A comparative analysis of the ICMA European Repo Survey and the ECB Money Market Data

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1 ECB Money Market Contact Group A comparative analysis of the ICMA European Repo Survey and the ECB Money Market Data Danielle Sindzingre, Société Générale Johan Evenepoel, Dexia Bank February 16th, 2006 Data sources: ECB Surveys, ICMA Surveys Clearstream Banking, Euroclear Bank

2 1. Survey methodology -2-

3 1. Survey methodology Total figure is broken down into : triparty repo bilateral repo Clearstream Banking and Euroclear Bank also use the ISMA snapshot methodology and focus on remaining maturity -3-

4 2. Respondents ECB: 2004/2005: 96 banks : 78 banks : 78 banks ISMA Jun 02: 86 Dec 02: 82 ( joined) Jun 03: 84 ( joined/rejoined previous) Dec 03: 76 ( joined/rejoined previous) Jun 04: 81 ( joined/rejoined previous) Dec 04: 76 ( joined/rejoined previous) Jun 05: 81 ( joined/rejoined previous) 2003: approx 5 of the ECB panel banks are member of the ISMA panel banks 2004: 68 % of the ECB panel banks are member of the ISMA panel banks 2005: 66 % of the ECB panel banks are member of the ICMA panel banks -4-

5 2. Respondents Concentration analysis Others Top Top Top ECB Jun-02 ECB Jun-03 ECB Jun-04 ECB Jun-05 ISMA Jun-02 ISMA Jun-03 ISMA Jun-04 ICMA Jun-05-5-

6 3. Currency analysis ISMA 2002 ISMA 2003 ISMA 2004 ICMA 2005 USD 8% GBP 1 SEK/DKK JPY 4% Others SEK/DKK USD GBP 9% 9% JPY 3% Others USD 1 GBP 1 SEK/DKK JPY 4% Others GBP 11,8% USD 11, SEK/DK K 2, JPY 3,4% Others 1,5% EUR 75% EUR 76% EUR 7 EUR 70, Triparty Clearstream Banking + Euroclear Bank 2004 Triparty Clearstream Banking + Euroclear Bank 2005 SEK/DKK JPY Other USD 23% Other USD 14% GBP 2 EUR 6 GBP 14% EUR 6-6-

7 4. Annual growth Annual growth 35, 33, 30, 25, 21, 20, 15, 15,8% 16, 16, 15, 13,8% 13, 10, 5, 0, ISMA Jun-01-Jun-02 (42 banks) ISMA Jun-02-Jun-03 (62 banks) ISMA Jun-03-Jun-04 (64 banks) ICMA Jun-04-Jun-05 (72 banks) ECB Jun-01-Jun-02 (42 banks) ECB Jun-02-Jun-03 (90 banks) ECB Jun-03-Jun-04 (94 banks) ECB Jun-04-Jun-05 (96 banks) -7-

8 5. Maturity analysis Overall comparison ECB / ISMA 60, 50, 40, 30, 20, 1 D 2-7 D 7 D - 1 M 1-3 M 3-6 M > 6 M FWD - FWD 10, 0, ECB 2001 ECB 2002 ECB 2003 ECB 2004 ECB 2005 ISMA 2001 ISMA 2002 ISMA 2003 ISMA 2004 ICMA

9 5. Maturity analysis Annual growth in absolute terms 140,0 120,0 100,0 80,0 60,0 40,0 20,0 1 D 2-7 D 7 D - 1 M 1-3 M 3-6 M > 6 M FWD - FWD 0,0-20,0-40,0-60,0 ECB ISMA ECB ISMA ECB ISMA ECB ICMA

10 5. Maturity analysis Maturity analysis annual, weighted 60,0 50,0 40,0 30,0 20,0 1 D 2-7 D 7 D - 1 M 1-3 M 3-6 M > 6 M FWD - FWD 10,0 0,0 ECB 2004 ECB 2005 ISMA 2004 ICMA

11 6. Repo versus Reverse repo Overall evolution , 60, 50, 40, 30, jun/01 jun/02 jun/03 jun/04 jun/05 20, 10, 0, ISMA REPO ISMA REVERSE REPO ECB REPO ECB REVERSE REPO -11-

12 Repo versus Reverse repo ECB - maturity breakdown 1D 2D-1W 1W-1M 1M - 3M 3M-6M >6M lending 2005 borrowing borrowing 2004 lending 2001 borrowing 2001 lending 2002 borrowing 2002 lending 2003 borrowing 2003 lending 2004 (IN MILLION EURO)

13 lending 2005 borrowing Repo versus Reverse repo ECB - maturity breakdown 1day -13- borrowing 2001 lending 2002 borrowing 2002 lending 2003 borrowing 2003 lending 2004 borrowing 2004 (IN MILLION EURO) Overnight T/N S/N lending 2001

14 7. Counterparty analysis Direct versus Voice-Broker versus ATS ISMA 2002 ISMA 2003 ISMA 2004 ICMA 2005 Voice broker 33 % ATS anonymous 6 % Voice broker 30 % ATS anonymous 9 % Voice broker 24 % ATS anonymous 12 % Voice broker 24,8 % ATS anonymous 10,4 % ATS 13 % ATS 18 % ATS 24 % ATS 21,2 % Direct 54 % ATS non anonymous 7 % Direct 52 % ATS non anonymous 9 % Direct 52 % ATS non anonymous 12 % Direct 53,9 % ATS non anonymous 10,8 % ECB Jun02 ECB Jun03 ECB Jun04 ECB Jun05 Voice broker 33% Voice broker 25% Direct 35% Voice broker 3 Direct 29% Voice broker 25% Direct 3 Direct 54% ATS 13% ATS 4 ATS 4 ATS 43% -14-

15 7. Counterparty analysis - triparty repo ISMA 2002 (86 banks) 2003 (84 banks) 2004 (81 banks) 2005 (81 banks) , ,6 ECB ECB TOTAL 2004 (96 BANKS) ECB TOTAL 2005 (96 BANKS) 7,37% 10,35% 92,63% 89,65% ECB CASH BORROW ING 2004 ECB CASH LENDING 2004 ECB CASH BORROW ING 2005 ECB CASH LENDING ,96% 5,57% 9,7 11,0 91,04% 94,43% 90,28% 89,0-15-

16 7. Counterparty analysis triparty repo ECB Clearstream Banking and Euroclear Bank, , maturity breakdown 70,0 60,0 50,0 40,0 30,0 ECB 2004 ECB 2005 CDL + EOC 2004 CDL + EOC ,0 10,0 0,0 1D 2D - 1W 1W - 1M 1-3 M 3-6 M > 6M Open-ended -16-

17 7. Counterparty analysis ECB Triparty growth ,0 1600,0 1400,0 1200,0 1000,0 800,0 600,0 Overnight Tom/Next Spot/Next up to 1 Week > 1 Week to 1 Month > 1 Month to 3 Months > 3 Months to 6 Months > 6 Months to 1 Year 400,0 200,0 0,0-200,0 cash lending cash borrowing -17-

18 7. Counterparty analysis cross border business ISMA 2002 ISMA 2003 ISMA 2004 ICMA 2005 Others 25% Anonymous 6% Domestic 44% Others 23% Anonymous 9% Domestic 38% Others 25% Anonymous 1 Domestic 37% Others 24.8% Anonymous 10.4% Domestic 36.7% Eurozone 25% Eurozone 3 Eurozone 26% Eurozone 28. ECB 2004 ECB 2005 Others 2 National 38% Others 19% National 33% Euro area 4 Euro area 48% -18-

19 8. Collateral analysis ISMA bilateral 2003 ISMA bilateral 2004 ICMA bilateral 2005 other countries US non-domestic 9% UK unknown origin US non-domestic other countries 13% unknown origin other countries 13, US non-domestic 3,5% unknown origin 0,8% 1 UK UK Sweden 1 12,3% Denmark (incl. MBS) Euro zone 75% Sweden Denmark (incl. MBS) Euro zone 68% Sweden 1,9% Denmark (incl. MBS) 0,6% Euro zone 67,7% Triparty Clearstream Banking+ Euroclear Banking 2004 Triparty Clearstream Banking+ Euroclear Banking 2005 Other countries 2 US Non-Domestic 9 % US Non-Domestic 8, Other countries 17, UK 14% Sweden Denmark EuroZone 55% UK 14,6% Sweden 1, Denmark 0,9% EuroZone 58, -19-

20 8. Collateral analysis ECB bilateral repo Cash lending Cash borrowing 2 1 Euro area 2004 Euro area 2005 National 2004 National 2005 Other 2004 Other

21 C C C C C C C C C Collateral analysis ECB: collateral per country -21- C C C C C C C C C C C C C C C C C C C C C C C C C C C % national % Euro area % other C C C

22 8. Collateral analysis ISMA bilateral 2002 ISMA bilateral 2003 ISMA bilateral 2004 ICMA bilateral 2005 Netherlands Luxembourg Italy 25% Ireland Greece Spain 7% Portugal Austria Belgium 6% Finland Germany 37% France 2 Netherlands 3% SpainAustria 8% Luxembourg Italy 2 Ireland Portugal Greece 3% Belgium 7% Finland Germany 4 France 13% Netherlands 4% Luxembourg Italy 2 Ireland Greece Portugal Spain 8% Austria Belgium 6% Finland Germany 4 France 13% Spain Austria 8% Finland Portugal Netherlands Poland Belgium 4% 6% France Luxembourg 15% Italy 23% Ireland Greece 3% Germany 38% Triparty Clearstream Banking + Euroclear Banking 2004 Triparty Clearstream Banking + Euroclear Banking 2005 Netherlands 19% Portugal 4% Spain 4% Austria 4% Belgium 4% Finland France 4% Netherlands 17% Portugal 4% Spain 3% Austria Belgium 5% 3% Finland France 14% Luxembourg 8% Luxembourg 9% Italy 1 Ireland 5% Greece Germany 33% Italy 9% Ireland 7% Greece Germany 26% -22-

23 8. Collateral analysis Government bonds in repo ISMA bilateral 2002 ISMA bilateral 2003 ISMA bilateral 2004 ICMA bilateral 2005 non Govies non Govies non Govies non Govies 9, 11,9% 12,6% 14,3% Govies 91, Govies 88, Govies 87,4% Govies 85,7% Clearstrem Banking + Euroclear Bank 2004 Clearstrem Banking + Euroclear Bank 2005 Agency & Corporate 4 Government & Sovereign 3 Government & Sovereign 28% Supranational 28% Agency & Corporate 66% Supranational 6% -23-

24 8. Collateral analysis Triparty Clearstream Banking+ Euroclear Bank : rating underlying securities 45,0 40,0 35,0 30,0 25, ,0 15,0 10,0 5,0 0,0 AAA AA A BBB <BBB Not Rated A1/A2-24-

25 9. Repo rate analysis ISMA 100,0 90,0 80,0 70,0 60,0 50,0 fixed rate floating rate open 40,0 30,0 20,0 10,0 0,

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