As we’ve already noted, the International Capital Market Association (ICMA)’s September survey of the European repo market has a wealth of interesting data and statistics.
Here’s one we found particularly telling, though:
The table shows the degree to which the euro fell back as the repo cash currency of choice, with 56.6 per cent of repo deals being funded in the currency in June 2010, versus 65.6 per cent in December 2009. Dollar financing, meanwhile, surged to 29.3 per cent from 15.9 per cent in the same period.
ICMA’s comment on the swing (our emphasis):
There was a dramatic surge in the share of the US dollar to 28.3% from 15.9%, largely at the expense of the euro, which fell back to 56.6% from 65.6%. Sterling continued to contract, touching 9.3% from 12.3% in December 2009. However, these changes reflect the influence of a small sample of the survey.
In contrast, according to data provided directly by the ATSs, the share of the euro jumped in electronic trading to 92.9% from 86.5%. Sterling fell back to 3.7% from 5.7% and the Swiss franc to 2.6% from 7.7%. There were only modest changes in the currency composition of triparty and voicebrokered repos.
Which seemingly suggests that the European sovereign crisis had the effect of driving the bulk of euro repo deals onto electronic platforms, where counterparty fears were more easily allayed.
Unsurprisingly, ICMA also highlights the virtual disappearance of Greek collateral in repo deals from 2.2 per cent in the last survey to 0.4 per cent in this one.
Related links:
European repo is back from the dead, says ICMA - FT Alphaville
Bunds are the new Treasuries, when they want to be – FT Alphaville
Euribor has been vaporised – FT Alphaville
Developments in repo markets during the financial turmoil – BIS
Frozen in the Greek repo markets – FT Alphaville