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ICMA ERCC Reports
ICMA has produced a series of reports, briefings and white papers on various topical issues, highlighting their relation to, and impact on, the European repo market. These are available below.



ICMA Recommendations for Reporting under SFTR

The ERCC has published on 24 February 2020 its guide to reporting under the EU Securities Financing Transactions Regulation (SFTR). The ICMA guide aims to help members interpret the regulatory reporting framework specified by ESMA and sets out complementary best practice recommendations to provide additional clarity and address ambiguities in the official guidance. It is supplemented by a suite of sample reports and an overview of repo life-cycle event reporting, which have both been published today. The documents evolved over the past couple of years as a product of discussions within the ERCC’s SFTR Task Force, benefitting from substantial input provided by members.
These are not static documents and will continue to evolve as we move closer to the reporting go-live date in April and beyond. Please make sure to download the latest version from our SFTR webpage when consulting the guide.

Published February 2020



The European repo market at 2019 year-end


This report focuses on the euro, sterling, and USD markets, and given the significant attention on the USD repo market since September 2019 and in the build-up to year-end, this is the starting point for the 2019 review. The analysis is based on market data and accounts provided by market participants (both sell-side and buy-side).

This is the fourth in the series of annual reports which began with an analysis of the stresses and dislocations witnessed in the euro denominated market at 2016 year-end, which were unprecedented, and caught market participants and authorities off guard. In many respects, the extremities of 2016 were the culmination of a perfect storm of factors, including market positioning, dislocations in the EUR/USD FX basis, an excess of euro cash in the banking system, and a reduction in the intermediation capacity of dealers due to regulatory reporting requirements.

While subsequent year-ends have not been as stretched, they have nonetheless continued to raise concerns among both liquidity providers and market users. What the 2017 and 2018 year-end reports reveal is a change in behaviour, both on the sell-side and buy-side. In the case of dealers, we observe more balance sheet being put to use over the turn (particularly by the non-GSIB community), while asset managers have stepped up preparedness, locking in financing needs early, negotiating balance sheet allocation from their dealers well in advance, or turning to alternative money market instruments to manage their liquidity. This has not, however, prevented significant price moves in both general collateral and specific issues.

In brief, compared to previous year-ends, 2019 was relatively uneventful. As one market participant commented, it was possibly the most subdued year-end of the decade. But the reasons for this are in themselves worthy of analysis and further discussion.

Published January 2020



The European repo market at 2018 year-end


This report documents and analyses repo market behaviour through 2018 year-end.  

The repo market at 2018 year-end was more subdued than anticipated. Core Euro GC and specials did come at a premium leading up to the turn but then cheapened significantly into year-end itself. Meanwhile, non-core GC saw scarcely an impact, with only some specials becoming difficult to find. The short-date Gilt repo market tightened slightly, however term spreads widened notably, seemingly caused by the introduction of UK bank ring-fencing. The US treasury repo market, however, was the real surprise, with an unexpected scramble for cash sending rates notably higher.

While the markets, for the most part, were fairly orderly, it is clear that a number of year-end pressures and risks persist. Banks still face pressures to reduce balance sheet, and so their intermediation capacity, in order to comply with a number of entity or jurisdictional specific reporting obligations, including Basel ratios (primarily Leverage Ratio), national bank levies, and the G-SIB capital surcharge. Positioning is also an exacerbating factor, both in terms of bonds/collateral and FX – which is highlighted by the spike in USD rates.

However, since 2016 it would seem as if the market has become more aware of these risks and better prepared in terms of managing its year-end financing and collateral requirements. Locking-in funding early, however, comes at a premium. But, while the extreme levels and dislocations of the 2016 turn have not been repeated since, there is still plenty of quantitative and qualitative evidence to suggest that year-end pressures persist, and that access to repo and lending markets for many firms is impaired.

Published January 2019



The GFMA and ICMA Repo Market Study: Post-Crisis Reforms and the Evolution of the Repo and Broader SFT Markets

The GFMA and ICMA have jointly published a report, The GFMA and ICMA Repo Market Study: Post-Crisis Reforms and the Evolution of the Repo and Broader SFT Markets, which was prepared with the support of member firms – in particular including 33 survey respondents from repo and collateral desks across Asia, Europe and North America; and 14 member firms providing quantitative impact analysis on SFT minimum haircuts.

The purpose of the report  is to provide an analysis and evaluation of the post-crisis assessment of the vulnerabilities in SFT markets, the subsequent regulatory reforms and how these have influenced the way in which SFT markets function.  It also highlights practitioners’ views on potential future developments and vulnerabilities.  The goal is for this report to provide a comprehensive and fact-based analysis to assist policymakers’ discussions on ways to further assess the coherence and calibration of the post-crisis reforms with regards to their impact on repo and broader SFT markets, which enable the functioning of the global capital markets as well as the broader financial system.

Published December 2018



EMIR REFIT: Incentivizing Post-trade Risk Reduction

  • ICMA ERCC, together with ISDA, the EBF and ISLA, whitepaper on benefits of post-trade risk reduction services
  • 10 April 2018 press release accompanying the PTRR report



The European repo market at 2017 year-end

The 2016 year-end provided an extreme benchmark by which future year-ends will be assessed, and, in relative terms, the 2017 year-end was mostly orderly. However, balance sheet pressures over the ‘turn’ persisted, and core GC tightened significantly (more than 350bp in the case of German collateral), as did specials (by as much as 600 to 700bp in the case of some French government bonds). Meanwhile, compared to 2016, periphery sovereign markets traded relatively tighter, as did Gilt repo.

This short report uses market data and interviews with market participants (sell-side and buy-side) to provide a brief analysis of the 2017 turn, and the underlying factors that made it expensive and difficult, but not as extreme and disorderly as the previous year.

Published January 2018



ICMA European Credit Repo Market Study

ICMA publishes 'The European Credit Repo Market: The cornerstone of corporate bond market liquidity' which explores and describes the state and evolution of the European corporate bond repo and securities lending market (the ‘credit repo market’). The study builds on ICMA’s previous work with respect to both corporate bond market and repo market evolution and liquidity, and investigates the European credit repo market from the perspective of its role, structure, participants, dynamics, external impacts, challenges, opportunities, and potential evolution, particularly to the extent that this plays a pivotal role in overall corporate bond market liquidity.

Published June 2017



The euro repo market at March 2017 quarter-end
  • An update of the ICMA ERCC report 'Closed for business' looking at repo market behaviour over the March 2017 quarter-end.

Closed for business: a post-mortem of the European repo market break-down over the 2016 year-end
  • This report, based on available market data and interviews with market participants (including repo market-makers, buy-side firms, and infrastructure providers), attempts to document repo market moves and behaviour in the final week of December of 2016. More specifically it seeks to answer: (i) what happened? (ii) why it happened? and (iii) what possible measures can be taken to avoid future extreme dislocation?

Farewell 2016.... Welcome 2017
  • Presentation of the way one ICMA ERCC member firm saw, and may expect to see, things.



The Counterparty Gap
  • ICMA ERCC report on the trade registration models used by European CCPs for repo transactions - September 2016



Perspectives from the eye of the storm: The current state and future evolution of the European repo market
  • ICMA ERC study which looks at how the repo market in Europe is changing in response to regulatory pressures - November 2015
  • IFLR article: BANKING & PROJECT FINANCE - REPO REFORM - Hit by a train. By Andy Hill, Director, Market Practice and Regulatory Policy, ICMA - September 2015



Future challenges in repo post-trade processing: Changes, impacts & consequences
  • SFT identification and reporting: Regulatory overview paper and impact analysis
  • Harmonised template for repo trade matching and affirmation
  • ICMA seminar on The Future Challenges in Post-Trade Processing for Repo



ICMA ERC report on the successful migration of the European bond markets to T+2

  • Report on the successful migration of the European fixed income markets to T+2 - October 2014



CSDR Mandatory Buy-ins and the treatment of SFTs
  • ICMA CSDR Mandatory Buy-in Impact Study - February 2015
  • An ICMA-ERC Briefing Note: Covers existing remedies for failing SFTs; SFTs and secondary market liquidity; collateral fluidity; CSDR mandatory buy-ins and SFTs; and the ICMA ERC* position on mandatory buy-ins and SFTs - September 2014



Collateral Fluidity
  • Collateral is the new cash: the systemic risks of inhibiting collateral fluidity – April 2014



Avoiding Counterproductive Regulation in Capital Markets
- October 2013




The impact of the Financial Transaction Tax on the European repo market

  • Collateral damage: the impact of the Financial Transaction Tax on the European repo market and its consequences for the financial markets and the real economy - April 2013



CICF Collateral Fluidity WP
  • Written in conjunction with the CICF: Collateral Fluidity White Paper – November 2012



Shadow banking and repo
  • Shadow banking and repo - March 2012
  • Repo: guilty notwithstanding the evidence? - April 2012
  • Haircuts and initial margins in the repo market - February 2012



European repo market report on the role of central and commercial bank money in European clearing and settlement
  • The interconnectivity of central and commercial bank money in the clearing and settlement of the European repo market - September 2011



European repo market white paper on short-selling and settlement failures and updates
  • 25 March 2011: Update on reform of market infrastructure in Italy and Greece since the ERC* white paper of 13 July 2010
  • Update to July European repo market white paper, 17 December 2010
  • European repo market white paper published 13 July 2010



Contacts:

Andy Hill
Senior Director, Market Practice and Regulatory Policy; secretary to the Secondary Market Practices Committee and also responsible for overseeing repo policy.
Direct line: +44 20 7213 0335

Alexander Westphal
Director, Market Practice and Regulatory Policy, secretary to the ICMA European Repo and Collateral Council and Committee (ERCC) and ERCC Operations Group.
Direct line: +44 20 7213 0333