Richard Comotto 38th European repo market survey conducted in December … · 2020. 4. 7. ·...
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Richard Comotto 38th European repo market survey conducted in December 2019
Transcript of Richard Comotto 38th European repo market survey conducted in December … · 2020. 4. 7. ·...
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
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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
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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
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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
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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%
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30.0%
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60.0%
70.0%
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90.0%
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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
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NL = 1.2% (1.9%)
DE = 13.5% (16.4%)
FR = 12.9% (14.0%)
BE = 3.1% (3.5%)
Collateral Analysis --- Peripheral Eurozone
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6%
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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
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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
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Dec-0
1Ju
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2D
ec-0
2Ju
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3D
ec-0
3Ju
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4D
ec-0
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5D
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7D
ec-0
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8D
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ec-0
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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%
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25%
short dates = 50.4% (53.5%)
Maturity Analysis
38th European repo market survey conducted in December 2019
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ON + open < 30D > = 30D fd
repo
reverse repo
Maturity Analysis
38th European repo market survey conducted in December 2019
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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
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