
The proposed hybrid funding model
ICMA and SIFMA to prepare a proposal for a new model (a hybrid model) for the funding of the legal opinions.
The proposed hybrid model would consist of the following two distinct elements:
the current model administered by ICMA where joint opinions on the GMRA would continue to be obtained, annually updated and made available free of charge to ICMA and SIFMA members; and
the subscription part where tailored opinions (either opinions for new jurisdictions or extensions of existing opinions to cater for particular types of counterparty) would be obtained at the request of member firms on a cost-share basis.
The proposed hybrid funding model
ICMA and SIFMA will prepare a joint proposal for review by the ERC committee on the basis of guidance provided by the committee, the key elements of which are:
no cap on existing body of industry-wide opinions;
subscription opinions available to subscribers only;
ERC would determine which subscription opinions are added to the body of industry opinions annually, subject to ability of the Associations to finance that expansion from membership dues; and
subscription opinions that are included within the body of industry opinions to be funded by those associations who wish to fund them.
GMRA opinions
GMRA opinions available on ICMA’s website at: https://www.icmagroup.org/market_practice/legal1/GMRA_Legal_opinions.html
(Key the same as for slide 3).
September 2008 European Repo Council
Agent Lender Disclosure update
David RuleChief Executive
0207 743 9314
September 2008 European Repo Council
FSA paper: December 2007
Background of Basel 2 implementation By Jan 2010, borrowers must receive underlying principal exposures
from agent lenders at latest business day following settlement date ISLA model welcomed by FSA
ALD
September 2008 European Repo Council
European ALD model: process and timetable
ALD working group; borrowers (Cater Allen, Credit Suisse, Deutsche, Fortis, Goldman, Lehman, Merrill, Morgan Stanley, Nomura, RBS, UBS); lenders (AIG, BGI, BNP Paribas, Citibank, Dresdner, HSBC, JP Morgan, M&G/Prudential, Northern and State Street).
Eric Lepore (Deutsche) from European Repo Committee ICMA also represented (Nathalie Aubry) and financial contribution Public consultation: May-June 2008 Final model published: July 2008 (available at www.isla.co.uk) Implementation by Jan 2010
ALD
September 2008 European Repo Council
Recommended ALD model
Replicates US model Standardised file formats for adding/deleting new underlying
principals (credit process) Standardised file formats for reporting loan and collateral
allocation between underlying principals Use of DTCC codes to identify underlying principals Use of DTCC hub for sending files Same timing for dispatch of daily files (9am CET on
settlement day plus one)
ALD
September 2008 European Repo Council
Recommended ALD model
Triparty and DBV collateral reporting Not an issue in US because predominantly cash collateral 2 models
Model 1: Agent lenders report collateral breakdown (by ISIN) to borrowers by underlying principal using input from triparty agents/Crest
Model 2: Agent lenders report exposure values collateralised by triparty/DBV type to borrowers by underlying principal; borrowers obtain collateral breakdown (by ISIN) from triparty agent/Crest
Decision: allow either based on bilateral agreement
ALD
September 2008 European Repo Council
Recommended ALD model
Agency repo/reverse repo Not included in US Borrowers need to calculate Basel 2 capital Recommend that repo reporting included (ie bond borrow under
GMRA) Reverse repo (eg cash reinvestment vs triparty collateral)
reporting optional by bilateral agreement Need repo dealers to take the initiative with agent lenders/asset
managers in US and Europe in order to go further
ALD
CONFIDENTIAL
Produced by: Name Surname Date: 03.11.2005 Slide 1CREDIT SUISSE LEGAL NAME
European Repo Council Meeting
ERC Operations Group update
9 September 2008Roger Moran
The materials may not be used or relied upon in any way.
CONFIDENTIAL
CREDIT SUISSE SECURITIES (EUROPE) LTD
Roger Moran Slide 2CREDIT SUISSE SECURITIES (EUROPE) LTD
Agenda
Latest updates
Current focus
Contacts
Roger Moran Slide 3CREDIT SUISSE SECURITIES (EUROPE) LTD
Latest updates
Target 2 Securities: Fixed Income financing processing
Recommendation - ERC favours a solution whereby a repo is instructed to the I(CSD) as two separate messages (one with the opening leg and the other the closing leg of the repo)
Key considerations for approach - messaging / system complexity, take-up within breadth of user community / service providers, implementation costs….
Current status - T2S will accept repos instructed in both a single instruction or as two separate instructions; see T2S user requirements annexe 19
Roger Moran Slide 4CREDIT SUISSE SECURITIES (EUROPE) LTD
Latest updates
Euroclear Business Model Implementation: Securities Financing
The subject - does the Euroclear single platform develop two bilateral securities financing mechanisms?
Recommendation - ERC favours an approach of reduced complexity and cross border standardisation
Current status - ERC supports Euroclear's decision to limit scope to only one bilateral repo mechanism; see Euroclear service description edition2 dd. 30th June '08
Roger Moran Slide 5CREDIT SUISSE SECURITIES (EUROPE) LTD
Latest updates
Other reviews include….
Eonia calculation convention within Italian market Use of Trade Date as matching field within Clearstream Frankfurt ICSD Triparty interoperability
Roger Moran Slide 6CREDIT SUISSE SECURITIES (EUROPE) LTD
Current focus
Euroclear Business Model Implementation: consultation paper on domesticcollateral management
The subject - the review of Euroclear's harmonisation proposals
Current status - ongoing: consideration needs to be given with regard to the development of a single 'domestic +' CSD offering or dual CSD offering (domestic / domestic+) solution
Roger Moran Slide 7CREDIT SUISSE SECURITIES (EUROPE) LTD
Further information
Contacts:
CCBM2 – Credit Claims”
Month 2008ERC MeetingLondon 9th September 2008Godfried De VidtsDirector of European Affairs
Definition of Collateral & Liquidity Management
Collateral & Liquidity Management is defined as the optimal management of credit, collateral, capital and all related execution, pricing, operational, documentation and risk management of a portfolio across all products, all business units and all locations.
or
Different types of collateral to be used by all counterparties covered by the Eurosystem – credit claims in CCBM2
Credit claims in CCBM2
• CCBM – what is it?• Credit claims into the single list• Start Jan 2007• T2S and CCMB2 – upgrading the Eurosystem backoffice
will benefit the markets• Harmonisation of national procedures/conditions• Abolishment of repatriation of securities• Creation of a secondary market for credit claims
CCBM2 & Triparty
Guiding principles for the central bank initiative
- Centralised IT platform- Compatibility with Target 2 and T2S- Domestic & x-border use of collateral- Handling of all eligible collateral- Real time STP- Use of all eligible SSSs and links
CCBM2 & Triparty
Additional issues from market consultations are
- Wider scope, not exclusively Eurosystem- Pooling of collateral intra-group- Integration of existing market solutions (3 party)- Non-euro collateral- Removal of repatriation requirement
The shared NBB/DNB collateral management system will serve as a base for the development of CCBM2
Legal framework for credit claims
• Revision of Directive 2002/47/EC on financial collateral arrangements
• Need to reflect properly the use of credit claims in today’s markets
• Eligibility of credit claims for both central bank and interbank transactions
• French presidency will submit to EP before end 08• Response to my letter to Mc Creevy: we take note of
your concerns, let continue our discussions
Industry discussion on practical issues
• Creation of a data base by the industry• Identification of central bank database – one official
agent irrespective of issuer’s country of residence or place of deposit and at costs only – let us NOT repeat mistakes of the past
• Standardised electronic messages• Standardised legal documentation – GMRA• Quality check• Automated trade matching & reconciliation
Contact details
European Repo Council update on Securities Lending and Repo Committee (SLRC) activities
Tony BaldwinSeptember 2008
Background
Bank of England chairs a number of market committees•Sterling Money Markets Liaison Group (MMLG)•Foreign Exchange Joint Standing Committee •Securities Lending and Repo Committee (SLRC)
SLRCFormed in 1990 under name of Stock Borrowing and Lending Committee (SBLC). 2 name changes since lead to current title of the Securities Lending and Repo Committee.
Meeting quarterly
Participants of SLRCInternational repo and securities lending practitioners Representatives of trade organizationsLondon Stock ExchangeUK Debt Management OfficeFinancial Services Authority
Background
Purpose
•Provide a forum in which structural developments in the securities lending and repo markets can be discussed, and recommendations made, by practitioners, infrastructure providers and the authorities.•Co-ordinate the development of
–Securities Borrowing and Lending Code of Guidance–Gilt Repo Code of Guidance
•Review the need for other market guidance relevant to the repo or securities lending markets•Update the Gilts Annex to the Global Master Repurchase Agreement (GMRA)•Liaise with similar market bodies and trade organizations covering the repo and securities markets and other financial markets, both in London and other financial centers•Keep under review the arrangements for obtaining legal opinions on netting in the repo and sec lending agreements
Guidance
SLRC has been responsible for a number of codes of guidance
•Securities Borrowing and Lending Code of Guidance
•Gilt Repo Code of Guidance
•Gilt Annex to the GMRA
Endorsed in June 2005Securities Lending and Corporate Governance
Together with ACT, BBA, LIBA, LSE the SLRC sponsored an Introduction to Securities Lending
Recent discussions/developments
End of day closure in a contingency situation (non-standard CREST closure)
Australian Beconwood vs ANZ case
Review of GMSLA
Publication of the Gilt Repo code of Guidance
Regulatory developments
Term DBV
LCH.Clearnet sterling GC and €GC service
Legal opinions for repo and securities lending agreements and potential harmonization
Website link
SLRC website http://www.bankofengland.co.uk/markets/gilts/slrc.htm
UK Gilt Repo Code: Update and benefits to the UK market
Progress report by John Rippon, Bank of England.
Introduction• The Code is a market code, not a regulatory or
a Bank of England Code• It is a summary of the market's view of
good practice above and beyond regulatory requirements
• It applies to the gilt repo market but its principles can be seen as also applicable to other repo markets
• It is geared to the needs of a professional market
Scope of the Code• General standards: eg training of staff, fair treatment of clients,
confidentiality, avoiding market distortions • Systems and controls, clear timely records, timely valuations,
adequate documentation, tax and manufactured dividends• Eligible counterparties, agents, name passing brokers , central
counterparties / clearing houses. • Legal agreement • Margin• Custody • Default and close-out• Confirmations• The Code also includes some paragraphs on regulation, an
extensive Glossary of Terms, an annex on gilt market conventions and examples of gilt market calculations
The FSA• The Code is not 'recognised' by the FSA , in terms of the
FSA's new procedures for recognising industry guidance • But the FSA was able to contribute to the updating of the
Code• The principles in the Code are consistent with the FSA's
requirements but go beyond what a regulator would require, ie go above the FSA's minimum standards
SLRC and MMLG• The Code is produced under the auspices of the
Securities Lending and Repo Committee and the Money Markets Liaison Group
• Both are market committees chaired by the Bank of England
• Both committees' roles are recognised in the Tripartite Memorandum of Understanding between HM Treasury , the Bank of England and the FSA
• Both committees are very well placed to offers views and guidance on the repo markets
• Each committee meets quarterly
SLRC• This committee comprises the main trade associations involved in
the UK and international repo and securities borrowing and lending markets , the infrastructure providers and the UK authorities
• It includes representatives of ICMA and the ERC• It provides a discussion forum on developments affecting these
markets• It co-ordinates the development of the Gilt Repo Code and
Securities Borrowing and Lending Code • It keeps under review other relevant guidance• It keeps under review the arrangements for getting legal opinions on
netting
MMLG• This group keeps under review issues concerning the
UK money markets and the supporting infrastructure • It is interested in the repo markets as part of the UK
money markets : so there are some common interests with the SLRC
• The Committee comprises senior practitioners from the main UK settlement banks (e.g. treasurers), other key UK money market participants, the main infrastructure providers and the UK authorities
Some history : pre-1995• There was no real gilt repo market in the UK until the late
1990s when the Bank introduced its reforms to its money market operations in which gilt repo was central
• Until then the market relied on the Stock Exchange Money Brokers ( SEMBs) and their stock and money lending arrangements
• And LSE and tax rules limited the growth of such a market
• So limited experience of repo in the UK
The introduction of the Code• The reforms of the Bank's operations meant liberalisation was
essential to allow an open gilt repo market • But the authorities were keen to avoid problems that had arisen
in other repo markets; eg Drysdale and Lombard Wall in the 1980s• The development of a Gilt Repo Code was seen a central means
of educating players about good practice and underpinning confidence in the market
• This was a key complement to the PSA/ ISMA legal agreement , a vital plank for a sound market
• The first version of the Code was issued in November 1995, just before the start of the repo market in January 1996
The start of the repo marketThe launch of the market was a success and the
original authors of the Code deserve some credit for this : it was commented :
'The original Code, together with the PSA/ISMA legal agreement and its gilt annex which form the ‘Gilt Repo Legal Agreement’, has undoubtedly played an important part in the safe and steady growth of the repo market for the first 2 ½ years. '
1998 UpdatingThe Code was updated by the SLRC in 1998 to reflect:
• Creation of the FSA • Upgrade of the CGO Service --- (now taken over by
Euroclear / CREST ) • Change in daycount conventions• More widespread use of substitution rights• Bilateral agreement on partial deliveries (the
presumption was against partialling in the original Code)
But the essence of the Code was unchanged
The debate on updating of the Code
• There was no further updating until 2008• This partly reflected a feeling that the Code was
essentially fine and had stood well the test of time• But some seemed to think that the lessons of the Code
were now so well embedded in market practice, and the market so mature, that perhaps the Code was now unnecessary
• And some noted that there was ERC market guidance so possibly the Code was not needed any more
• The Bank encouraged a debate amongst MMLG and SLRC members on the future of the Code
• The result was a consensus in favour of retaining and updating the Code
The 2008 update of the CodeThe May 2008 version of the Code was produced under the guidance
of the SLRC and MMLG and with the assistance of a working group representing a good cross section of market practitioners and infrastructure providers. The consensus was that the Code should retain its main structure and coverage ; and the main changes were essentially ones of housekeeping :
• Removing out of date material • Shortening • Updates on regulation and infrastructure changes (eg central
counterparties)Overall the Code had stood well the test of time
The Gilt Repo Code and the ICMA ERC Repo Guidelines
• The Code and the ERC Repo Guidelines can be seen as complementary
• There is some overlap, but not very much and no contradictions
• Market participants should have regard to both
Keeping the Code under review
• The Code will be kept under review by the SLRC and MMLG and updated as and when needed --a living document
• We want to avoid long gaps between updating reviews
• The Secretary to the SLRC is happy to receive suggestions from anyone on how the Code might be improved
Summary and Conclusion
• The Code since it was launched in 1995 has helped to underpin the orderly development of the gilt repo market , without major problems or scandals
• It performs a useful educational role for newcomers and the public • It helps to reinforce general standards • It helps to get a right balance between regulation and industry
guidance • It helps to maintain the reputation of the market • Through discussions in MMLG and SLRC the Code can be updated
to meet the needs of the market and its participants.
British Bankers’ Association
BBA LIBOR
John EwanDirector, BBA.
British Bankers’ Association
About the BBA
British Bankers’ Association
BBA LIBOR currencies
Australian Dollar (AUD)Canadian Dollar (CAD)Danish Krone (DKK)Euro (EUR)Japanese Yen (JPY)New Zealand Dollar (NZD)Sterling (GBP)Swedish Krona (SEK)Swiss Franc (CHF)US Dollar (USD)
British Bankers’ Association
How is it calculated?
•Use a trimmed mean.
•Calculated by our “Designated Distributor” under BBA supervision
British Bankers’ Association
Contributor panels
•Selected by the BBA’s FX&MM Advisory Panel
•At least 8 banks (in practice, 8 12 or 16)
•Broadly reflecting the balance of activity in the inter-bank deposit market
British Bankers’ Association
Selection of panel banks
Selected at an annual review on the basis of:
1. Scale of activity in the London market
2. Credit Rating
3. Perceived expertise in the currency concerned
British Bankers’ Association
Basis of contributions
“An individual BBA LIBOR panel bank will contribute the rate at which it could borrow funds, were it to do so by asking for and then accepting inter-bank offers in reasonable market size just prior to 1100.”
British Bankers’ Association
Basis of contributions II
An individual BBA LIBOR panel bank will contribute the rate at which it could borrow funds, were it to do so by asking for and then accepting inter-bank offers in reasonable market size just prior to 1100.
British Bankers’ Association
Basis of contributions III
An individual BBA LIBOR panel bank will contribute the rate at which it could borrow funds, were it to do so by asking for and then accepting inter-bank offers in reasonable market size just prior to 1100.
British Bankers’ Association
Basis of contributions IV
An individual BBA LIBOR panel bank will contribute the rate at which it could borrow funds, were it to do so by asking for and then accepting inter-bank offers in reasonable market size just prior to 1100.
British Bankers’ Association
Basis of contributions V
An individual BBA LIBOR panel bank will contribute the rate at which it could borrow funds, were it to do so by asking for and then accepting inter-bank offers in reasonable market size just prior to 1100.
British Bankers’ Association
The rate at which each bank submits must be formed from that bank’s perception of its cost of funds in the interbank market.
Contributions must represent rates formed in London and not elsewhere.
Contributions must be for the currency concerned, not the cost of producing one currency by borrowing in another currency and accessing the required currency via the foreign exchange markets.
The rates must be submitted by members of staff at a bank with primary responsibility for management of a bank’s cash, rather than a bank’s derivative book.
The definition of “funds” is: unsecured interbank cash or cash raised through primary issuance of interbank Certificates of Deposit.
British Bankers’ Association
Definition of contributions
•Rates shall be for deposits:>made in the London market >that are simple and unsecured>governed by the laws of England and Wales>where the parties are subject to the jurisdiction of the courts of England and Wales
British Bankers’ Association
Usage of BBA LIBOR
• Reference rate for derivatives
• It is a barometer for the money markets and is often used as a gauge of the
market’s expectation of future central bank interest rates
• Commercial loans
• Retail mortgage and loans
• Islamic Finance
British Bankers’ Association
EURIBOR Vs. EUR LIBOR
4.000
4.100
4.200
4.300
4.400
4.500
4.600
4.700
4.800
4.900
5.000
02/01
/08
02/02
/08
02/03
/08
02/04
/08
02/05
/08
02/06
/08
02/07
/08
02/08
/08
date
valu
e
1m Euribor
1m EUR LIBOR
3m Euribor
3m EUR LIBOR
British Bankers’ Association
USD LIBOR Vs. ICAP NYFR
2.40
2.45
2.50
2.55
2.60
2.65
2.70
2.75
2.80
2.85
11/06
/08
18/06
/08
25/06
/08
02/07
/08
09/07
/08
16/07
/08
23/07
/08
30/07
/08
06/08
/08
13/08
/08
20/08
/08
date
valu
e
1m USD LIBOR1M ICAP NYFR3m USD LIBOR3M ICAP NYFR
British Bankers’ Association
LIBOR Consultation
• we received 31 detailed written responses.
•Proposals discussed with all stakeholders.
•Public bodies and regulators involved at all stages of the consultation.
British Bankers’ Association
Questions asked in the Consultation
1. Should we create an additional and expanded second US Dollar fix?
2. Should we expand the current BBA LIBOR panels?
3. Should we tighten the definition of “reasonable market size”
4. Should we increase anonymity of contributions and/or contributors?
5. Market views on enhancements to governance and scrutiny procedures.
British Bankers’ Association
British Bankers’ Association
Pinners Hall105-108 Old Broad StreetLondon EC2N 1EX
Tel: 0207 216 8856
Website: www.bba.org.ukE-mail: [email protected]
Presentation to European Repo Council (ERC)Securitisation Markets Update
Bertrand HuetManaging Director, European Legal & Regulatory Counsel
9 September 2008
Table of ContentsPart I: State of the Securitisation Markets
Part II: Political Context
Part III: Summary of EU industry initiatives
Part IV: Summary of US industry initiatives
Part V: Update on SIFMA/ASF/ESF Joint WG to restore confidence in securitisation markets
Part IState of the Securitisation Markets
Securities Industry and Financial Markets Association4
Issuance
Q1 Q2 Q3 Q4 Total Total
2001 20.5 43.2 22.7 66.2 152.6 2,308.4
2002 24.3 42.6 35.7 55.1 157.7 2,592.7
2003 43.3 51.9 39.7 82.4 217.3 2,914.5
2004 55.8 59.0 53.2 75.5 243.5 1,956.6
2005 47.8 94.4 41.5 143.3 327.0 2,650.6
2006 69.0 114.3 112.8 184.9 481.0 2,455.8
2007 128.7 152.0 98.2 74.7 453.7 2,404.9
2008 40.0 169.4 209.4 739.9
European US
EU issuance down 69% for Q1 08 vs Q1 07; up 11% for Q2 08 vs Q2 07 and up 73% vs Q1 08, BUT91% for funding through central bank liquidity schemes
1H 08 US issuance down 53% on 1H 07.
€B
illio
ns
Securities Industry and Financial Markets Association5
Securitisation Markets Remain Anemic
Securitization markets remain anemicGlobal structured product issuances$ Billions
393765
592ABS
Mortgages
-56%
1,979
2,795
2005
438
2,067
3,270
2006
431
1,658
2,681
2007
69250
318
637
2008 YTD annualized
CDOs/CLOs
424
x% Compound annual growth rate
Securities Industry and Financial Markets Association6
Issuance by Collateral
European Issuance2007 2008:Q1 2008:Q2
ABS 57.8 10.1 12.7CDO 88.7 2.0 10.0CMBS 47.6 0.7 0.7RMBS 259.6 27.2 146.0Total 453.7 40 169.4
US Issuance2007 2008:Q1 2008:Q2
ABS 666.9 37.6 66CDO 252.5 4.6 6.2Agency MBS 984.5 236 365.8Non-Agency CMBS 168.1 3 6.6Non-Agency RMBS 332.9 4 10.1Total 2404.9 285.2 454.7
€B
illio
ns
RMBS 82% (1H 08) vs 57% (07)
CDO 20% (07) vs 5.7% (1H 08)
GSEs 41% (07) vs 81% (1H 08)
CDOs 10.5% (07) vs 1.5% (1H 08)
Securities Industry and Financial Markets Association7
Issuance by Rating
Europe United States
2007 2008 1H 2007 2008 1H
AAA 308.7 173 378.9 102.8
AA 17.2 5.9 34.3 1.9
A 57.9 4.1 170.0 7.1
BBB & Below 22.5 5.2 27.2 3.0
Not Rated 47.3 21.3 810.0 17.2
Agency MBS n/a n/a 984.5 601.8
Total 453.7 209.4 2404.9 733.9
83% 1H 08 new issues in Europe rated AAA (68% in 07)
96% 1H 08 US deals either AAA or issued by Fannie Mae & Freddie Mac (57% in 07)
Securities Industry and Financial Markets Association8
2008 Q2 EU & US Securitisation Outstandings by Country and Collateral Type
55% RMBS
70% with UK, Netherlands, Italy, Spain and Germany
Source: Bloomberg, ESFOther Europe: Belgium, Denmark, Greece, Hungary, Portugal, Russia, Sweden, Switzerland, Turkey, Ukraine
ABS CDO CMBS RMBS WBS TotalFrance 9.5 0.9 3.7 13.7 27.9Germany 31 14.2 18.1 6.5 0.1 69.9Ireland 0 3.3 1.8 28.1 33.2Italy 53.9 4.2 3.9 55 2.4 119.3Netherlands 2.7 10.4 8.1 137.1 158.3Spain 19.4 36.6 1.6 136.8 194.4UK 47.1 3.4 75.4 350.9 36.5 513.3Other Europe 11.3 9.6 0.4 58.1 0.1 79.5Multinational 8.9 190 28.5 3 0.7 231.1Total 183.8 272.6 141.5 789.2 39.8 1426.9
ABSAGENCY
MBS
NON-AGENCY
MBS TotalUS Total 1827.4 3853.3 841.3 6,503.90
€ Billions
Securities Industry and Financial Markets Association9
2008 Q2 Securitisation Outstanding by Moody’s Rating
EU US
Aaa/AAA 84.13% 73.69%
Aa/AA 5.75% 7.26%
A/A 4.82% 5.69%
Baa/BBB 3.63% 4.69%
Ba/BB 1.1% 2.13%
B/B 0.20% 2.71%
Caa/CCC 0.13% 1.56%
Ca/CC 0.12% 1.26%
C/C 0.13% 1.00%
Total 100.00% 100.00%
Securities Industry and Financial Markets Association10
European Term Securitisation Primary Distribution by Investor Type and Investor Location
RMBS CMBSConsumer
ABS Other
Bank 67.8% 63.3% 40.6% 59.5%
Insurance Co. 3.7% 4.0% 2.4% 1.8%
Money Mkt & Fund Mgr. 21.1% 21.9% 37.0% 27.1%
Hedge Fund 1.3% 5.3% 4.3% 7.8%
Other 6.1% 5.5% 15.7% 3.8%
Total 100.0% 100.0% 100.0% 100.0%
RMBS CMBSConsumer
ABS Other
Benelux 11.8% 7.4% 25.1% 25.1%
France 10.2% 3.2% 10.4% 15.2%
Germany 23.4% 14.5% 24.4% 17.9%
Ireland 5.5% 12.9% 5.8% 2.0%
Italy 5.2% 0.4% 2.4% 6.5%
Spain 1.3% 4.5% 3.6% 3.4%
UK 27.5% 52.9% 23.5% 24.7%
Others 15.1% 4.2% 4.8% 5.2%
Total 100.0% 100.0% 100.0% 100.0%
Investor Type
Investor Location
Securities Industry and Financial Markets Association11
Market participants expect products to recover at different speeds
Market participants expect products to recover at different speeds
Autos
Credit cards
Student loans
Public or listed prime RMBS
CMBS
144A/private or unlisted RMBS
Public or listed subprime (or Alt-A) RMBS
CLOs
Cash CDOs
Synthetic CDOs
CDOs of ABS
ProductEarly/ mid-2009
End of 2009
Already returning/2008 2010
Beyond 2010
Part IIPolitical Context
Securities Industry and Financial Markets Association13
Main Public Sector Initiatives
Transparency & Disclosure
Valuation standards & Accounting
Prudential oversight/ Risk Management
Rating agencies /Market
functioning
Key Documents/Reports
GlobalG7 Communiqués
FSF Enhancing Market and Institutional Resilience (Apr08)
IOSCO/BCBS Report on the Subprime Crisis (May08); Principles for Sound Liquidity Risk Management and Supervision (June 08)
EUECOFIN Oct.07 “Roadmap”; French Presidency
Report on Financial Crisis (Sept.08)EU Commission Accountable to ECOFIN; new legislation
(CRD; CRA)
Level 3 Committees CESR steps to strengthen market confidence (Apr08); CEBS advice to EC on Liquidity Risk Management (Jun08)
USPresident’s WG on Financial Markets
Policy Statement To Improve Future State of Financial Markets (Mar08)
Longer term impact of these initiatives. In the meantime, Fed/ECB/BoE roles key – But for how long?
Part IIISummary of EU industry initiatives to
improve transparency in the securitisation market
Securities Industry and Financial Markets Association15
• 4 October, 2007: ECOFIN Roadmap calling industry to “enhance transparency for investor, markets and regulators” by “mid-2008”
• 8 February, 2008: Trade associations commit to the EC to deliver a range of initiatives to improve transparency
Background
•June, 2008: “Ten Industry Initiatives to Increase Transparency in the Securitisation Market” delivered to the EC
2 initiatives directly respond to the ECOFIN Roadmap
Another 8 were industry-developed as proactive measures to help further improve transparency
Initiatives consistent with FSF’s and IOSCO’s recommendations
Securities Industry and Financial Markets Association16
Summary of the Ten Initiatives
1: Increasing Transparency in the Reporting of Securitisation Exposures under the Capital Requirements Directive Pillar 3(Association leads: EBF, LIBA, ESBG, EACB, EAPB)
Objective: promote sound, consistent and appropriately granular implementation of securitisation related CRD disclosure requirements
Output: Industry Good Practice Guidelines for Pillar 3 disclosures by banks
Next Steps: Draft Guidelines issued for stakeholder consultation from 30 June to 15 September 2008. To be finalised by 31 October 2008. Firms will be able to use them in developing their first Pillar 3 disclosures in early 2009.
Securities Industry and Financial Markets Association17
Summary of the Ten Initiatives
2: Organise Comprehensive, Frequent and Relevant Statistical Data: New Securitisation Data Report (Association leads: ESF, SIFMA, CMSA, ICMA)
Objective: provide further transparency to market participants and assist policymakers in their monitoring and assessing of trends in the securitisation market
Output: New Securitisation Data Report created. Provides for the 1st time in one place stats on EU and US term securitisation and ABCP market activity regarding issuance, balances outstanding, ratings changes, spreads and price changes on major European ABS asset classes, indices, as well as investor types and locations
Next Steps Will be produced each quarter, with monthly supplements on spread and price data and bi-annual surveys on investor distribution
Securities Industry and Financial Markets Association18
Summary of the Ten Initiatives
3: ABCP Issuer Disclosure Code of Conduct/Principles (Association Leads: ICMA, ESF)
Objective: Encourage consistent, relevant and regular reporting to investors in the ABCP market
Output: ABCP issuer disclosure code of conduct finalised
Next Steps: Starting winter 2008, ABCP issuers to periodically confirm through ICMA/ESF that ABCP issuers are complying with code of conduct
Securities Industry and Financial Markets Association19
Summary of the Ten Initiatives
4: Term Securitisation Issuer Transparency and Disclosure Principles (Association leads: ESF, SIFMA, CMSA)
Objective: Improve transparency and information flow in RMBS and ABS markets according to the needs of separate RMBS, CMBS, CDO, consumer ABS, insurance securitisation and other asset classes
Output: Developing ‘Issuer Transparency and Disclosure Principles’ for RMBS and CMBS first, then other asset classes
Next Steps: Expect to issue the principles for RMBS and CMBS by end of 2008, with implementation in 2009, pending technical review, other asset classes thereafter
Securities Industry and Financial Markets Association20
5: Opening Access to Transaction Information (Association leads: ESF, SIFMA, CMSA)
Objective: Promote open access upfront and ongoing on EEA-listed public term transactions, via removal of password protection on issuer websites, or making information available from an unrestricted source (eg data providers)
Output: To be achieved via Initiative 4, Issuer Transparency and Disclosure Principles
Next Steps: Expect to issue Principles for RMBS and CMBS by end of 2008, other asset classes thereafter; meanwhile, promoting the removal of password protection among members
Summary of the Ten Initiatives
Securities Industry and Financial Markets Association21
Summary of the Ten Initiatives
6: Development of Industry Data Portals (Association leads: ESF, SIFMA, CMSA)
Objective: Competitive environment for the provision of data should drive data vendors to develop ‘data portals’ whereby information can be centrally accessed through those sites at low or no cost
Output: In June, 2 data providers launched such portals, providing open access to over 1,000 EEA-listed securitisation prospectuses and investor reports
Next Steps: We are encouraging additional data providers to consider similar initiatives
Securities Industry and Financial Markets Association22
Summary of the Ten Initiatives
7: RMBS and CDO Issuer/Manager Directories on ESF Website(Association lead: ESF)
Objective: to help make information more broadly available and more easily accessible, centralise access to European originators, issues, and managers of securitised products
Output: ESF website now provides a centralised directory of known EU RMBS issuer and CDO manager links to various relevant sources of information
Next Steps: Actively consulting with members and the general public to build and improve the directory
Securities Industry and Financial Markets Association23
Summary of the Ten Initiatives
8: Improve Standardisation and Digitisation of Reporting Templates and Granularity of Information (Associations Lead: ESF, SIFMA, CMSA)
Objective: Develop standardised issuance and surveillance formats so that comparable and granular information is provided to each CRA and investors
Output: ESF updating a standardised reporting format for EU RMBS transactions in concert with ASF in the US. CMSA has also developed and continues to refine a standardised reporting format for CMBS transactions
Next Steps: RMBS reporting formats expected to be finalised in 2008 and implemented in 2009. European implementation will be coordinated with US implementation
Securities Industry and Financial Markets Association24
Summary of the Ten Initiatives
9: Standardising Definitions (Associations Lead: ESF, SIFMA, CMSA)
Objective: Market participants need consistent product definitions. Eg, ‘subprime RMBS’ and ‘non-conforming RMBS’ have different meaning in US, UK and other countries. Challenge for non-conforming and subprime RMBS in Europe is that standardised consumer credit scores are not publicly available, as are FICO scores in the US
Output: Until a publicly-usable consumer credit scoring framework is developed in Europe, industry drafted a comparative table as to the meanings of ‘non-conforming RMBS’ and ‘subprime RMBS’
Next Steps: ESF/SIFMA interested in coordinating their efforts with the Expert Group on Credit Histories recently established by the EU Commission. Timing will depend on the progress of this group
Securities Industry and Financial Markets Association25
Summary of the Ten Initiatives
10: Developing Investor Credit Assessment and Valuations Principles(Association leads: ESF, SIFMA, CMSA)
Objective: Ensure investors have well articulated investment processes in place to independently assess the credit of a transaction, since in the past some relied too much on CRAs
Output: Developing investor credit assessment principles. Also discussing investor valuation principles, in particular for structured credit investors who are subject to mark to market rules
Next Steps: Draft principles expected summer 2008, implementation targeted year end 2008 or shortly thereafter
Securities Industry and Financial Markets Association26
More Information
A PDF copy of the Transparency Initiatives with all related documents, regulatory updates, and press coverage of this project is available at
www.europeansecuritisation.com
+44(0)207 743 9333
Part IVSummary of US industry initiatives to
improve transparency in the securitisation market
Securities Industry and Financial Markets Association28
US initiatives
Recommendation Effort underway Next steps
1. Minimum industry-wide market standards of due diligence disclosure and quality assurance practices for RMBS
»SIFMA US RMBS Pre-Securitisation Due Diligence Standards Working Group
»ASF Project RESTART
»Draft proposal for comment – Fall 2008
»Request for comment on due diligence procedures for information in the ASF RMBS Disclosure Package – late Fall 2008
2. Increase and enhance initial and on-going pool and loan-level data of non-agency RMBS into an easily accessible standard format
»ASF Project RESTART (initial draft ASF RMBS Disclosure Package published in July 2008)
»Revised request for comment on the ASF RMBS Disclosure Package – early Fall 2008
3. Strengthen and standardise the representations & warranties and repurchase procedures for RMBS
»ASF Project RESTART Repurchase Working Group
»Initial request for comment on uniform set of repurchase procedures – Fall 2008
4. Develop industry-standard norms for evaluating servicer performance and mechanisms for the transfer of servicing rights due to underperformance
»ASF Project RESTART »Request for comment on both servicer and performance metrics and a model set of servicing provisions – Winter 2008
Part VSIFMA/ASF/ESF Joint WG to restore confidence in securitisation markets
(Confidential Extract from Draft Report)
Securities Industry and Financial Markets Association30
Background
Composition
~ 30 members, joint investor and dealer membership at senior level, global
Designated by the PWG
Process
Identify and prioritise key issues to restart the market, based on over 100 in-depth interviews and over 400 detailed surveys of securitisation market players
Issue white paper, including practical, actionable and prioritised recommendations
McKinsey support
Structure
1. Most important root causes of the turmoil
2. Securitisation market outlook: investors, products, OTD model
3. Priority areas for industry action
4. Recommendations
Timing: October
Securities Industry and Financial Markets Association31
Priority Challenges to Restoring Confidence
Respondents see better disclosure, restored confidence in CRAs, and increased transparency as key to restoring confidenceAverage weight given by respondents allocating 100 points across 6 factors
9.3
13.0
16.6
19.7
20.6
20.9
Revisions to accounting rules and capital treatment
Better alignment of incentives between stakeholders across securitization value chain
Enhanced disclosure and standardization of information
Restored confidence in CRAs
Greater price transparency and/or valuation certainty
Better ability to evaluate,measure, and manage risk
Securities Industry and Financial Markets Association32
Priority Challenges to Restoring Confidence
Stakeholders view disclosure and valuation as most critical to restarting the marketRelative importance of factor to restoring confidence in the securitization markets in the near-termAverage relative rating received
3.21
3.18
3.17
3.07
4.21
4.11
4.03
3.99
3.86
3.74
3.65
3.60
3.60
3.59
3.55
3.48
3.28
Disclosure of information on underlying assets
Confidence in data and assumptions informing valuation methodologies
Confidence in valuation methodologies for individual securities
Disclosure of collateral underwriting and origination practices
Aligning incentives at the originator level
Standardization and simplification of documentation
Aligning incentives at the rating agency level
Public dissemination of actual trade prices for individual securities
Improved disclosure for exposure to securitized/structured product risks
Changes to mark-to-market accounting rules
Greater transparency regarding bid and ask spreads for reported trades
Aligning incentives at the dealer/arranger level
Revisions to rules for off-balance sheet treatment of securitization vehicles
Alignment of institutional and individual incentives within firms
Aligning incentives at the servicer level
Aligning incentives at the investor level
Revision to regulatory capital requirements for securitized products
Disclosure
Valuations/pricing
Incentives
Accounting/capital
Average rating on 1-5 scale3.60
ECB Liquidity Management in times of market turmoilof market turmoil
Paul Mercier
London, 09 September 2008p
Simplified Balance Sheet - Eurosystem
Assets Liabilities
Net foreign reserves Banknotes in circulation
Monetary policy (net credit provided to the banking sector)
Reserves requirements
Consolidated balance sheet of the Eurosystem
Normal Conditions - Maintenance period 11 July – 7 August 2007J y g
280 0
300.0
[EUR billions]
240.0
260.0
280.0
180 0
200.0
220.0
140.0
160.0
180.0
100.0
120.0
11/07/07 14/07/07 17/07/07 20/07/07 23/07/07 26/07/07 29/07/07 01/08/07 04/08/07 07/08/07
Daily current accounts Reserve requirements
The turmoil - Maintenance period 8 August 2 – 11 September 2007
300.0
[EUR billions]
240.0
260.0
280.0
180 0
200.0
220.0
140.0
160.0
180.0
100.0
120.0
08/08/07 11/08/07 14/08/07 17/08/07 20/08/07 23/08/07 26/08/07 29/08/07 01/09/07 04/09/07 07/09/07 10/09/07
Daily current accounts Reserve requirements
Maintenance period 11 July - 7 August 2007
Daily reserve surplus/deficit (left-hand scale) Average daily reserve surplus (left-hand scale) EONIA (right-hand scale)
80.0
100.0
120.0
4 60
4.80
5.00
MRO with benchmark +1.0 bn
MRO with benchmark +1.0 bn
MRO with benchmark +1.0 bn
MRO with benchmark +1.0 bn
regular LTRO of 50 bn
0.0
20.0
40.0
60.0
billi
ons
4.00
4.20
4.40
4.60
%
-80.0
-60.0
-40.0
-20.0EUR
b
3.40
3.60
3.80
-120.0
-100.0
11 J
ul 0
7
12 J
ul 0
7
13 J
ul 0
7
14 J
ul 0
7
15 J
ul 0
7
16 J
ul 0
7
17 J
ul 0
7
18 J
ul 0
7
19 J
ul 0
7
20 J
ul 0
7
21 J
ul 0
7
22 J
ul 0
7
23 J
ul 0
7
24 J
ul 0
7
25 J
ul 0
7
26 J
ul 0
7
27 J
ul 0
7
28 J
ul 0
7
29 J
ul 0
7
30 J
ul 0
7
31 J
ul 0
7
01 A
ug 0
7
02 A
ug 0
7
03 A
ug 0
7
04 A
ug 0
7
05 A
ug 0
7
06 A
ug 0
7
07 A
ug 0
7
3.00
3.20
Maintenance period 8 August - 11 September 2007
Daily reserve surplus/deficit (left-hand scale) Average daily reserve surplus (left-hand scale) EONIA (right-hand scale)
FTO of MRO with MRO with MRO with supplementary
60 0
80.0
100.0
4 60
4.80
5.00
FTO of 94.8 bnFTO of 61.1 bn
FTO of -60.0 bn
FTO of 42.2 bnbenchmark +5.0 bnMRO with
benchmark +73.5 bn
MRO with benchmark +46.0 bn
benchmark +14.5 bn
pp yLTRO of 40.0 bn
regular LTRO
MRO with benchmark +1.0 bn
0.0
20.0
40.0
60.0
billi
ons
4.00
4.20
4.40
4.60
%
gof 50.0 bn
-60.0
-40.0
-20.0EUR
3.40
3.60
3.80
FTO of 47.7 bn
FTO of 7.7 bn
-100.0
-80.0
08 A
ug 0
709
Aug
07
10 A
ug 0
711
Aug
07
12 A
ug 0
713
Aug
07
14 A
ug 0
715
Aug
07
16 A
ug 0
717
Aug
07
18 A
ug 0
719
Aug
07
20 A
ug 0
721
Aug
07
22 A
ug 0
723
Aug
07
24 A
ug 0
725
Aug
07
26 A
ug 0
727
Aug
07
28 A
ug 0
729
Aug
07
30 A
ug 0
731
Aug
07
01 S
ep 0
702
Sep
07
03 S
ep 0
704
Sep
07
05 S
ep 0
706
Sep
07
07 S
ep 0
708
Sep
07
09 S
ep 0
710
Sep
07
11 S
ep 0
7
3.00
3.20
Maintenance period 12 September – 9 October 2007
Daily reserve surplus/deficit (left-hand scale) Average daily reserve surplus (left-hand scale) EONIA (right-hand scale)
MRO with MRO with MRO with MRO with FTO of
60.0
80.0
100.0
4.60
4.80
5.00
benchmark +10.0 bnsupplementary LTRO of 75.0 bn
benchmark +36.0 bn
benchmark +33.0 bn
benchmark +7.5 bn
FTO of -24.5 bn
regular LTRO of 50.0 bn
0.0
20.0
40.0
R b
illio
ns
4.00
4.20
4.40
%
-60.0
-40.0
-20.0EUR
3.40
3.60
3.80
-100.0
-80.0
12 S
ep 0
7
13 S
ep 0
7
14 S
ep 0
7
15 S
ep 0
7
16 S
ep 0
7
17 S
ep 0
7
18 S
ep 0
7
19 S
ep 0
7
20 S
ep 0
7
21 S
ep 0
7
22 S
ep 0
7
23 S
ep 0
7
24 S
ep 0
7
25 S
ep 0
7
26 S
ep 0
7
27 S
ep 0
7
28 S
ep 0
7
29 S
ep 0
7
30 S
ep 0
7
01 O
ct 0
7
02 O
ct 0
7
03 O
ct 0
7
04 O
ct 0
7
05 O
ct 0
7
06 O
ct 0
7
07 O
ct 0
7
08 O
ct 0
7
09 O
ct 0
7
3.00
3.20
Maintenance period 10 October – 13 November 2007
Daily reserve surplus/deficit (left-hand scale) Average daily reserve surplus (left-hand scale) EONIA (right-hand scale)
MRO with benchmark MRO with MRO with MRO with benchmark MRO ith FTO of
60.0
80.0
100.0
4.60
4.80
5.00
+40.0 bnFTO of -30 bn
MRO with benchmark +18.0 bn
MRO with benchmark +14.5 bn +9.5 bn MRO with
benchmark +3.5 bn
regular LTRO of 50.0 bn
-27.8 bn
0.0
20.0
40.0
bill
ions
4.00
4.20
4.40
%
-60.0
-40.0
-20.0EUR
3.40
3.60
3.80
-100.0
-80.0
10 O
ct 0
711
Oct
07
12 O
ct 0
713
Oct
07
14 O
ct 0
715
Oct
07
16 O
ct 0
717
Oct
07
18 O
ct 0
719
Oct
07
20 O
ct 0
721
Oct
07
22 O
ct 0
723
Oct
07
24 O
ct 0
725
Oct
07
26 O
ct 0
727
Oct
07
28 O
ct 0
729
Oct
07
30 O
ct 0
731
Oct
07
01 N
ov 0
702
Nov
07
03 N
ov 0
704
Nov
07
05 N
ov 0
706
Nov
07
07 N
ov 0
708
Nov
07
09 N
ov 0
710
Nov
07
11 N
ov 0
712
Nov
07
13 N
ov 0
7
3.00
3.20
Maintenance period 14 November – 11 December 2007
Daily reserve surplus/deficit (left-hand scale) Average daily reserve surplus (left-hand scale) EONIA (right-hand scale)
MRO with benchmark +20 0 bn
MRO with benchmarkregular LTRO of
supplementary LTRO of 60 0 bn
60.0
80.0
100.0
4.60
4.80
5.00
+20.0 bn
MRO with benchmark +18.5 bn
MRO with benchmark+30.0 bn
benchmark +10.0 bn
g50.0 bn
LTRO of 60.0 bnFTO of-8.0 bn
FTO of-21.0 bn
0.0
20.0
40.0
R bi
llion
s
4.00
4.20
4.40
%
-60.0
-40.0
-20.0EUR
3.40
3.60
3.80
-100.0
-80.0
14 N
ov 0
715
Nov
07
16 N
ov 0
7
17 N
ov 0
718
Nov
07
19 N
ov 0
7
20 N
ov 0
721
Nov
07
22 N
ov 0
7
23 N
ov 0
724
Nov
07
25 N
ov 0
7
26 N
ov 0
727
Nov
07
28 N
ov 0
729
Nov
07
30 N
ov 0
701
Dec
07
02 D
ec 0
7
03 D
ec 0
704
Dec
07
05 D
ec 0
7
06 D
ec 0
707
Dec
07
08 D
ec 0
7
09 D
ec 0
710
Dec
07
11 D
ec 0
7
3.00
3.20
Maintenance period 12 December 2007 – 15 January 2008
Daily reserve surplus/deficit (left-hand scale) Average daily reserve surplus (left-hand scale) EONIA (right-hand scale)MRO with benchmark 2-weeks MRO with
MRO of 20 0 bn MRO ith
60.0
80.0
100.0
4.60
4.80
5.00
+35.0 bn benchmark +168.1 bn MRO of 20.0 bn MRO with benchmark +35.0 bnsupplementary LTRO
of 60.0 bn
FTO of
regular LTRO of 48.5 bn
MRO with benchmark +4.0 bn
0.0
20.0
40.0
billi
ons
4.00
4.20
4.40
%
FTO of-200.0 bn
-60.0
-40.0
-20.0
EUR
3.40
3.60
3.80
FTO of-36.6 bn
FTO of-145.6 bn
FTO of
FTO of-141.6 bn FTO of
FTO of-168.6 bn
FTO of
-100.0
-80.0
12 D
ec 0
713
Dec
07
14 D
ec 0
715
Dec
07
16 D
ec 0
717
Dec
07
18 D
ec 0
719
Dec
07
20 D
ec 0
721
Dec
07
22 D
ec 0
723
Dec
07
24 D
ec 0
725
Dec
07
26 D
ec 0
727
Dec
07
28 D
ec 0
729
Dec
07
30 D
ec 0
731
Dec
07
01 J
an 0
802
Jan
08
03 J
an 0
804
Jan
08
05 J
an 0
806
Jan
08
07 J
an 0
808
Jan
08
09 J
an 0
810
Jan
08
11 J
an 0
812
Jan
08
13 J
an 0
814
Jan
08
15 J
an 0
8
3.00
3.20
FTO of-133.6 bn FTO of
-150.0 bn
-150.0 bnFTO of -101.6 bn
-20.0 bn
1 1 1 1 1 1 1 1 2 2 2 2 2 2 2 2 2 2 3 3 0 0 0 0 0 0 0 0 0 1 1 1 1 1 1
Maintenance period 16 January - 12 February 2008
Daily reserve surplus/deficit (left-hand scale) Average daily reserve surplus (left-hand scale) EONIA (right-hand scale)
60.00
80.00
100.00
4.60
4.80
5.00
MRO with benchmark
MRO with benchmark +17.0 bn MRO with
benchmark +4.0 bn
MRO with benchmark +25.0 bn
0.00
20.00
40.00
UR b
illio
ns
4.00
4.20
4.40
%
+10.0 bn
-60.00
-40.00
-20.00EU
3.40
3.60
3.80
regular LTRO of 50 0 bn
FTO of-16.0 bn
-100.00
-80.00
16 J
an 0
8
17 J
an 0
8
18 J
an 0
8
19 J
an 0
8
20 J
an 0
8
21 J
an 0
8
22 J
an 0
8
23 J
an 0
8
24 J
an 0
8
25 J
an 0
8
26 J
an 0
8
27 J
an 0
8
28 J
an 0
8
29 J
an 0
8
30 J
an 0
8
31 J
an 0
8
01 F
eb 0
8
02 F
eb 0
8
03 F
eb 0
8
04 F
eb 0
8
05 F
eb 0
8
06 F
eb 0
8
07 F
eb 0
8
08 F
eb 0
8
09 F
eb 0
8
10 F
eb 0
8
11 F
eb 0
8
12 F
eb 0
8
3.00
3.20of 50.0 bn
Maintenance period 13 February - 11 March 2008
Daily reserve surplus/deficit (left-hand scale) Average daily reserve surplus (left-hand scale) EONIA (right-hand scale)
60
80
100
4.6
4.8
5
MRO with benchmark
MRO with benchmark +17.0 bn
MRO with benchmark +4.0 bn
MRO with benchmark +25.0 bn
FTO of+9.0 bn
supplementary LTRO of 60.0 bn
0
20
40
UR b
illio
ns
4
4.2
4.4
%
+10.0 bn
-60
-40
-20EU
3.4
3.6
3.8
regular LTRO of 50 0 bn
-100
-80
13 F
eb 0
8
14 F
eb 0
8
15 F
eb 0
8
16 F
eb 0
8
17 F
eb 0
8
18 F
eb 0
8
19 F
eb 0
8
20 F
eb 0
8
21 F
eb 0
8
22 F
eb 0
8
23 F
eb 0
8
24 F
eb 0
8
25 F
eb 0
8
26 F
eb 0
8
27 F
eb 0
8
28 F
eb 0
8
29 F
eb 0
8
01 M
ar 0
8
02 M
ar 0
8
03 M
ar 0
8
04 M
ar 0
8
05 M
ar 0
8
06 M
ar 0
8
07 M
ar 0
8
08 M
ar 0
8
09 M
ar 0
8
10 M
ar 0
8
11 M
ar 0
8
3
3.2of 50.0 bn
Maintenance period 12 March - 15 April 2008
Daily reserve surplus/deficit (left-hand scale) Average daily reserve surplus (left-hand scale) EONIA (right-hand scale)
80
100
4.8
5
MRO with benchmark +50 0 bn
MRO with benchmark +25.0 bn
MRO with benchmark +35.0 bn
MRO with benchmark +24.5 bn
MRO with benchmark +5.0 bn
0
20
40
60
llion
s
4
4.2
4.4
4.6
%
+50.0 bn
60
-40
-20
0
EUR
bi
3 4
3.6
3.8
4 %
regular LTRO of
FTO of
supplementary LTRO of 60.0 bn
supplementary FTO of
-100
-80
-60
Mar
08
Mar
08
Mar
08
Mar
08
Mar
08
Mar
08
Mar
08
Mar
08
Mar
08
Mar
08
Mar
08
Mar
08
Mar
08
Mar
08
Mar
08
Mar
08
Mar
08
Mar
08
Mar
08
Mar
08
Apr 0
8
Apr 0
8
Apr 0
8
Apr 0
8
Apr 0
8
Apr 0
8
Apr 0
8
Apr 0
8
Apr 0
8
Apr 0
8
Apr 0
8
Apr 0
8
Apr 0
8
Apr 0
8
Apr 0
8
3
3.2
3.4+15.0 bnFTO of+15.0 bn
6M LTRO of 25.0 -15.0 bn
12 M
13 M
14 M
15 M
16 M
17 M
18 M
19 M
20 M
21 M
22 M
23 M
24 M
25 M
26 M
27 M
28 M
29 M
30 M
31 M
01 A
02 A
03 A
04 A
05 A
06 A
07 A
08 A
09 A
10 A
11 A
12 A
13 A
14 A
15 A
Maintenance period 16 April - 13 May 2008
Daily reserve surplus/deficit (left-hand scale) Average daily reserve surplus (left-hand scale) EONIA (right-hand scale)
60.00
80.00
100.00
4.60
4.80
5.00MRO with benchmark +20.0 bn
MRO with benchmark +20.0 bn
MRO with benchmark +4.0 bn
MRO with benchmark +35.0 bn
0.00
20.00
40.00
UR
billi
ons
4.00
4.20
4.40
%
-60.00
-40.00
-20.00
EU
3.40
3.60
3.80
regular LTRO of 50.0 bn
FTO of-23.5 bn
-100.00
-80.00
16 A
pr 0
8
17 A
pr 0
8
18 A
pr 0
8
19 A
pr 0
8
20 A
pr 0
8
21 A
pr 0
8
22 A
pr 0
8
23 A
pr 0
8
24 A
pr 0
8
25 A
pr 0
8
26 A
pr 0
8
27 A
pr 0
8
28 A
pr 0
8
29 A
pr 0
8
30 A
pr 0
8
01 M
ay 0
8
02 M
ay 0
8
03 M
ay 0
8
04 M
ay 0
8
05 M
ay 0
8
06 M
ay 0
8
07 M
ay 0
8
08 M
ay 0
8
09 M
ay 0
8
10 M
ay 0
8
11 M
ay 0
8
12 M
ay 0
8
13 M
ay 0
8
3.00
3.20
Maintenance period 14 May - 10 June 2008
Daily reserve surplus/deficit (left-hand scale) Average daily reserve surplus (left-hand scale) EONIA (right-hand scale)
80.00
100.00
4.80
5.00MRO with benchmark +25.0 bn
MRO with benchmark +18.0 bn
MRO with benchmark +15.0 bn
MRO with benchmark +3.5 bn
0 00
20.00
40.00
60.00
billi
ons
4 00
4.20
4.40
4.60
%
-60.00
-40.00
-20.00
0.00
EU
R b
3.40
3.60
3.80
4.00 %
regular LTRO of 50.0 bn
FTO of
supplementary LTRO of 50.0 bn
-100.00
-80.00
14 M
ay 0
8
15 M
ay 0
8
16 M
ay 0
8
17 M
ay 0
8
18 M
ay 0
8
19 M
ay 0
8
20 M
ay 0
8
21 M
ay 0
8
22 M
ay 0
8
23 M
ay 0
8
24 M
ay 0
8
25 M
ay 0
8
26 M
ay 0
8
27 M
ay 0
8
28 M
ay 0
8
29 M
ay 0
8
30 M
ay 0
8
31 M
ay 0
8
01 J
un 0
8
02 J
un 0
8
03 J
un 0
8
04 J
un 0
8
05 J
un 0
8
06 J
un 0
8
07 J
un 0
8
08 J
un 0
8
09 J
un 0
8
10 J
un 0
8
3.00
3.20-14.0 bn
Maintenance period 11 June – 8 July 2008
Daily reserve surplus/deficit (left-hand scale) Average daily reserve surplus (left-hand scale) EONIA (right-hand scale)
80.00
100.00
4.80
5.00MRO with benchmark +20.0 bn
MRO with benchmark +20.0 bn
MRO with benchmark +35 0 bn
MRO with benchmark +3.0 bn
20.00
40.00
60.00
llion
s 4.20
4.40
4.60+35.0 bn 3.0 bn
-60.00
-40.00
-20.00
0.00
EU
R b
il
3.40
3.60
3.80
4.00 %
supplementary LTRO of 50.0 bn
regular LTROof 50 0 bn FTO f
-100.00
-80.00
11 J
un 0
8
12 J
un 0
8
13 J
un 0
8
14 J
un 0
8
15 J
un 0
8
16 J
un 0
8
17 J
un 0
8
18 J
un 0
8
19 J
un 0
8
20 J
un 0
8
21 J
un 0
8
22 J
un 0
8
23 J
un 0
8
24 J
un 0
8
25 J
un 0
8
26 J
un 0
8
27 J
un 0
8
28 J
un 0
8
29 J
un 0
8
30 J
un 0
8
01 J
ul 0
8
02 J
ul 0
8
03 J
ul 0
8
04 J
ul 0
8
05 J
ul 0
8
06 J
ul 0
8
07 J
ul 0
8
08 J
ul 0
8
3.00
3.20
O o 50 0 b of 50.0 bn FTO of-14.6 bn
1 1 1 1 1 1 1 1 1 2 2 2 2 2 2 2 2 2 2 3 0 0 0 0 0 0 0 0
Maintenance period 9 July – 12 August 2008
Daily reserve surplus/deficit (left-hand scale) Average daily reserve surplus (left-hand scale) EONIA (right-hand scale)
80.00
100.00
5.05
5.25MRO with benchmark +18.0 bn
MRO with benchmark +14.0 bn
MRO with benchmark +10.0 bn
MRO with benchmark +3.0 bn
MRO with benchmark +8.0 bn
20.00
40.00
60.00
llion
s 4.45
4.65
4.858.0 bn
-60.00
-40.00
-20.00
0.00
EU
R b
il
3.65
3.85
4.05
4.25 %
supplementary 6M LTRO of 25.0 bn
regular LTROof 50.0 bn
FTO f
-100.00
-80.00
09 J
ul 0
810
Jul
08
11 J
ul 0
812
Jul
08
13 J
ul 0
814
Jul
08
15 J
ul 0
816
Jul
08
17 J
ul 0
818
Jul
08
19 J
ul 0
820
Jul
08
21 J
ul 0
822
Jul
08
23 J
ul 0
824
Jul
08
25 J
ul 0
826
Jul
08
27 J
ul 0
828
Jul
08
29 J
ul 0
830
Jul
08
31 J
ul 0
801
Aug
08
02 A
ug 0
803
Aug
08
04 A
ug 0
805
Aug
08
06 A
ug 0
807
Aug
08
08 A
ug 0
809
Aug
08
10 A
ug 0
811
Aug
08
12 A
ug 0
8
3.25
3.45
FTO of-21.0 bn
0 2 2 2 2 2 2 2 2 2 2 3 3 0 0 0 0 0 0 0 0 0 1 1 1
Maintenance period 13 August - 9 September 2008
Daily reserve surplus/deficit (left-hand scale) Average daily reserve surplus (left-hand scale) EONIA (right-hand scale)
80.00
100.00
5.05
5.25MRO with benchmark +20.0 bn
MRO with benchmark +14.5 bn
MRO with benchmark 9 0 bn
MRO with benchmark +3.0 bn
20.00
40.00
60.00
llion
s 4.45
4.65
4.859.0 bn
-60.00
-40.00
-20.00
0.00
EU
R b
il
3.65
3.85
4.05
4.25 %
supplementary LTRO of 50.0 bn
regular LTROof 50.0 bn
-100.00
-80.00
13 A
ug 0
8
14 A
ug 0
8
15 A
ug 0
8
16 A
ug 0
8
17 A
ug 0
8
18 A
ug 0
8
19 A
ug 0
8
20 A
ug 0
8
21 A
ug 0
8
22 A
ug 0
8
23 A
ug 0
8
24 A
ug 0
8
25 A
ug 0
8
26 A
ug 0
8
27 A
ug 0
8
28 A
ug 0
8
29 A
ug 0
8
30 A
ug 0
8
31 A
ug 0
8
01 S
ep 0
8
02 S
ep 0
8
03 S
ep 0
8
04 S
ep 0
8
05 S
ep 0
8
06 S
ep 0
8
07 S
ep 0
8
08 S
ep 0
8
09 S
ep 0
8
3.25
3.45
1 1 1 1 1 1 1 2 2 2 2 2 2 2 2 2 2 3 3 0 02 03 04 05 06 07 08 09
The modified maturity pattern
600,000
500,000
6m LTRO 3m LTRO MRO
300,000
400,000
200,000
0
100,000
Jan-06 Apr-06 Jul-06 Nov-06 Feb-07 May-07 Sep-07 Dec-07 Mar-08 Jun-08
European Repo Council
15th European repo market surveyJune 2008
ERC General Meeting
London, 9th September 2008
European Repo Council 15th European repo market survey
Survey overview
Outstanding value of contracts at close on 11th June 2008
61 responses from 58 groups
Respondents headquartered in 13 European countries, US, Japan
European Repo Council 15th European repo market survey
Headline numbers
June 2008 EUR 6,504 billion December 2007 EUR 6,382 billion June 2007 EUR 6,775 billion December 2006 EUR 6,430 billion June 2006 EUR 6,019 billion December 2005 EUR 5,883 billion June 2005 EUR 5,319 billion December 2004 EUR 5,000 billion June 2004 EUR 4,561 billion December 2003 EUR 3,788 billion June 2003 EUR 4,050 billion December 2002 EUR 3,377 billion June 2002 EUR 3,305 billion December 2001 EUR 2,298 billion June 2001 EUR 1,863 billion
European Repo Council 15th European repo market survey
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
Jun
-01
De
c-0
1
Jun
-02
De
c-0
2
Jun
-03
De
c-0
3
Jun
-04
De
c-0
4
Jun
-05
De
c-0
5
Jun
-06
De
c-0
6
Jun
-07
De
c-0
7
Jun
-08
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
2001
H1
2001
H2
2002
H1
2002
H2
2003
H1
2003
H2
2004
H1
2004
H2
2005
H1
2005
H2
2006
H1
2006
H2
2007
H1
2007
H2
US
D b
illio
n
European Repo Council 15th European repo market survey
Source: FRBNY
US primary dealers
European Repo Council 15th European repo market survey
Organic growth
59 respondents in last 3 surveys year-on-year = -0.2% H1 = +2.5% H2 = -2.3%
European Repo Council 15th European repo market survey
repo 48.8%, reverse repo 51.2% repo books: 19 expand, 41 contract
European Repo Council 15th European repo market survey
Counterparty analysis
Direct44.4%
Triparty10.1%
Broker21.1%
ATS24.4%
European Repo Council 15th European repo market survey
Counterparty analysis
0%10%20%30%40%50%60%70%80%90%
100%
Dec-
01
Dec-
02
Dec-
03
Dec-
04
Dec-
05
Dec-
06
Dec-
07
ATSBrokerTripartyDirect
European Repo Council 15th European repo market survey
Geographical analysis
Domestic32.2%
Eurozone26.8%
Anonymous12.7%
Non-eurozone28.3%
European Repo Council 15th European repo market survey
Geographical analysis
0%10%20%30%40%50%60%70%80%90%
100%
Dec-
01
Dec-
02
Dec-
03
Dec-
04
Dec-
05
Dec-
06
Dec-
07
Anon.NoneuroEuroDomestic
European Repo Council 15th European repo market survey
ATS geographical analysis (1)
non-anonymous
ATS22.1%
anonymous ATS
77.9%
European Repo Council 15th European repo market survey
ATS geographical analysis (2)
extra EUR1.3%
cross EUR42.1%
domestic41.4%
intra EUR15.1%
European Repo Council 15th European repo market survey
Currency analysis
EUR66.6%
GBP14.5%
other6.2%USD
12.7%
European Repo Council 15th European repo market survey
Currency analysis
0%10%20%30%40%50%60%70%80%90%
100%
Dec-
01
Dec-
02
Dec-
03
Dec-
04
Dec-
05
Dec-
06
Dec-
07
otherUSDGBPEUR
European Repo Council 15th European repo market survey
Currency analysis
Main survey
EUR66.6%
GBP14.5%
other6.2%USD
12.7%
Triparty
EUR71.1%
GBP10.5%
other1.1%
USD17.3%
European Repo Council 15th European repo market survey
Currency analysis --- triparty repos
EUR39.8%
GBP10.7%
other4.8%
USD44.6% EUR
62.7%
GBP17.0%
other2.1%USD
18.2%
EUR71.2%
GBP10.5%
other1.0%USD
17.3%
June 2007 June 2008December 2007
European Repo Council 15th European repo market survey
Currency analysis
Main survey
EUR66.6%
GBP14.5%
other6.2%USD
12.7%
ATS
EUR84.9%
GBP7.5%
other1.0%
CHF6.6%
European Repo Council 15th European repo market survey
Collateral analysis
Japan2.1%
US3.0%
UK14.9%
IT12.4%
DE25.5%
etc12.9%
other EUR9.8%
BE3.5%
ES5.0%
FR10.9%
European Repo Council 15th European repo market survey
Collateral analysis
0%10%20%30%40%50%60%70%80%90%
100%
Dec-
01
Dec-
02
Dec-
03
Dec-
04
Dec-
05
Dec-
06
Dec-
07
otherother EUUKFRITDE
European Repo Council 15th European repo market survey
Collateral analysis
Main survey
DE25.5%
IT12.4%
UK14.9%
other EU20.1%
other16.2%
FR10.9%
Triparty
other EU33.4%
other21.0%
UK11.7%
DE17.1%
IT7.2%
FR9.7%
European Repo Council 15th European repo market survey
Collateral analysis --- triparty repos
June 2008
other EU33.4%
other21.0%
UK11.7%
DE17.1%
IT7.2%
FR9.7%
December 2007
other EU21.4%
other46.4%
UK9.1%
DE12.3% IT
3.4%FR
7.4%
June 2007
other EU18.4%
other51.8%
UK7.7%
DE11.7% IT
3.1%FR
7.3%
European Repo Council 15th European repo market survey
Collateral analysis
EU govis81.0%
other EU19.0%
European Repo Council 15th European repo market survey
Collateral analysis
50%55%60%65%70%75%80%85%90%95%
100%
Dec-
01
Dec-
02
Dec-
03
Dec-
04
Dec-
05
Dec-
06
Dec-
07
other EUEU govis
European Repo Council 15th European repo market survey
Collateral analysis
Main survey
EU govis81.0%
other EU19.0%
Triparty
EU govis33.7%
other EU66.3%
European Repo Council 15th European repo market survey
Collateral analysis --- triparty repo
December 2007
EU govis43.8%
other EU56.2%
June 2007
EU govis43.6%other EU
54.4%
June 2008
EU govis33.7%
other EU66.3%
European Repo Council 15th European repo market survey
Collateral analysis --- EU govis in triparty repos
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Jun-07 Dec-07 Jun-08
A12UKSwedenSpainPortugalNethsLuxItalyIrelandGreeceGermanyFranceFinlandDenmarkBelgiumAustria
European Repo Council 15th European repo market survey
Collateral analysis --- EU govis in triparty repos
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
Aus
tria
Bel
gium
Den
mar
k
Finl
and
Fran
ce
Ger
man
y
Gre
ece
Irela
nd Italy
Lux
Net
hs
Por
tuga
l
Spa
in
Sw
eden UK
A12
Jun-07Dec-07Jun-08
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Jun-07 Dec-07 Jun-08
A12UKSwedenSpainPortugalNethsLuxItalyIrelandGreeceGermanyFranceFinlandDenmarkBelgiumAustria
European Repo Council 15th European repo market survey
Collateral analysis --- non-govis in triparty repos
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
Aus
tria
Bel
gium
Den
mar
k
Finl
and
Fran
ce
Ger
man
y
Gre
ece
Irela
nd
Italy
Lux
Net
hs
Por
tuga
l
Spa
in
Sw
eden UK
A12
Jun-07Dec-07Jun-08
European Repo Council 15th European repo market survey
Collateral analysis --- non-govis in triparty repos
European Repo Council 15th European repo market survey
Collateral analysis --- triparty repo
December 2007
bonds 72.3%
equity 15.1%
unknown12.6%
June 2007
bonds 66.4%
equity 21.0%
unknown12.6%
June 2008
bonds96.9%
equity2.4%
unknown0.7%
European Repo Council 15th European repo market survey
Collateral analysis
Main survey
EU govis81.0%
other EU19.0%
voice-broker
govis46.6%other
53.4%
European Repo Council 15th European repo market survey
Maturity analysis
15.1%
18.7%
13.0%
6.9%8.4%
1.6%3.9% 4.9%
27.5%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
1D 1W 1M 3M 6M 12M
+12M
fd-fd
open
European Repo Council 15th European repo market survey
Maturity analysis
0%10%20%30%40%50%60%70%80%90%
100%
Dec-
01
Dec-
02
Dec-
03
Dec-
04
Dec-
05
Dec-
06
Dec-
07
openfdfd+6M6M3M1M1W1D
European Repo Council 15th European repo market survey
Maturity analysis
0%
5%
10%
15%
20%
25%
30%D
ec-
01
Dec-
02
Dec-
03
Dec-
04
Dec-
05
Dec-
06
Dec-
07
1D1W1M3M6M+6Mfdfdopen
European Repo Council 15th European repo market survey
Maturity analysis
0%
5%
10%
15%
20%
25%
30%
35%
1D 1W 1M 3M 6M +6M fd-fd open
maintriparty
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
1D 1W 1M 3M 6M +6M
Jun-07Dec-07Jun-08
European Repo Council 15th European repo market survey
Maturity analysis --- triparty repos
European Repo Council 15th European repo market survey
Maturity analysis
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
1D 1W 1M 3M 6M +6M fd-fd open
mainATS
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
1D 1W 1M 3M 6M +6M fd-fd open
Jun-07Dec-07Jun-08
European Repo Council 15th European repo market survey
Maturity analysis --- ATS
European Repo Council 15th European repo market survey
Maturity analysis
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
1D 1W 1M 3M 6M +6M fd-fd open
mainvoice broker
European Repo Council 15th European repo market survey
Maturity analysis
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
1D 1W 1M 3M 6M +6M fd-fd open
ATSvoice broker
European Repo Council 15th European repo market survey
Rate analysis
fixed84.8%
floating10.4%
open4.8%
European Repo Council 15th European repo market survey
Rate analysis
50%55%60%65%70%75%80%85%90%95%
100%
Dec-
01
Dec-
02
Dec-
03
Dec-
04
Dec-
05
Dec-
06
Dec-
07
openfloating ratefixed rate
European Repo Council 15th European repo market survey
Product analysis
repo78.3%
lending21.7%
European Repo Council 15th European repo market survey
Date of next survey
10th December 2008