ICMA EUROPEAN REPO MARKET SURVEY JUNE 2012
I
5
This tends to confirm anecdotal evidence that the growth in tri-party repo is with counterparties who are not participants in the survey, probably non-bank financial institutions.
international financial institutions expanded to 6.5% and the share of pfandbrief jumped to 17.4%, reflecting the perceived safety of this class of asset and the regulatory imprimatur it has received.
Cash currency analysis
The share of UK collateral continued to expand, reaching 15.0%, possibly reflecting its safe haven status.
The share of the euro continued to decline, touching 57.0%. There were also sharp reductions in the shares of the Japanese yen and Swiss franc. The beneficiaries of these declines were the pound sterling and US dollar. The decline in the share of the euro may be related to the extraordinary provision of liquidity to the market by the ECB, not least, through its two 3-year LTROs on 21 December 2011 and 28 February 2012 (after the previous survey). Collateral analysis The share of German collateral was very slightly lower, but German government bond collateral fell sharply, reflecting continued scarcity due to hoarding as safe assets. The share of other core Eurozone collateral also contracted. Spanish collateral also fell back to 5.0%, but Italian collateral recovered to 8.3% (although not in electronic trading or tri-party repo). Overall, the share of all government bonds within the pool of EUoriginated collateral faded slightly, touching 78.7%. The overall share of government bonds in tri-party repo was dragged down by flights out of Italian and Spanish bonds. On the other hand, the share of tri-party collateral issued by official
Maturity analysis The share of short-dated repo recovered slightly to 49.9%. Transactions with more than a year remaining to maturity continued to expand, reaching a new record high of 13.3%. Some of the contraction in the maturity distribution of repo may be due to the shorter terms which are being offered to Spanish banks, even on CCP-cleared electronic trading systems. This may also help to explain the revival in open repo.