欧洲央行（ECB）：提升回购市场透明度：欧盟的《证券融资交易条例》

EUROPEANCENTRALBANK

EUROSYSTEM

ClaudioBassi,MichaelGrill, FelixHermes,HarunMirza,CharlesO’Donnell,MichaelWedow

OccasionalPaperSeries

Enhancingrepomarket

transparency:theEUSecurities

FinancingTransactionsRegulation

No342

Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.

ECBOccasionalPaperSeriesNo.342

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Contents

Abstract2

Non-technicalsummary3

1Introduction5

2DescriptionoftheSFTDS9

2.1Institutionalbackground9

2.2Datadescription9

3Financialstabilityanalysisoftheeuroarearepomarket12

3.1Marketsegments12

3.2Counterparties15

3.3Collateral17

4Policyimplications20

5Conclusion22

References23

ECBOccasionalPaperSeriesNo.342

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Abstract

TheintroductionoftheSecuritiesFinancingTransactionsRegulationintoEUlaw

providesauniqueopportunitytoobtainanin-depthunderstandingofrepomarkets.Basedonthetransaction-leveldatareportedundertheregulation,thispaper

presentsanoverviewandkeyfactsabouttheeuroarearepomarket.Westartby

providingadescriptionofthedataset,includingitsregulatorybackground,aswellashighlightingsomeofitsadvantagesforfinancialstabilityanalysis.Wethengoontopresentthreesetsoffindingsthatarehighlyrelevanttofinancialstabilityandfocusonthedimensionsofthedifferentmarketsegments,counterparties,andcollateral,includinghaircutpractices.Finally,weoutlinehowthedatareportedunderthe

regulationcansupportthepolicyworkofcentralbanksandsupervisoryauthorities.Wedemonstratethatthesedatacanbeusedtomakeseveralimportant

contributionstoenhancingourunderstandingoftherepomarketfromafinancial

stabilityperspective,ultimatelyassistinginternationaleffortstoincreaserepomarketresilience.

JELCodes:G10,G18,G23

Keywords:securitiesfinancingtransactions,regulation,financialstability

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Non-technicalsummary

Repomarketsprovidearangeofeconomicfunctionsthatarecentraltothefinancialsystem.However,theymayalsoexhibitsignificantrisksthatcancontributeto

financialinstability.Theglobalfinancialcrisishighlightedimportantvulnerabilities

thatcanspillovertoothermarkets,havingabroaderimpactonfundingandmarketliquidity.Aclearviewemergedthatenhanceddatacollectiononsecuritiesfinancing

transactionssuchasreposwasneededtogiveauthoritiesmoretimelyandcomprehensiveinsightsintothesemarkets.

In2013theFinancialStabilityBoard(FSB)issuedasetofrecommendationsaimedataddressingtherisksarisingfromsecuritiesfinancingtransactions(SFTs),in

particularrepos.Someofthesemeasuresrequirednationalandregionalauthoritiestoenhancedatacollectioninthesemarketstoimprovetheirabilitytomonitorkey

riskstofinancialstabilityanddeveloppolicyresponses.ThisledtotheintroductionoftheSecuritiesFinancingTransactionsRegulation(SFTR)

1

intheEUin2016.The

resultingdatacollectiongaverisetotheSecuritiesFinancingTransactionDataStore(SFTDS)

2

,whicheffectivelycoversallSFTsconductedintheeuroarea,plusthoseconductedoutsideitbysupervisedeuroareaentities.

TheSFTDSbyincreasingtransparencyforauthorities,greatlyenhancestheir

understandingofrepomarketsfromafinancialstabilityperspective,thereby

supportingeffortstomonitorrisksandimprovetheresilienceofthesemarkets.WestartbyshowinghowcertainfeaturesoftheSFTDSaddresskeydatagaps.By

providingacomprehensivepictureofdailyrepoactivityforabroadrangeofmarketsandcounterparties,itwillhelpauthoritiesobtainmoretimelyandcomprehensive

insightsintotrendsandsupportthemindevelopingpolicyresponsestokeyfinancialstabilityissues.

Ourfirstapplicationofthedatasetexaminestheactivityinkeymarketsegments.Wefindthereisanimportantcross-borderandcross-currencydimension,withalargevolumeoftradesconductedoutsidetheeuroareabytheforeignbranchesofeuro

areasupervisedentities,aswellastradesconductedintheeuroareaby

counterpartieswithanon-euroareaparent.Focusingoneuro-denominatedmarketsegmentswefindthat,basedonoutstandingamounts,theshareoftradesthatarecentrallyclearedissignificantlylowerthanthefigurestypicallyreportedfordaily

transactions.Wethenshowhowtheeuroarearepomarketisprimarilydrivenbytradesthatinvolvespecificcollateral.

Oursecondapplicationexaminesthecounterpartydimensionfortheeuro-

denominatedmarket.Forcentrallyclearedtrades,wefindforeignbanks(definedasthosewithanon-euroareaparent)arethelargestsectorintermsofgrosspositions.

1Regulation(EU)2015/2365oftheEuropeanParliamentandoftheCouncilof25November2015ontransparencyofsecuritiesfinancingtransactionsandofreuseandamendingRegulation(EU)No

648/2012(OJL337,23.12.2015,p.1).

2TheSFTDSwasdevelopedandismanagedbytheECBtogetherwithsevenotherESCBcentralbanks.

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Thesearefollowedbyeuroareacommercialbanksandtheneuroareainvestmentbanks.Fornon-centrallyclearedtrades,wefindthateuroareacommercialbanksarethelargestsectorintermsofgrossposition,followedbyeuroareainvestmentbanksandthenforeignbanks.Inthenon-banksector,whichoperatesalmost

exclusivelyinnon-centrallyclearedmarkets,wefindthatinvestmentfundsarethelargestsectorintermsofgrossamounts,whileinsurancecompaniesandpensionfundshavethelargestnetposition,asnetcashborrowers.

Ourthirdapplicationexaminesdifferencesintheassetcompositionandhaircutsoncollateralfornon-centrallyclearedtrades.Wefocusonthesebecausethisiswherefinancialstabilityrisksareexpectedtobemostpronounced,forexampledueto

differencesincounterpartyandcollateralcompositionorrisk-managementpractices.Wefindthatwhilealargemajorityoftradesarebackedbysovereigncollateral,

thosebackedbynon-sovereigncollateralplayasizeableroletoo.Wethenexaminetheroleofhaircutpractices,whichareinprincipleakeyriskmitigationtoolfornon-centrallyclearedtradesbackedbynon-governmentcollateral.Wefindthattheshareofpositivehaircutsfornon-governmentcollateralistypicallyquitelow,irrespectiveofwhetherthecashborrowerisabankoranon-bank.Thisfindingfurtherunderscorestheneedtomakeprogressonimplementingregulatoryrulesforminimumhaircut

practicesforthenon-banksectorinthenon-centrallyclearedspace.

Thedatasetcanmakeimportantcontributionstofinancialstabilityand,onabroaderbasis,otherareasthatareimportantforcentralbanks.TheSFTDSgreatlyenhancestransparencywithregardtomonitoringandsupervisingfinancialstabilityrisk,and

helpsauthoritiesmonitorrisksintherepomarket.Itwillalsoplayanimportantroleincurrentinternationalregulatorypolicyinitiativesaimedatenhancingtheresilienceoftheglobalfinancialsystemtoaddressvulnerabilitiesinthenon-banksectorand

developpolicyrecommendations.Finally,thedatasetwillbecrucialforcentralbankstocarryoutabroaderevaluationofhowtherepomarketfunctionsformonetary

policypurposes.

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1Introduction

Repomarketsplayakeyroleinthefinancialsystembyprovidingarangeofeconomicfunctions.Theseincludetheprovisionoffunding,investmentofcash,collateraltransformation,aswellasfacilitatinghedgingandliquidityinunderlying

markets.Theabilitytoraisecashagainstliquidassetsduringtimesofstresscanbeparticularlycrucialtopreventforcedsellingincorebondmarkets,underscoringtheimportanceofrepomarketfunctioningatsuchtimes.

However,theycanalsoposesignificantriskstothefinancialsystem.The

globalfinancialcrisishighlightedmajorvulnerabilitiesinrepomarketsrelatedto

issuesaroundtransparency,excessiveleverage,over-relianceonshort-term

funding,collateralquality,andhaircutprocyclicality(seeBankforInternational

Settlements,2017).Eventhoughtherepomarketisasecuredmarket,segmentsofitcanstillbesubjecttomarketfreezes,whichcanhavesevereconsequences(seeCorradinetal.,2017).Vulnerabilitiesemanatingfromtherepomarketcanalsospillovertoothermarkets,impactingfundingandmarketliquiditymorebroadly(see

Gortonetal.,2020).

Significantregulatoryeffortshavebeenmadetoenhancetheresilienceoftheglobalfinancialsysteminboththetraditionalbankingindustryandtheso-

called“shadow-banking”sector.

3

Aclearviewemergedthatenhanceddata

collectiononsecuritiesfinancingtransactionswasneededforauthoritiestoobtainmoretimelyandcomprehensiveinsightsintothesemarkets.In2013theFSBissuedasetofrecommendationsaimedataddressingrisksinrelationtoSFTs(FinancialStabilityBoard,2013).Someofthesemeasuresrequirednationalandregional

authoritiestoenhancetheirdatacollectioninthesemarketsinordertoimprovetheirabilitytomonitorkeyfinancialstabilityrisksanddeveloprobustpolicyresponses.

In2016theSFTRwasintroducedintheEU,requiringallentitiesbasedinthe

EUtoreporttheirSFTs.TheresultingdatacollectionledtothedevelopmentoftheSFTDS,asubsetoftheSFTR,whichcoversallSFTtransactionsconductedintheeuroarea,transactionsconductedineuroorinvolvingeuro-denominatedcollateralintheEU,aswellastransactionsofsupervisedeuroareaentitiesconductedoutside

theEU.WhiletheSFTDSincludesalltypesofSFTs,wefocusontherepomarket,whichisthelargestsegment.

InthispaperweaimtoshowthattheSFTDScangreatlyenhanceour

understandingofrepomarketsfromafinancialstabilityperspective,

supportingeffortstoincreaseresilience.Westartbyshowinghowthedata

reportedundertheSFTRgreatlyincreasestransparencyandwillhelpauthoritiesobtainmoretimelyandcomprehensiveinsightsintomarkettrends.Byprovidingacomprehensivepictureofdailyactivityforabroadrangeofmarketsegmentsandcounterparties,itwillsupportmarketmonitoringandthedevelopmentofpolicy

3TheFSBatthetimedefinedshadowbankingas“creditintermediationinvolvingentitiesandactivitiesoutsidetheregularbankingsystem”(FinancialStabilityBoard,2011).Morerecentlyhoweverwhenreferringtoentities,thetermnon-bankfinancialintermediationorthenon-banksectorisapplied.

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responsesonkeyfinancialstabilityissues.Wethenhighlightthepotentialofthe

SFTDSbyapplyingouranalysestothreebroadkeydimensions:(i)market

segments(e.g.jurisdiction,currency,centralclearing);(ii)counterparties;(iii)

collateral(e.g.assetcompositionandhaircuts).Finally,wehighlightareasinwhichthedatasetcansupportpolicyworkbycentralbanksandsupervisoryauthorities.

Ourfirstsetofresultsexaminestheroleofmarketsegments;welookat

jurisdiction,currency,thepresenceofcentralclearingandthedistinction

betweengeneralandspecificcollateral.

4

Weshowthatthereisanimportant

cross-borderandcross-currencydimensiontothedataset,whichinvolvesalarge

volumeoftradesbytheforeignbranchesandsubsidiariesofeuroareasupervisedentities,aswellastradesconductedintheeuroareabycounterpartiesthathaveanon-euroareaparent.

5

Thisindicatesthatthereissignificantscopeforinternationaltransmissionofshocksoriginatingbothinsideandoutsidetheeuroarea.Further

analysisonhowthiscontributestotheinterconnectednessoftheglobalfinancialsystemwillbeuseful.

Wethenfocusoneuro-denominatedtradesanddistinguishbetweenwhetheratradeiscentrallyclearedandwhetheritisbackedbygeneralorspecific

collateral.Werestrictourexaminationtoeuro-denominatedtradesasthisisthe

marketcapturedmostcomprehensivelybythedataset.Itisthereforethemost

representativemarket,andthesizeabledegreeofheterogeneityhelpsustofocus

ouranalysis.Fromafinancialstabilityperspective,theuseofcentralclearingis

relevantinatleasttwoimportantways.First,itcanfacilitatetheintermediation

capacityofdealerbanksbyallowingexposurestobenetted,whichreducesthe

capitalallocatedtomarket-makingactivities.Second,itcanreducethecreditrisk

exposureformarketparticipantsbyhavingacentralclearingcounterparty(CCP).

Thisprovidesformoreefficientoffsettingoflossesandmutualisationintheeventofadefault(seeDuffieetal.,2015).Afeatureofouranalysisisthatwefocuson

outstandingamountsandfindthattheshareofcentralclearingissignificantlylowerthantypicallyreportedfordailytransactions(seeforexample,EuropeanCentral

Bank,2023).Finally,welookattheroleofgeneralorspecificcollateralandfindthattheeuroarearepomarketisprimarilydrivenbytradesthatinvolvespecificcollateral.Asignificantshareofthisispotentiallyduetothedemandforspecifictypesof

collateralknownasspecialness.Thismayindicatethatthedemandforcollateral

ratherthanfundingisthemaindriveroftheeuro-denominatedrepomarket(see

Schaffneretal.,2019).Thismayhaveimplicationsforhowtherepomarketissetuptoperformeconomicfunctionsrelatedtotheprovisionoffunding.

Oursecondsetofresultsexaminesthecounterpartydimensionforeuro-

denominatedtrades.Thisiscrucialnotjustforevaluatingrisksbutalsofor

understandingwhicheconomicfunctionsrepomarketsperform.Astylisedwayofclassifyinghowcounterpartiesuserepomarketsfromasupplyanddemand

4“Specific”referstotransactionsinwhichthecashlenderrequestsaspecificISINtobeprovidedas

collateral(seeESMA,2021).Specificcollateralshouldnotbeunderstoodassynonymouswithspecialcollateral.Specialnesssimplymeansthatthereporateisbelowthegeneralcollateralrate.However,notalltransactionsthatagreeonaspecificpieceofcollateraldisplaythatfeature(seeInternational

CapitalMarketAssociation,2023b).

5WhiletradesthattakeplacewithintheEUaremostlyeuro-denominated,thoseinvolvingacross-borderdimensionintermsofanEUcounterpartyandaforeigncounterpartytendtouseamixofcurrencies.

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perspectiveis:(i)fundingdemand(repos),(ii)cashinvestment(reverserepos),(iii)collateraldemand(reverserepos),(iv)collateralinvestment(repos),and(v)market-making(reposandreverserepos).Forcentrallyclearedtradeswefindthatintermsofgrosspositionsforeignbanksarethelargestsector,followedbyeuroarea

commercialbanksandtheneuroareainvestmentbanks(forsectorclassificationsseeLenociandLetizia,2021).

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Foreignbanks(definedasbankswheretheparent’sheadquarterislocatedoutsidetheeuroarea)arethelargestcashlenders(collateralborrowers)innetterms,whileeuroareacommercialbanksarethelargestnetcashborrowers(collaterallenders).Fornon-centrallyclearedtrades,wefindthateuro

areainvestmentbanksarethelargestsectorintermsofgrossposition,followedbyeuroareacommercialbanksandthenforeignbanks.Intermsofnetpositions,euroareainvestmentbankstendtobecashlenders,whilecommercialbankstendtobecashborrowers.Wealsoseethatforeignbanks’activityismuchlessthanfor

centrallyclearedtrades.

Wefindthatnon-banksmakeupasizableshareofreposinnon-centrally

clearedtransactions.Investmentfunds(IFs)havethelargestgrosspositions,whilethelargestsectorinnettermsisinsurancecorporationsandpensionfunds(ICPFs)asanetborrower.ThismaysuggestthatIFsgenerallyusetherepomarketfor

collateraltransformation,(i.e.theyborrowcashagainstlowerqualitycollateralandreinvesttoacquirehigherqualitycollateral).ICPFsontheotherhandmaypotentiallyuserepostoaccesscashbuffers(e.g.tomeetcashmargincalls)orsimplyto

generateareturnbylendingcollateralthatcommandsaspecialnesspremium.

Ourthirdsetofresultsexaminestheroleofcollateralinthenon-centrally

clearedsegmentwithregardtoassetcompositionandhaircuts.Wedeliberatelyfocusonthenon-centrallyclearedsegment,asthisiswherefinancialstabilityrisksareexpectedtobemostpronounced,forexampleduetodifferencesincounterpartyandcollateralcompositionandriskmanagementpractices.Tofurtherteaseoutthefinancialstabilityrisks,wedifferentiatebetweenbanksandnon-banks.Intermsof

assetcomposition,wefindthatwhilethelargemajorityoftradesarebackedby

sovereigncollateral,tradesbackedbynon-sovereigncollateralcanplayasizeable

role.Wealsofindthatentitiesinthenon-banksectortendtopledgelessliquid

assetsascollateralintheirborrowingoperationsrelativetothecollateralthey

receiveagainstcash,whilethereverseisthecaseforbanks.However,aggregatefiguresmaymaskimportantheterogeneityatentityorsectorlevel,giventhedifferentusesoftherepomarket.

Wethenlookattheroleofhaircuts,focusingonthedistributionfromthecashborrowerperspective.Haircutpracticesserveasamainriskmitigationtoolfornon-centrallyclearedtradesbackedbynon-sovereigncollateral.Wefindthattheshareofpositivehaircutsfornon-governmentcollateralistypicallyquitelow,irrespectiveof

whetherthecashborrowerisabankoranon-bank.Thisfurtherunderscoresthe

needtomakeprogressonimplementingregulatoryrulesaimedatsettingminimum

6Theonlydeviationinouranalysisfromthisclassificationisthatwecreateaspecificcategoryforforeignbanks,whichincludesbothinvestmentandcommercialbanks.

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haircutstandardsforthenon-banksectorinnon-centrallyclearedmarkets(seeforexample,FinancialStabilityBoard,2020).

Inafinalstep,wehighlighthowSFTRdatareportingcansupportthepolicy

workofcentralbanksandsupervisoryauthorities.Basedonouranalysis,we

believethatthedatasetcanmakeimportantcontributionsnotonlytofinancial

stabilitybutalsomorebroadlytootherareasofimportanceforcentralbanks.First,fromafinancialstabilityriskmonitoringandsupervisoryperspective,theSFTDS

greatlyincreasestransparencyandsupportsauthoritiesinmonitoringimportantrisksrelatedtointerconnectedness,concentration,liquidityprovision,collateraldemand,

liquidity/maturitymismatches,leverage,andvariouscollateralmetrics.Second,thedatasetwillplayanimportantroleincurrentinternationalpolicyinitiativestoenhanceglobalfinancialstabilityresilience.Thisisakeycomponentinaddressing

vulnerabilitiesinthenon-banksectoranddevelopingpolicyrecommendations.

Finally,thedatasetcanhelpcentralbanksconductamorebroad-basedevaluationofhowtherepomarketfunctionsformonetarypolicypurposes,whichmaybeofparticularrelevanceinthecurrentperiodofmonetarypolicynormalisation,whenintermediationcapacitymaybecomemoreconstrained.

Thepaperproceedsasfollows.Section2provideskeydetailsontheinstitutionalbackgroundoftheSFTDSandadescriptionofthedata,includingsomeofitskeycomparativeadvantagesoverotherdatasources.Section3presentshigh-level

findingsforthreekeydimensionsthataredeemedcrucialfromafinancialstabilityperspective.Section4presentspossibleimplicationsforpolicydiscussions.Section5concludes.

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2DescriptionoftheSFTDS

2.1Institutionalbackground

InresponsetotheglobalfinancialcrisistheFSBundertookseveralinitiativestosupportglobalfinancialmarkets,includingaddressingfinancialstability

risksassociatedwithSFTs.InAugust2013itpublishedacomprehensivereport

settingoutpolicyrecommendations(FinancialStabilityBoard,2013).Importantly,theFSBrecommended,amongotherthings,thatitsmemberinstitutionscollectgranulartransaction-leveldatatoincreasethetransparencyofSFTmarkets.ItalsoinitiatedaglobalSFTdatareportinginitiativewhichwillaggregateSFTmarketdatatobe

reportedbymemberjurisdictionsonaglobalscale.

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Asafollow-uptotheFSBrecommendationstheEUissuedtheSFTR,which

enteredintoforcein2016.AtEUlevel,workwasalsounderwayregardingthe

assessment,identificationandmonitoringofentitiesandrisksposedby“shadow

banking”(foranoverviewseeEuropeanCommission,2013).Akeycontribution

includedproposalsforpotentialimprovementstothemonitoringandsupervisionofSFTmarkets(seeBouveretetal.,2013).TheregulationrequiredallEUSFTmarketparticipants(excludingcentralbanksandcertainnon-financialcorporations)toreporttheirSFTtradesdailysincemid-June2020(afteraphase-inperiod).Theinformationcomprisescomprehensivedetailsonamounts,prices/ratesandcollateralandis

reportedtodedicatedtraderepositorieswhichmakethedataavailabletorelevantauthoritiesviatheTRACEportal,adatahuboperatedbytheEuropeanSecuritiesandMarketsAuthority(ESMA).

ESMAisresponsibleformanagingtheSFTRreportingregime.Thisincludes

definingthetechnicalreportingstandards,issuingguidelines,controllingreportingprocesses,supervisingtraderepositories(TRs)andimprovingdataquality.The

largevolumeofthedata(multipletablesarecollectedwithdozensofreportable

fieldsofdailyinformationforallmarketparticipants),itscomplexity,qualityconcernsandconfidentialityissueshavesofarconstrainedtheuseofSFTRdataforpolicy

analysis.

2.2Datadescription

TheSFTDScapturesallSFTtradesfortheeuroarea,aswellastransactions

bysupervisedeuroareaentitiesconductedoutsidetheEU.Inaddition,itcoversnon-euroareatradesintheEUthatareeuro-denominatedorinvolveeuro-

denominatedcollateral.ItisjointlymanagedbytheECBandsevennationalcentral

banks(NCBs).TheSFTDShelpstheECB,NCBsandtheESRBmeettheir

responsibilities,andalsofacilitatescollaborationamongparticipatinginstitutions.It

7Furthertothis,theFSBpublishedspecificrecommendationstargetingSFTmarketsrelatedtomarginingpracticesandcollateralre-usewithaviewtodampeningprocyclicalityandexcessiveleverage.

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collectsdatabyaccessinganESMAdatahub,wherethedatareportedfromTRsisstored.TheECBprocessesthedata,enrichesthemandmakesthemavailableforusers.

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TheSFTDScoversthreemaintypesofSFTs:repos,securitieslendingand

marginlending.Thispaperfocusesonrepos,astheserepresentthelargestshareofsecuritisedtransactionsandwhere,arguably,thedataqualityismostreliable.ThedataavailabletotheECBcoverapproximately200,000uniqueoutstandingand

13,000uniquenewtransactionsperdayafterdataprocessing,

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withdetailedinformationoncounterparties,loans,andcollateral.

Thedatasetgreatlyincreasesthetransparencyofrepomarkets,whichare

importantfortheeuroareafromafinancialstabilityperspective.More

concretely,thedatacanprovidesnapshotsandtrendsovertimeof:(i)cyclicalandstructuralchangesinfundingconditions(e.g.rates,haircuts);(ii)theroleof

counterparties;(iii)thedegreeofmaturity,liquidityandcurrencymismatches;(iv)leverage;(v)collateralmetrics(e.g.composition,transformationandre-use);(vi)interconnectedness(cross-borderandcross-sector);(vii)concentrationrisks(e.g.collateraltype,counterparty);(viii)issuesaroundreportingdates(e.g.window

dressingbehaviour(Bassietal.,2023).

TheSFTDScomplementsotherwidelyuseddatasourcesontheeuroarea

repomarket,suchastheECB’smoneymarketstatisticalreporting(MMSR)

dataset

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andtheInternationalCapitalMarketAssociation(ICMA)semi-annualEu