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An Analysis of the Electronic Repo Market in the Euro-Zone

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An Analysis of the Electronic Repo Market in the Euro-Zone THE ELECTRONIC REPO MARKET 2006 − 3RD EDITION − An Analysis of the Electronic Repo Market in the Euro-Zone THE ELECTRONIC REPO MARKET 2006 − 3RD EDITION − AN ANALYSIS OF THE ELECTRONIC REPO MARKET IN THE EURO-ZONE TABLE OF CONTENTS 1INTRODUCTION 1 1.1 Objective 1 1.2 What is New in this Survey 1 1.3 About BearingPoint 1 2EXECUTIVE SUMMARY 3 3MARKET OVERVIEW − TRENDS AND LATEST DEVELOPMENTS 4 4THE REPO MARKET 9 4.1 Definition 9 4.1.1 Advantages of Repo Transactions 11 4.1.2 Participants 11 4.2 Development 12 4.3 Moving Toward an Electronic Market 13 4.4 Description of Transaction Types: The Repo Value Chain 14 4.4.1 Direct Trading and Voice Brokered Repo 16 4.4.2 Tri-Party Repo Systems 18 4.4.3 Electronic Repo Trading Platforms 19 5ATS - ELECTRONIC REPO TRADING: COMPETITIVE ANALYSIS 21 5.1 Success Factors and Business Drivers 21 5.2 Competitor Analysis 23 5.2.1 BrokerTec − An ICAP Electronic Trading Platform 23 5.2.2 Eurex Repo 26 5.2.3 MTS Group 31 BEARINGPOINT I THE ELECTRONIC REPO MARKET 2006 TABLE OF CONTENTS (CONTINUED) 5.3 Clearing and Settlement Issues 34 5.3.1 Clearing and Settlement Process Description 34 5.3.2 Summary − Eurex Clearing AG versus LCH.Clearnet Limited 36 5.3.3 Settlement Barriers and Current Situation 37 5.4 Identified Strengths and Challenges of Competitors 38 6THE SECURITIES LENDING MARKET − A PRIMER 39 6.1 Definition 39 6.1.1 Business Motivation 39 6.1.2 Repo versus Securities Lending 41 6.2 Electronic Securities Lending Trading − Competitor Profiles 41 6.2.1 EquiLend 43 6.2.2 Eurex SecLend 44 6.2.3 SecFinex 44 7INTEGRATION OF REPO TRANSACTIONS 45 7.1 Best Practise Core Elements 45 7.2 Current Situation 47 7.3 Manual Processes of Small and Medium Sized Banks 50 8OUTLOOK 54 APPENDIX I: LIST OF PARTICIPATING INSTITUTIONS V APPENDIX II: REFERENCES VII APPENDIX III: GLOSSARY IX APPENDIX IV: NOTES XII II BEARINGPOINT AN ANALYSIS OF THE ELECTRONIC REPO MARKET IN THE EURO-ZONE INDEX OF EXHIBITS Exhibit 1 The Repo Process 10 Exhibit 2 GC and Special Repos 10 Exhibit 3 Development of Daily Outstanding Repo Transactions in Europe 12 Exhibit 4 Counterparty Analysis of Repo Trading Methods 13 Exhibit 5 Development of Repo Markets 15 Exhibit 6 Advantages and Disadvantages of Repo Transaction Types 16 Exhibit 7 Brokered Repo Process 17 Exhibit 8 Tri-Party Repo Process 18 Exhibit 9 Estimated Daily Assets in International Tri-Party 19 Exhibit 10 Electronic Repo Transaction with CCP 21 Exhibit 11 Matrix of Success Factors and Business Drivers 22 Exhibit 12 Process Flow of Euro GC Pooling Transaction 29 Exhibit 13 Structure of MTS Segments 32 Exhibit 14 Summary of Repo Transaction Flow 35 Exhibit 15 Identified Strengths and Challenges of Repo Platform Providers 38 Exhibit 16 Characteristics of Repo versus Securities Lending 42 Exhibit 17 Best Practise Trading − High-Level Model 46 Exhibit 18 Best Practise Back Office − High-Level Model 47 Exhibit 19 Best Practise Trading − Examples 48 Exhibit 20 Best Practise Back Office − Examples 49 Exhibit 21 Manual Process Flow of Repo Transactions 52 BEARINGPOINT III THE ELECTRONIC REPO MARKET 2006 TABLE OF ABREVIATIONS ATS Automatic/Alternative Trading Systems GC General Collateral ABS Asset Backed Securities GMSLA Global Master Securities Lending BAFin Bundesanstalt für Finanzdienst- Agreement leistungsaufsicht GMRA Global Master Repurchase Agreement BAMBL Bond Advanced Management for (I)CSD (International) Central Securities Borrowing and Lending Depository BIS Bank of International Settlements ICMA International Capital Market BO Back Office Association (formerly ISMA) CAD Capital Adequacy Directive ISLA International Securities Lending Association CBF/CBL Clearstream Banking Frankfurt / Clearstream Banking Luxemburg LCH London Clearing House CCP Central Counterparty NGSM New German Settlement Model CDS Credit Default Swaps MMF Money Market Facility CHF Swiss Francs OSLA Overseas Securities Lenders` Agreement DBV Delivery by Value OTC Over-the-Counter DVP Delivery versus Payment PSA Public Securities Association ECB European Central Bank PPS Protected Payments System EMA Euro Master Agreement RBM Risked Based Margining EOC EuroClear REPO Repurchase Agreement EONIA Euro Overnight Index Average SIS SegaInterSettle ERC European Repo Council SIC Swiss Interbank Clearing EUREPO Benchmark Rate of the SMT Swiss Market Index Euro Repo Market SNB Swiss National Bank EURIBOR Euro Interbank Offered Rate STP Straight-Through-Processing ETP Exchange Traded Products FO Front Office FED The Federal Reserve Bank of the U.S. IV BEARINGPOINT AN ANALYSIS OF THE ELECTRONIC REPO MARKET IN THE EURO-ZONE sed in Appendix I. We hope you will agree that their 1. INTRODUCTION thoughts and ideas make this survey an interesting reading. 1.1 OBJECTIVE 1.2 WHAT IS NEW IN THIS SURVEY Following the 2002 and 2004 editions, this third edi- This survey expands on previous editions of the tion of BearingPoint's "Electronic Repo Market Survey" BearingPoint Electronic Repo Market Survey. The new focuses on the latest market developments in the elec- topics in this edition are outlined below: tronic repo market. We provide an update on the cur- rent market positions of the key competitors, as well as New Topics Overview: their competitive strengths and weaknesses. The survey Updated figures on market volumes and transaction also addresses new issues, such as the introduction of types. new products in the secured market (e.g. Euro GC Pooling of Eurex Repo). In addition, we compare and Updated figures regarding liquidity on major plat- contrast repo and securities lending transactions and forms, new products and service implementations as briefly provide an overview of electronic platforms for well as strategic evaluation of competitors. securities lending. Finally, we identify the current mar- Introduction to securities lending. ket entry barriers for small and medium sized banks in Profile description of electronic securities lending the elec-tronic repo markets by outlining the manual platform providers. intensive processes these banks follow in order to be able to participate in collateral trading. This edition, Updated strategic evaluation of clearing services of therefore, provides a comprehensive overview of the major European central counterparties (CCPs) and European electronic repo trading market, covering tra- settlement environment. 1 ding, clear-ing and settlement. Market entry barriers for small and medium sized banks and process description for trading and clear- Irrespective of previous project experience that ing of repo and securities lending transactions. BearingPoint has had with any of the survey partici- pants, this research paper aims to provide an indepen- Updated outlook on the repo market. dent perspective. 1.3 ABOUT BEARINGPOINT This survey would not have been possible without the support of the members of the security financing/repo BearingPoint, Inc. (NYSE:BE) is one of the world's lar- industry. The results presented in this edition draw on gest Management and Technology Consulting firms more than 25 in-depth interviews with industry practi- serving Global 2000 companies, medium-sized busines- tioners conducted in late 2005 and early 2006. We are ses, government agencies and other organisations. We grateful to them for their help in creating the question- provide business and technology strategy, systems naire, taking the time to participate in the survey, and design, architecture, applications implementation, net- helping us analyse and review the results. The interview- work and systems integration, and managed services. ees will not be quoted directly in this report, and the Our service offerings are designed to help our clients names of institutions they represent will only be disclo- generate revenue, reduce costs and access the informa- BEARINGPOINT 1 THE ELECTRONIC REPO MARKET 2006 tion necessary to operate their business on a timely basis. BearingPoint's global headquarters is in McLean, Virginia, United States. The Repo Services Team of the BearingPoint Competence Group Capital Markets compiled this re- port. As part of the Financial Services practise, the Repo Services Team was founded in 2000 in both Germany and Switzerland. The team's primary focus is on the repo and securities lending market. Its main task is to consult European second-tier banks on participating in the repo market. BearingPoint shows great interest in following the developments of this market and is a lead- ing partner in collateral management issues. Relevant project experience includes: Supporting the launch of automatic/alternative tra- ding systems (ATS) in Europe. Several business process re-engineering projects in front- and back offices at major European banks. Conducting software selection and implementation for money market, fixed-income and treasury departments. Defining functional requirements and specifications for secured money market products. Strategic advice for the German banking sector on the more efficient use of repo and securities lending transactions and new covered bonds issuance models. Advising financial institutions on integrating elec- tronic repo and tri-party repo transactions into their front- and back offices. Educating the repo community by providing studies and articles and presenting material at major con- ferences. For more information, please visit our web site at www.bearingpoint.de or www.bearingpoint.com. 2BEARINGPOINT AN ANALYSIS OF THE ELECTRONIC REPO MARKET IN THE EURO-ZONE coming standardised and electronically traded. This 2. EXECUTIVE SUMMARY can be seen in the increasing use of the credit asset class as well as the diversification of ECB-eligible This third edition of the BearingPoint electronic repo assets for repo transactions. market survey, which builds on the previous 2002 and 2004 editions, provides an update on the key competi- In the B2C segment, new market models are ena- tors’ current market positions, product offerings, com- bling additional players to efficiently participate in petitive strengths and weaknesses and their clearing and the repo market (e.g. Bloomberg's request for quote settlement architecture. In addition, we compare and model).
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