Opening & Update on recent developments repo/reverse repo Not included in US Borrowers need to...

Opening & Update on recent developmentsGodfried De Vidts, Chairman of the ERC

European Repo CouncilGeneral Meeting

London9 September 2008

Recent market events/issues

Changes in the composition of the committee CESR MiFID Markets Sub-Group re non-equities

markets transparency Collateralisation – need to expand ECB / ERC consultations Optimalisation of liquidity Regulatory impact versus selfregulation

A new market organisationTr

adin

gCl

earin

gSe

ttlem

ent

LCH. Clearnet SA EuroCCP EMCFEurex

Euronext Deutsche BörseEquiduct Smartpool Turquoise Nasdaq OMX Chi-X

Single CCP ?

T2S

Short term Long term

Trading

Clearing

Settlement

CSD

T2 Cash

CCBM2

Cash

Collateral

T1 T2 T3 T4 T5

C1 C2 C3 C4 C5

ESES (Q4 08)

T2S

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Recent market events/issues

ISIN code issue – EU Commission call for evidence

Repo product development

Eurepo

Educational efforts

Contacts

Thank you, Ladies and Gentlemen

Contacts and information:

http://www.icmagroup.org/about1/[email protected]

http://www.icmagroup.org/about1/international1.html�

mailto:[email protected]�

GMRA Issues–The past, the present & the future.

September 9, 2008

Lisa ClearyAssociate Counsel, ICMA, Zurich

The past..

Available opinionsOpinions orderedRequest from ERC committee to establish whether clean legal opinions can be obtainedMonitoring of legal developments

GMRA opinions - worldwide

Format of the combined opinion

Combined legal opinion seeking/updating exercise 2008

Core opinionrelating to

GMRA/GMSLA/GESLA/OSLA

Appendix 2relating to GMSLA/

GESLA/OSLAAppendix 1relating to GMRA

Appendix 1relating to GMRA



Appendix 2relating to GMSLA/

GESLA/OSLA



+ =

+ = GMSLA/GESLA/OSLAopinion

Available on subscription

GMRA opinionAvailable free of charge to

ICMA/SIFMA members

The present..

Funding & availability of combined opinions

68 GMRA opinions 39 opinions funded by ICMA alone 29 joint opinions funded by ICMA and SIFMA

such opinions provided free of charge to members.

GMSLA/GESLA/OSLA opinions funded by the SLRC subscriber group with access

via subscription.

Result of the combined legal opinion seeking/updating exercise 2008


ICMA/SIFMA/SLRC ICMA/SLRC ICMA/SIFMA ICMA

1 Abu Dhabi √2 Ajman √3 Anguilla √4 Australia √5 Austria* √6 Bahamas √7 Bahrain* √8 Barbados √9 Belgium* √10 Bermuda √11 Brazil √12 British Virgin Islands* √13 Canada* √14 Caymans Islands* √15 Croatia* √16 Cyprus √17 Czech Republic √18 Denmark* √19 Dubai √20 England* √21 Estonia √22 Finland* √23 France* √24 Fujairah √25 Germany* √26 Greece* √27 Guernsey √28 Hong Kong √29 Hungary √30 Iceland* √31 India* √32 Indonesia √33 Ireland* √ √34 Israel*35 Italy √36 Japan √37 Jersey √

No. Jurisdiction Combined (GMRA/GMSLA/GESLA/OSLA) opinions

obtained by

GMRA only opinions obtained by


ICMA/SIFMA/SLRC ICMA/SLRC ICMA/SIFMA ICMA

38 Kuwait √39 Latvia √40 Lithuania √41 Luxembourg* √42 Malta √43 Mexico √44 Netherlands* √45 Netherlands Antilles √46 New Zealand √47 Norway √48 Philippines √49 Poland √50 Portugal* √51 People’s Republic of China √52 Ras Al Khaimah √53 Saudia Arabia √54 Scotland* √55 Sharjah √56 Singapore √57 Slovakia √58 Slovenia √59 South Africa √60 South Korea √61 Spain* √62 Sweden* √63 Switzerland* √64 Taiwan √65 Thailand* √66 Turkey √67 Umm Al Quwain √68 USA* √

No. Jurisdiction Combined (GMRA/GMSLA/GESLA/OSLA) opinions

obtained by

GMRA only opinions obtained by


Extended counterparty coverage

* Opinions extended to cover insurance companies, hedge funds and mutual funds as parties to the GMRA (USA opinion does not cover insurance companies)

Feedback on the GMRA

Liaison with lawyers of ERC member banks regarding the way the GMRA had worked over the past 18 months – taking into account recent market turmoil.

Had the GMRA been robust enough or was an urgent update of the agreement was needed?

Based on the lawyers’ feedback, the conclusions were that the GMRA was indeed very robust and had not shown deficiencies.

The lawyers consulted felt that a positive point was the slimness of the GMRA and the product-specificity of the agreement.

There was still room for improvement, notably in the case of events of default. However the consensus that emerged was that there was no need for urgent changes to the GMRA.

The future..

2009 opinions exercise is about to commence.

Review of combined opinions – Freshfields Timing – Combined opinions to be

updated by March 31, 2009. Management of combined opinion

updating exercise – ICMA.

Combined legal opinion seeking/updating exercise 2009

The proposed hybrid funding model

ICMA and SIFMA to prepare a proposal for a new model (a hybrid model) for the funding of the legal opinions.

The proposed hybrid model would consist of the following two distinct elements:

the current model administered by ICMA where joint opinions on the GMRA would continue to be obtained, annually updated and made available free of charge to ICMA and SIFMA members; and

the subscription part where tailored opinions (either opinions for new jurisdictions or extensions of existing opinions to cater for particular types of counterparty) would be obtained at the request of member firms on a cost-share basis.

The proposed hybrid funding model

ICMA and SIFMA will prepare a joint proposal for review by the ERC committee on the basis of guidance provided by the committee, the key elements of which are:

no cap on existing body of industry-wide opinions;

subscription opinions available to subscribers only;

ERC would determine which subscription opinions are added to the body of industry opinions annually, subject to ability of the Associations to finance that expansion from membership dues; and

subscription opinions that are included within the body of industry opinions to be funded by those associations who wish to fund them.

GMRA opinions

GMRA opinions available on ICMA’s website at: https://www.icmagroup.org/market_practice/legal1/GMRA_Legal_opinions.html

(Key the same as for slide 3).

https://www.icmagroup.org/market_practice/legal1/GMRA_Legal_opinions.html�

https://www.icmagroup.org/market_practice/legal1/GMRA_Legal_opinions.html�

September 2008 European Repo Council

Agent Lender Disclosure update

David RuleChief Executive

[email protected]

0207 743 9314



FSA paper: December 2007

Background of Basel 2 implementation By Jan 2010, borrowers must receive underlying principal exposures

from agent lenders at latest business day following settlement date ISLA model welcomed by FSA

ALD


European ALD model: process and timetable

ALD working group; borrowers (Cater Allen, Credit Suisse, Deutsche, Fortis, Goldman, Lehman, Merrill, Morgan Stanley, Nomura, RBS, UBS); lenders (AIG, BGI, BNP Paribas, Citibank, Dresdner, HSBC, JP Morgan, M&G/Prudential, Northern and State Street).

Eric Lepore (Deutsche) from European Repo Committee ICMA also represented (Nathalie Aubry) and financial contribution Public consultation: May-June 2008 Final model published: July 2008 (available at www.isla.co.uk) Implementation by Jan 2010

ALD

http://www.isla.co.uk/�


Recommended ALD model

Replicates US model Standardised file formats for adding/deleting new underlying

principals (credit process) Standardised file formats for reporting loan and collateral

allocation between underlying principals Use of DTCC codes to identify underlying principals Use of DTCC hub for sending files Same timing for dispatch of daily files (9am CET on

settlement day plus one)

ALD



Triparty and DBV collateral reporting Not an issue in US because predominantly cash collateral 2 models

Model 1: Agent lenders report collateral breakdown (by ISIN) to borrowers by underlying principal using input from triparty agents/Crest

Model 2: Agent lenders report exposure values collateralised by triparty/DBV type to borrowers by underlying principal; borrowers obtain collateral breakdown (by ISIN) from triparty agent/Crest

Decision: allow either based on bilateral agreement

ALD



Agency repo/reverse repo Not included in US Borrowers need to calculate Basel 2 capital Recommend that repo reporting included (ie bond borrow under

GMRA) Reverse repo (eg cash reinvestment vs triparty collateral)

reporting optional by bilateral agreement Need repo dealers to take the initiative with agent lenders/asset

managers in US and Europe in order to go further

ALD

CONFIDENTIAL

Produced by: Name Surname Date: 03.11.2005 Slide 1CREDIT SUISSE LEGAL NAME

European Repo Council Meeting

ERC Operations Group update

9 September 2008Roger Moran

The materials may not be used or relied upon in any way.

CONFIDENTIAL

CREDIT SUISSE SECURITIES (EUROPE) LTD

Roger Moran Slide 2CREDIT SUISSE SECURITIES (EUROPE) LTD

Agenda

Latest updates

Current focus

Contacts


Latest updates

Target 2 Securities: Fixed Income financing processing

Recommendation - ERC favours a solution whereby a repo is instructed to the I(CSD) as two separate messages (one with the opening leg and the other the closing leg of the repo)

Key considerations for approach - messaging / system complexity, take-up within breadth of user community / service providers, implementation costs….

Current status - T2S will accept repos instructed in both a single instruction or as two separate instructions; see T2S user requirements annexe 19


Latest updates

Euroclear Business Model Implementation: Securities Financing

The subject - does the Euroclear single platform develop two bilateral securities financing mechanisms?

Recommendation - ERC favours an approach of reduced complexity and cross border standardisation

Current status - ERC supports Euroclear's decision to limit scope to only one bilateral repo mechanism; see Euroclear service description edition2 dd. 30th June '08


Latest updates

Other reviews include….

Eonia calculation convention within Italian market Use of Trade Date as matching field within Clearstream Frankfurt ICSD Triparty interoperability


Current focus

Euroclear Business Model Implementation: consultation paper on domesticcollateral management

The subject - the review of Euroclear's harmonisation proposals

Current status - ongoing: consideration needs to be given with regard to the development of a single 'domestic +' CSD offering or dual CSD offering (domestic / domestic+) solution


Further information

Contacts:

[email protected]

[email protected]

[email protected]




CCBM2 – Credit Claims”

Month 2008ERC MeetingLondon 9th September 2008Godfried De VidtsDirector of European Affairs

Definition of Collateral & Liquidity Management

Collateral & Liquidity Management is defined as the optimal management of credit, collateral, capital and all related execution, pricing, operational, documentation and risk management of a portfolio across all products, all business units and all locations.

or

Different types of collateral to be used by all counterparties covered by the Eurosystem – credit claims in CCBM2

Credit claims in CCBM2

• CCBM – what is it?• Credit claims into the single list• Start Jan 2007• T2S and CCMB2 – upgrading the Eurosystem backoffice

will benefit the markets• Harmonisation of national procedures/conditions• Abolishment of repatriation of securities• Creation of a secondary market for credit claims

CCBM2 & Triparty

Guiding principles for the central bank initiative

- Centralised IT platform- Compatibility with Target 2 and T2S- Domestic & x-border use of collateral- Handling of all eligible collateral- Real time STP- Use of all eligible SSSs and links

CCBM2 & Triparty

Additional issues from market consultations are

- Wider scope, not exclusively Eurosystem- Pooling of collateral intra-group- Integration of existing market solutions (3 party)- Non-euro collateral- Removal of repatriation requirement

The shared NBB/DNB collateral management system will serve as a base for the development of CCBM2

Legal framework for credit claims

• Revision of Directive 2002/47/EC on financial collateral arrangements

• Need to reflect properly the use of credit claims in today’s markets

• Eligibility of credit claims for both central bank and interbank transactions

• French presidency will submit to EP before end 08• Response to my letter to Mc Creevy: we take note of

your concerns, let continue our discussions

Industry discussion on practical issues

• Creation of a data base by the industry• Identification of central bank database – one official

agent irrespective of issuer’s country of residence or place of deposit and at costs only – let us NOT repeat mistakes of the past

• Standardised electronic messages• Standardised legal documentation – GMRA• Quality check• Automated trade matching & reconciliation

Contact details

[email protected]

European Repo Council update on Securities Lending and Repo Committee (SLRC) activities

Tony BaldwinSeptember 2008

Background

Bank of England chairs a number of market committees•Sterling Money Markets Liaison Group (MMLG)•Foreign Exchange Joint Standing Committee •Securities Lending and Repo Committee (SLRC)

SLRCFormed in 1990 under name of Stock Borrowing and Lending Committee (SBLC). 2 name changes since lead to current title of the Securities Lending and Repo Committee.

Meeting quarterly

Participants of SLRCInternational repo and securities lending practitioners Representatives of trade organizationsLondon Stock ExchangeUK Debt Management OfficeFinancial Services Authority

Background

Purpose

•Provide a forum in which structural developments in the securities lending and repo markets can be discussed, and recommendations made, by practitioners, infrastructure providers and the authorities.•Co-ordinate the development of

–Securities Borrowing and Lending Code of Guidance–Gilt Repo Code of Guidance

•Review the need for other market guidance relevant to the repo or securities lending markets•Update the Gilts Annex to the Global Master Repurchase Agreement (GMRA)•Liaise with similar market bodies and trade organizations covering the repo and securities markets and other financial markets, both in London and other financial centers•Keep under review the arrangements for obtaining legal opinions on netting in the repo and sec lending agreements

Guidance

SLRC has been responsible for a number of codes of guidance

•Securities Borrowing and Lending Code of Guidance

•Gilt Repo Code of Guidance

•Gilt Annex to the GMRA

Endorsed in June 2005Securities Lending and Corporate Governance

Together with ACT, BBA, LIBA, LSE the SLRC sponsored an Introduction to Securities Lending

Recent discussions/developments

End of day closure in a contingency situation (non-standard CREST closure)

Australian Beconwood vs ANZ case

Review of GMSLA

Publication of the Gilt Repo code of Guidance

Regulatory developments

Term DBV

LCH.Clearnet sterling GC and €GC service

Legal opinions for repo and securities lending agreements and potential harmonization

Website link

SLRC website http://www.bankofengland.co.uk/markets/gilts/slrc.htm

http://www.bankofengland.co.uk/markets/gilts/slrc.htm�

http://www.bankofengland.co.uk/markets/gilts/slrc.htm�

UK Gilt Repo Code: Update and benefits to the UK market

Progress report by John Rippon, Bank of England.

Introduction• The Code is a market code, not a regulatory or

a Bank of England Code• It is a summary of the market's view of

good practice above and beyond regulatory requirements

• It applies to the gilt repo market but its principles can be seen as also applicable to other repo markets

• It is geared to the needs of a professional market

Scope of the Code• General standards: eg training of staff, fair treatment of clients,

confidentiality, avoiding market distortions • Systems and controls, clear timely records, timely valuations,

adequate documentation, tax and manufactured dividends• Eligible counterparties, agents, name passing brokers , central

counterparties / clearing houses. • Legal agreement • Margin• Custody • Default and close-out• Confirmations• The Code also includes some paragraphs on regulation, an

extensive Glossary of Terms, an annex on gilt market conventions and examples of gilt market calculations

The FSA• The Code is not 'recognised' by the FSA , in terms of the

FSA's new procedures for recognising industry guidance • But the FSA was able to contribute to the updating of the

Code• The principles in the Code are consistent with the FSA's

requirements but go beyond what a regulator would require, ie go above the FSA's minimum standards

SLRC and MMLG• The Code is produced under the auspices of the

Securities Lending and Repo Committee and the Money Markets Liaison Group

• Both are market committees chaired by the Bank of England

• Both committees' roles are recognised in the Tripartite Memorandum of Understanding between HM Treasury , the Bank of England and the FSA

• Both committees are very well placed to offers views and guidance on the repo markets

• Each committee meets quarterly

SLRC• This committee comprises the main trade associations involved in

the UK and international repo and securities borrowing and lending markets , the infrastructure providers and the UK authorities

• It includes representatives of ICMA and the ERC• It provides a discussion forum on developments affecting these

markets• It co-ordinates the development of the Gilt Repo Code and

Securities Borrowing and Lending Code • It keeps under review other relevant guidance• It keeps under review the arrangements for getting legal opinions on

netting

MMLG• This group keeps under review issues concerning the

UK money markets and the supporting infrastructure • It is interested in the repo markets as part of the UK

money markets : so there are some common interests with the SLRC

• The Committee comprises senior practitioners from the main UK settlement banks (e.g. treasurers), other key UK money market participants, the main infrastructure providers and the UK authorities

Some history : pre-1995• There was no real gilt repo market in the UK until the late

1990s when the Bank introduced its reforms to its money market operations in which gilt repo was central

• Until then the market relied on the Stock Exchange Money Brokers ( SEMBs) and their stock and money lending arrangements

• And LSE and tax rules limited the growth of such a market

• So limited experience of repo in the UK

The introduction of the Code• The reforms of the Bank's operations meant liberalisation was

essential to allow an open gilt repo market • But the authorities were keen to avoid problems that had arisen

in other repo markets; eg Drysdale and Lombard Wall in the 1980s• The development of a Gilt Repo Code was seen a central means

of educating players about good practice and underpinning confidence in the market

• This was a key complement to the PSA/ ISMA legal agreement , a vital plank for a sound market

• The first version of the Code was issued in November 1995, just before the start of the repo market in January 1996

The start of the repo marketThe launch of the market was a success and the

original authors of the Code deserve some credit for this : it was commented :

'The original Code, together with the PSA/ISMA legal agreement and its gilt annex which form the ‘Gilt Repo Legal Agreement’, has undoubtedly played an important part in the safe and steady growth of the repo market for the first 2 ½ years. '

1998 UpdatingThe Code was updated by the SLRC in 1998 to reflect:

• Creation of the FSA • Upgrade of the CGO Service --- (now taken over by

Euroclear / CREST ) • Change in daycount conventions• More widespread use of substitution rights• Bilateral agreement on partial deliveries (the

presumption was against partialling in the original Code)

But the essence of the Code was unchanged

The debate on updating of the Code

• There was no further updating until 2008• This partly reflected a feeling that the Code was

essentially fine and had stood well the test of time• But some seemed to think that the lessons of the Code

were now so well embedded in market practice, and the market so mature, that perhaps the Code was now unnecessary

• And some noted that there was ERC market guidance so possibly the Code was not needed any more

• The Bank encouraged a debate amongst MMLG and SLRC members on the future of the Code

• The result was a consensus in favour of retaining and updating the Code

The 2008 update of the CodeThe May 2008 version of the Code was produced under the guidance

of the SLRC and MMLG and with the assistance of a working group representing a good cross section of market practitioners and infrastructure providers. The consensus was that the Code should retain its main structure and coverage ; and the main changes were essentially ones of housekeeping :

• Removing out of date material • Shortening • Updates on regulation and infrastructure changes (eg central

counterparties)Overall the Code had stood well the test of time

The Gilt Repo Code and the ICMA ERC Repo Guidelines

• The Code and the ERC Repo Guidelines can be seen as complementary

• There is some overlap, but not very much and no contradictions

• Market participants should have regard to both

Keeping the Code under review

• The Code will be kept under review by the SLRC and MMLG and updated as and when needed --a living document

• We want to avoid long gaps between updating reviews

• The Secretary to the SLRC is happy to receive suggestions from anyone on how the Code might be improved

Summary and Conclusion

• The Code since it was launched in 1995 has helped to underpin the orderly development of the gilt repo market , without major problems or scandals

• It performs a useful educational role for newcomers and the public • It helps to reinforce general standards • It helps to get a right balance between regulation and industry

guidance • It helps to maintain the reputation of the market • Through discussions in MMLG and SLRC the Code can be updated

to meet the needs of the market and its participants.

British Bankers’ Association

BBA LIBOR

John EwanDirector, BBA.


About the BBA


BBA LIBOR currencies

Australian Dollar (AUD)Canadian Dollar (CAD)Danish Krone (DKK)Euro (EUR)Japanese Yen (JPY)New Zealand Dollar (NZD)Sterling (GBP)Swedish Krona (SEK)Swiss Franc (CHF)US Dollar (USD)


How is it calculated?

•Use a trimmed mean.

•Calculated by our “Designated Distributor” under BBA supervision


Contributor panels

•Selected by the BBA’s FX&MM Advisory Panel

•At least 8 banks (in practice, 8 12 or 16)

•Broadly reflecting the balance of activity in the inter-bank deposit market


Selection of panel banks

Selected at an annual review on the basis of:

1. Scale of activity in the London market

2. Credit Rating

3. Perceived expertise in the currency concerned


Basis of contributions

“An individual BBA LIBOR panel bank will contribute the rate at which it could borrow funds, were it to do so by asking for and then accepting inter-bank offers in reasonable market size just prior to 1100.”


Basis of contributions II

An individual BBA LIBOR panel bank will contribute the rate at which it could borrow funds, were it to do so by asking for and then accepting inter-bank offers in reasonable market size just prior to 1100.


Basis of contributions III



Basis of contributions IV



Basis of contributions V



The rate at which each bank submits must be formed from that bank’s perception of its cost of funds in the interbank market.

Contributions must represent rates formed in London and not elsewhere.

Contributions must be for the currency concerned, not the cost of producing one currency by borrowing in another currency and accessing the required currency via the foreign exchange markets.

The rates must be submitted by members of staff at a bank with primary responsibility for management of a bank’s cash, rather than a bank’s derivative book.

The definition of “funds” is: unsecured interbank cash or cash raised through primary issuance of interbank Certificates of Deposit.


Definition of contributions

•Rates shall be for deposits:>made in the London market >that are simple and unsecured>governed by the laws of England and Wales>where the parties are subject to the jurisdiction of the courts of England and Wales


Usage of BBA LIBOR

• Reference rate for derivatives

• It is a barometer for the money markets and is often used as a gauge of the

market’s expectation of future central bank interest rates

• Commercial loans

• Retail mortgage and loans

• Islamic Finance


EURIBOR Vs. EUR LIBOR

4.000

4.100

4.200

4.300

4.400

4.500

4.600

4.700

4.800

4.900

5.000

02/01

/08

02/02

/08

02/03

/08

02/04

/08

02/05

/08

02/06

/08

02/07

/08

02/08

/08

date

valu

e

1m Euribor

1m EUR LIBOR

3m Euribor

3m EUR LIBOR


USD LIBOR Vs. ICAP NYFR

2.40

2.45

2.50

2.55

2.60

2.65

2.70

2.75

2.80

2.85

11/06

/08

18/06

/08

25/06

/08

02/07

/08

09/07

/08

16/07

/08

23/07

/08

30/07

/08

06/08

/08

13/08

/08

20/08

/08

date

valu

e

1m USD LIBOR1M ICAP NYFR3m USD LIBOR3M ICAP NYFR


LIBOR Consultation

• we received 31 detailed written responses.

•Proposals discussed with all stakeholders.

•Public bodies and regulators involved at all stages of the consultation.


Questions asked in the Consultation

1. Should we create an additional and expanded second US Dollar fix?

2. Should we expand the current BBA LIBOR panels?

3. Should we tighten the definition of “reasonable market size”

4. Should we increase anonymity of contributions and/or contributors?

5. Market views on enhancements to governance and scrutiny procedures.



Pinners Hall105-108 Old Broad StreetLondon EC2N 1EX

Tel: 0207 216 8856

Website: www.bba.org.ukE-mail: [email protected]


Presentation to European Repo Council (ERC)Securitisation Markets Update

Bertrand HuetManaging Director, European Legal & Regulatory Counsel

9 September 2008

Table of ContentsPart I: State of the Securitisation Markets

Part II: Political Context

Part III: Summary of EU industry initiatives

Part IV: Summary of US industry initiatives

Part V: Update on SIFMA/ASF/ESF Joint WG to restore confidence in securitisation markets

Part IState of the Securitisation Markets

Securities Industry and Financial Markets Association4

Issuance

Q1 Q2 Q3 Q4 Total Total

2001 20.5 43.2 22.7 66.2 152.6 2,308.4

2002 24.3 42.6 35.7 55.1 157.7 2,592.7

2003 43.3 51.9 39.7 82.4 217.3 2,914.5

2004 55.8 59.0 53.2 75.5 243.5 1,956.6

2005 47.8 94.4 41.5 143.3 327.0 2,650.6

2006 69.0 114.3 112.8 184.9 481.0 2,455.8

2007 128.7 152.0 98.2 74.7 453.7 2,404.9

2008 40.0 169.4 209.4 739.9

European US

EU issuance down 69% for Q1 08 vs Q1 07; up 11% for Q2 08 vs Q2 07 and up 73% vs Q1 08, BUT91% for funding through central bank liquidity schemes

1H 08 US issuance down 53% on 1H 07.

€B

illio

ns


Securitisation Markets Remain Anemic

Securitization markets remain anemicGlobal structured product issuances$ Billions

393765

592ABS

Mortgages

-56%

1,979

2,795

2005

438

2,067

3,270

2006

431

1,658

2,681

2007

69250

318

637

2008 YTD annualized

CDOs/CLOs

424

x% Compound annual growth rate


Issuance by Collateral

European Issuance2007 2008:Q1 2008:Q2

ABS 57.8 10.1 12.7CDO 88.7 2.0 10.0CMBS 47.6 0.7 0.7RMBS 259.6 27.2 146.0Total 453.7 40 169.4

US Issuance2007 2008:Q1 2008:Q2

ABS 666.9 37.6 66CDO 252.5 4.6 6.2Agency MBS 984.5 236 365.8Non-Agency CMBS 168.1 3 6.6Non-Agency RMBS 332.9 4 10.1Total 2404.9 285.2 454.7

€B

illio

ns

RMBS 82% (1H 08) vs 57% (07)

CDO 20% (07) vs 5.7% (1H 08)

GSEs 41% (07) vs 81% (1H 08)

CDOs 10.5% (07) vs 1.5% (1H 08)


Issuance by Rating

Europe United States

2007 2008 1H 2007 2008 1H

AAA 308.7 173 378.9 102.8

AA 17.2 5.9 34.3 1.9

A 57.9 4.1 170.0 7.1

BBB & Below 22.5 5.2 27.2 3.0

Not Rated 47.3 21.3 810.0 17.2

Agency MBS n/a n/a 984.5 601.8

Total 453.7 209.4 2404.9 733.9

83% 1H 08 new issues in Europe rated AAA (68% in 07)

96% 1H 08 US deals either AAA or issued by Fannie Mae & Freddie Mac (57% in 07)


2008 Q2 EU & US Securitisation Outstandings by Country and Collateral Type

55% RMBS

70% with UK, Netherlands, Italy, Spain and Germany

Source: Bloomberg, ESFOther Europe: Belgium, Denmark, Greece, Hungary, Portugal, Russia, Sweden, Switzerland, Turkey, Ukraine

ABS CDO CMBS RMBS WBS TotalFrance 9.5 0.9 3.7 13.7 27.9Germany 31 14.2 18.1 6.5 0.1 69.9Ireland 0 3.3 1.8 28.1 33.2Italy 53.9 4.2 3.9 55 2.4 119.3Netherlands 2.7 10.4 8.1 137.1 158.3Spain 19.4 36.6 1.6 136.8 194.4UK 47.1 3.4 75.4 350.9 36.5 513.3Other Europe 11.3 9.6 0.4 58.1 0.1 79.5Multinational 8.9 190 28.5 3 0.7 231.1Total 183.8 272.6 141.5 789.2 39.8 1426.9

ABSAGENCY

MBS

NON-AGENCY

MBS TotalUS Total 1827.4 3853.3 841.3 6,503.90

€ Billions


2008 Q2 Securitisation Outstanding by Moody’s Rating

EU US

Aaa/AAA 84.13% 73.69%

Aa/AA 5.75% 7.26%

A/A 4.82% 5.69%

Baa/BBB 3.63% 4.69%

Ba/BB 1.1% 2.13%

B/B 0.20% 2.71%

Caa/CCC 0.13% 1.56%

Ca/CC 0.12% 1.26%

C/C 0.13% 1.00%

Total 100.00% 100.00%


European Term Securitisation Primary Distribution by Investor Type and Investor Location

RMBS CMBSConsumer

ABS Other

Bank 67.8% 63.3% 40.6% 59.5%

Insurance Co. 3.7% 4.0% 2.4% 1.8%

Money Mkt & Fund Mgr. 21.1% 21.9% 37.0% 27.1%

Hedge Fund 1.3% 5.3% 4.3% 7.8%

Other 6.1% 5.5% 15.7% 3.8%

Total 100.0% 100.0% 100.0% 100.0%

RMBS CMBSConsumer

ABS Other

Benelux 11.8% 7.4% 25.1% 25.1%

France 10.2% 3.2% 10.4% 15.2%

Germany 23.4% 14.5% 24.4% 17.9%

Ireland 5.5% 12.9% 5.8% 2.0%

Italy 5.2% 0.4% 2.4% 6.5%

Spain 1.3% 4.5% 3.6% 3.4%

UK 27.5% 52.9% 23.5% 24.7%

Others 15.1% 4.2% 4.8% 5.2%

Total 100.0% 100.0% 100.0% 100.0%

Investor Type

Investor Location


Market participants expect products to recover at different speeds

Market participants expect products to recover at different speeds

Autos

Credit cards

Student loans

Public or listed prime RMBS

CMBS

144A/private or unlisted RMBS

Public or listed subprime (or Alt-A) RMBS

CLOs

Cash CDOs

Synthetic CDOs

CDOs of ABS

ProductEarly/ mid-2009

End of 2009

Already returning/2008 2010

Beyond 2010

Part IIPolitical Context


Main Public Sector Initiatives

Transparency & Disclosure

Valuation standards & Accounting

Prudential oversight/ Risk Management

Rating agencies /Market

functioning

Key Documents/Reports

GlobalG7 Communiqués

FSF Enhancing Market and Institutional Resilience (Apr08)

IOSCO/BCBS Report on the Subprime Crisis (May08); Principles for Sound Liquidity Risk Management and Supervision (June 08)

EUECOFIN Oct.07 “Roadmap”; French Presidency

Report on Financial Crisis (Sept.08)EU Commission Accountable to ECOFIN; new legislation

(CRD; CRA)

Level 3 Committees CESR steps to strengthen market confidence (Apr08); CEBS advice to EC on Liquidity Risk Management (Jun08)

USPresident’s WG on Financial Markets

Policy Statement To Improve Future State of Financial Markets (Mar08)

Longer term impact of these initiatives. In the meantime, Fed/ECB/BoE roles key – But for how long?

Part IIISummary of EU industry initiatives to

improve transparency in the securitisation market


• 4 October, 2007: ECOFIN Roadmap calling industry to “enhance transparency for investor, markets and regulators” by “mid-2008”

• 8 February, 2008: Trade associations commit to the EC to deliver a range of initiatives to improve transparency

Background

•June, 2008: “Ten Industry Initiatives to Increase Transparency in the Securitisation Market” delivered to the EC

2 initiatives directly respond to the ECOFIN Roadmap

Another 8 were industry-developed as proactive measures to help further improve transparency

Initiatives consistent with FSF’s and IOSCO’s recommendations


Summary of the Ten Initiatives

1: Increasing Transparency in the Reporting of Securitisation Exposures under the Capital Requirements Directive Pillar 3(Association leads: EBF, LIBA, ESBG, EACB, EAPB)

Objective: promote sound, consistent and appropriately granular implementation of securitisation related CRD disclosure requirements

Output: Industry Good Practice Guidelines for Pillar 3 disclosures by banks

Next Steps: Draft Guidelines issued for stakeholder consultation from 30 June to 15 September 2008. To be finalised by 31 October 2008. Firms will be able to use them in developing their first Pillar 3 disclosures in early 2009.



2: Organise Comprehensive, Frequent and Relevant Statistical Data: New Securitisation Data Report (Association leads: ESF, SIFMA, CMSA, ICMA)

Objective: provide further transparency to market participants and assist policymakers in their monitoring and assessing of trends in the securitisation market

Output: New Securitisation Data Report created. Provides for the 1st time in one place stats on EU and US term securitisation and ABCP market activity regarding issuance, balances outstanding, ratings changes, spreads and price changes on major European ABS asset classes, indices, as well as investor types and locations

Next Steps Will be produced each quarter, with monthly supplements on spread and price data and bi-annual surveys on investor distribution



3: ABCP Issuer Disclosure Code of Conduct/Principles (Association Leads: ICMA, ESF)

Objective: Encourage consistent, relevant and regular reporting to investors in the ABCP market

Output: ABCP issuer disclosure code of conduct finalised

Next Steps: Starting winter 2008, ABCP issuers to periodically confirm through ICMA/ESF that ABCP issuers are complying with code of conduct



4: Term Securitisation Issuer Transparency and Disclosure Principles (Association leads: ESF, SIFMA, CMSA)

Objective: Improve transparency and information flow in RMBS and ABS markets according to the needs of separate RMBS, CMBS, CDO, consumer ABS, insurance securitisation and other asset classes

Output: Developing ‘Issuer Transparency and Disclosure Principles’ for RMBS and CMBS first, then other asset classes

Next Steps: Expect to issue the principles for RMBS and CMBS by end of 2008, with implementation in 2009, pending technical review, other asset classes thereafter


5: Opening Access to Transaction Information (Association leads: ESF, SIFMA, CMSA)

Objective: Promote open access upfront and ongoing on EEA-listed public term transactions, via removal of password protection on issuer websites, or making information available from an unrestricted source (eg data providers)

Output: To be achieved via Initiative 4, Issuer Transparency and Disclosure Principles

Next Steps: Expect to issue Principles for RMBS and CMBS by end of 2008, other asset classes thereafter; meanwhile, promoting the removal of password protection among members




6: Development of Industry Data Portals (Association leads: ESF, SIFMA, CMSA)

Objective: Competitive environment for the provision of data should drive data vendors to develop ‘data portals’ whereby information can be centrally accessed through those sites at low or no cost

Output: In June, 2 data providers launched such portals, providing open access to over 1,000 EEA-listed securitisation prospectuses and investor reports

Next Steps: We are encouraging additional data providers to consider similar initiatives



7: RMBS and CDO Issuer/Manager Directories on ESF Website(Association lead: ESF)

Objective: to help make information more broadly available and more easily accessible, centralise access to European originators, issues, and managers of securitised products

Output: ESF website now provides a centralised directory of known EU RMBS issuer and CDO manager links to various relevant sources of information

Next Steps: Actively consulting with members and the general public to build and improve the directory



8: Improve Standardisation and Digitisation of Reporting Templates and Granularity of Information (Associations Lead: ESF, SIFMA, CMSA)

Objective: Develop standardised issuance and surveillance formats so that comparable and granular information is provided to each CRA and investors

Output: ESF updating a standardised reporting format for EU RMBS transactions in concert with ASF in the US. CMSA has also developed and continues to refine a standardised reporting format for CMBS transactions

Next Steps: RMBS reporting formats expected to be finalised in 2008 and implemented in 2009. European implementation will be coordinated with US implementation



9: Standardising Definitions (Associations Lead: ESF, SIFMA, CMSA)

Objective: Market participants need consistent product definitions. Eg, ‘subprime RMBS’ and ‘non-conforming RMBS’ have different meaning in US, UK and other countries. Challenge for non-conforming and subprime RMBS in Europe is that standardised consumer credit scores are not publicly available, as are FICO scores in the US

Output: Until a publicly-usable consumer credit scoring framework is developed in Europe, industry drafted a comparative table as to the meanings of ‘non-conforming RMBS’ and ‘subprime RMBS’

Next Steps: ESF/SIFMA interested in coordinating their efforts with the Expert Group on Credit Histories recently established by the EU Commission. Timing will depend on the progress of this group



10: Developing Investor Credit Assessment and Valuations Principles(Association leads: ESF, SIFMA, CMSA)

Objective: Ensure investors have well articulated investment processes in place to independently assess the credit of a transaction, since in the past some relied too much on CRAs

Output: Developing investor credit assessment principles. Also discussing investor valuation principles, in particular for structured credit investors who are subject to mark to market rules

Next Steps: Draft principles expected summer 2008, implementation targeted year end 2008 or shortly thereafter


More Information

A PDF copy of the Transparency Initiatives with all related documents, regulatory updates, and press coverage of this project is available at

www.europeansecuritisation.com

[email protected]

[email protected]

+44(0)207 743 9333

http://www.europeansecuritisation.com/�



Part IVSummary of US industry initiatives to

improve transparency in the securitisation market


US initiatives

Recommendation Effort underway Next steps

1. Minimum industry-wide market standards of due diligence disclosure and quality assurance practices for RMBS

»SIFMA US RMBS Pre-Securitisation Due Diligence Standards Working Group

»ASF Project RESTART

»Draft proposal for comment – Fall 2008

»Request for comment on due diligence procedures for information in the ASF RMBS Disclosure Package – late Fall 2008

2. Increase and enhance initial and on-going pool and loan-level data of non-agency RMBS into an easily accessible standard format

»ASF Project RESTART (initial draft ASF RMBS Disclosure Package published in July 2008)

»Revised request for comment on the ASF RMBS Disclosure Package – early Fall 2008

3. Strengthen and standardise the representations & warranties and repurchase procedures for RMBS

»ASF Project RESTART Repurchase Working Group

»Initial request for comment on uniform set of repurchase procedures – Fall 2008

4. Develop industry-standard norms for evaluating servicer performance and mechanisms for the transfer of servicing rights due to underperformance

»ASF Project RESTART »Request for comment on both servicer and performance metrics and a model set of servicing provisions – Winter 2008

Part VSIFMA/ASF/ESF Joint WG to restore confidence in securitisation markets

(Confidential Extract from Draft Report)


Background

Composition

~ 30 members, joint investor and dealer membership at senior level, global

Designated by the PWG

Process

Identify and prioritise key issues to restart the market, based on over 100 in-depth interviews and over 400 detailed surveys of securitisation market players

Issue white paper, including practical, actionable and prioritised recommendations

McKinsey support

Structure

1. Most important root causes of the turmoil

2. Securitisation market outlook: investors, products, OTD model

3. Priority areas for industry action

4. Recommendations

Timing: October


Priority Challenges to Restoring Confidence

Respondents see better disclosure, restored confidence in CRAs, and increased transparency as key to restoring confidenceAverage weight given by respondents allocating 100 points across 6 factors

9.3

13.0

16.6

19.7

20.6

20.9

Revisions to accounting rules and capital treatment

Better alignment of incentives between stakeholders across securitization value chain

Enhanced disclosure and standardization of information

Restored confidence in CRAs

Greater price transparency and/or valuation certainty

Better ability to evaluate,measure, and manage risk


Priority Challenges to Restoring Confidence

Stakeholders view disclosure and valuation as most critical to restarting the marketRelative importance of factor to restoring confidence in the securitization markets in the near-termAverage relative rating received

3.21

3.18

3.17

3.07

4.21

4.11

4.03

3.99

3.86

3.74

3.65

3.60

3.60

3.59

3.55

3.48

3.28

Disclosure of information on underlying assets

Confidence in data and assumptions informing valuation methodologies

Confidence in valuation methodologies for individual securities

Disclosure of collateral underwriting and origination practices

Aligning incentives at the originator level

Standardization and simplification of documentation

Aligning incentives at the rating agency level

Public dissemination of actual trade prices for individual securities

Improved disclosure for exposure to securitized/structured product risks

Changes to mark-to-market accounting rules

Greater transparency regarding bid and ask spreads for reported trades

Aligning incentives at the dealer/arranger level

Revisions to rules for off-balance sheet treatment of securitization vehicles

Alignment of institutional and individual incentives within firms

Aligning incentives at the servicer level

Aligning incentives at the investor level

Revision to regulatory capital requirements for securitized products

Disclosure

Valuations/pricing

Incentives

Accounting/capital

Average rating on 1-5 scale3.60

ECB Liquidity Management in times of market turmoilof market turmoil

Paul Mercier

London, 09 September 2008p

Simplified Balance Sheet - Eurosystem

Assets Liabilities

Net foreign reserves Banknotes in circulation

Monetary policy (net credit provided to the banking sector)

Reserves requirements

Consolidated balance sheet of the Eurosystem

Normal Conditions - Maintenance period 11 July – 7 August 2007J y g

280 0

300.0

[EUR billions]

240.0

260.0

280.0

180 0

200.0

220.0

140.0

160.0

180.0

100.0

120.0

11/07/07 14/07/07 17/07/07 20/07/07 23/07/07 26/07/07 29/07/07 01/08/07 04/08/07 07/08/07

Daily current accounts Reserve requirements

The turmoil - Maintenance period 8 August 2 – 11 September 2007

300.0

[EUR billions]

240.0

260.0

280.0

180 0

200.0

220.0

140.0

160.0

180.0

100.0

120.0

08/08/07 11/08/07 14/08/07 17/08/07 20/08/07 23/08/07 26/08/07 29/08/07 01/09/07 04/09/07 07/09/07 10/09/07

Daily current accounts Reserve requirements

Maintenance period 11 July - 7 August 2007

Daily reserve surplus/deficit (left-hand scale) Average daily reserve surplus (left-hand scale) EONIA (right-hand scale)

80.0

100.0

120.0

4 60

4.80

5.00

MRO with benchmark +1.0 bn




regular LTRO of 50 bn

0.0

20.0

40.0

60.0

billi

ons

4.00

4.20

4.40

4.60

%

-80.0

-60.0

-40.0

-20.0EUR

b

3.40

3.60

3.80

-120.0

-100.0

11 J

ul 0

7

12 J

ul 0

7

13 J

ul 0

7

14 J

ul 0

7

15 J

ul 0

7

16 J

ul 0

7

17 J

ul 0

7

18 J

ul 0

7

19 J

ul 0

7

20 J

ul 0

7

21 J

ul 0

7

22 J

ul 0

7

23 J

ul 0

7

24 J

ul 0

7

25 J

ul 0

7

26 J

ul 0

7

27 J

ul 0

7

28 J

ul 0

7

29 J

ul 0

7

30 J

ul 0

7

31 J

ul 0

7

01 A

ug 0

7

02 A

ug 0

7

03 A

ug 0

7

04 A

ug 0

7

05 A

ug 0

7

06 A

ug 0

7

07 A

ug 0

7

3.00

3.20

Maintenance period 8 August - 11 September 2007


FTO of MRO with MRO with MRO with supplementary

60 0

80.0

100.0

4 60

4.80

5.00

FTO of 94.8 bnFTO of 61.1 bn

FTO of -60.0 bn

FTO of 42.2 bnbenchmark +5.0 bnMRO with

benchmark +73.5 bn


benchmark +14.5 bn

pp yLTRO of 40.0 bn

regular LTRO


0.0

20.0

40.0

60.0

billi

ons

4.00

4.20

4.40

4.60

%

gof 50.0 bn

-60.0

-40.0

-20.0EUR

3.40

3.60

3.80

FTO of 47.7 bn

FTO of 7.7 bn

-100.0

-80.0

08 A

ug 0

709

Aug

07

10 A

ug 0

711

Aug

07

12 A

ug 0

713

Aug

07

14 A

ug 0

715

Aug

07

16 A

ug 0

717

Aug

07

18 A

ug 0

719

Aug

07

20 A

ug 0

721

Aug

07

22 A

ug 0

723

Aug

07

24 A

ug 0

725

Aug

07

26 A

ug 0

727

Aug

07

28 A

ug 0

729

Aug

07

30 A

ug 0

731

Aug

07

01 S

ep 0

702

Sep

07

03 S

ep 0

704

Sep

07

05 S

ep 0

706

Sep

07

07 S

ep 0

708

Sep

07

09 S

ep 0

710

Sep

07

11 S

ep 0

7

3.00

3.20

Maintenance period 12 September – 9 October 2007


MRO with MRO with MRO with MRO with FTO of

60.0

80.0

100.0

4.60

4.80

5.00

benchmark +10.0 bnsupplementary LTRO of 75.0 bn

benchmark +36.0 bn

benchmark +33.0 bn

benchmark +7.5 bn

FTO of -24.5 bn

regular LTRO of 50.0 bn

0.0

20.0

40.0

R b

illio

ns

4.00

4.20

4.40

%

-60.0

-40.0

-20.0EUR

3.40

3.60

3.80

-100.0

-80.0

12 S

ep 0

7

13 S

ep 0

7

14 S

ep 0

7

15 S

ep 0

7

16 S

ep 0

7

17 S

ep 0

7

18 S

ep 0

7

19 S

ep 0

7

20 S

ep 0

7

21 S

ep 0

7

22 S

ep 0

7

23 S

ep 0

7

24 S

ep 0

7

25 S

ep 0

7

26 S

ep 0

7

27 S

ep 0

7

28 S

ep 0

7

29 S

ep 0

7

30 S

ep 0

7

01 O

ct 0

7

02 O

ct 0

7

03 O

ct 0

7

04 O

ct 0

7

05 O

ct 0

7

06 O

ct 0

7

07 O

ct 0

7

08 O

ct 0

7

09 O

ct 0

7

3.00

3.20

Maintenance period 10 October – 13 November 2007


MRO with benchmark MRO with MRO with MRO with benchmark MRO ith FTO of

60.0

80.0

100.0

4.60

4.80

5.00

+40.0 bnFTO of -30 bn


MRO with benchmark +14.5 bn +9.5 bn MRO with

benchmark +3.5 bn


-27.8 bn

0.0

20.0

40.0

bill

ions

4.00

4.20

4.40

%

-60.0

-40.0

-20.0EUR

3.40

3.60

3.80

-100.0

-80.0

10 O

ct 0

711

Oct

07

12 O

ct 0

713

Oct

07

14 O

ct 0

715

Oct

07

16 O

ct 0

717

Oct

07

18 O

ct 0

719

Oct

07

20 O

ct 0

721

Oct

07

22 O

ct 0

723

Oct

07

24 O

ct 0

725

Oct

07

26 O

ct 0

727

Oct

07

28 O

ct 0

729

Oct

07

30 O

ct 0

731

Oct

07

01 N

ov 0

702

Nov

07

03 N

ov 0

704

Nov

07

05 N

ov 0

706

Nov

07

07 N

ov 0

708

Nov

07

09 N

ov 0

710

Nov

07

11 N

ov 0

712

Nov

07

13 N

ov 0

7

3.00

3.20

Maintenance period 14 November – 11 December 2007


MRO with benchmark +20 0 bn

MRO with benchmarkregular LTRO of

supplementary LTRO of 60 0 bn

60.0

80.0

100.0

4.60

4.80

5.00

+20.0 bn


MRO with benchmark+30.0 bn

benchmark +10.0 bn

g50.0 bn

LTRO of 60.0 bnFTO of-8.0 bn

FTO of-21.0 bn

0.0

20.0

40.0

R bi

llion

s

4.00

4.20

4.40

%

-60.0

-40.0

-20.0EUR

3.40

3.60

3.80

-100.0

-80.0

14 N

ov 0

715

Nov

07

16 N

ov 0

7

17 N

ov 0

718

Nov

07

19 N

ov 0

7

20 N

ov 0

721

Nov

07

22 N

ov 0

7

23 N

ov 0

724

Nov

07

25 N

ov 0

7

26 N

ov 0

727

Nov

07

28 N

ov 0

729

Nov

07

30 N

ov 0

701

Dec

07

02 D

ec 0

7

03 D

ec 0

704

Dec

07

05 D

ec 0

7

06 D

ec 0

707

Dec

07

08 D

ec 0

7

09 D

ec 0

710

Dec

07

11 D

ec 0

7

3.00

3.20

Maintenance period 12 December 2007 – 15 January 2008

Daily reserve surplus/deficit (left-hand scale) Average daily reserve surplus (left-hand scale) EONIA (right-hand scale)MRO with benchmark 2-weeks MRO with

MRO of 20 0 bn MRO ith

60.0

80.0

100.0

4.60

4.80

5.00

+35.0 bn benchmark +168.1 bn MRO of 20.0 bn MRO with benchmark +35.0 bnsupplementary LTRO

of 60.0 bn

FTO of



0.0

20.0

40.0

billi

ons

4.00

4.20

4.40

%

FTO of-200.0 bn

-60.0

-40.0

-20.0

EUR

3.40

3.60

3.80

FTO of-36.6 bn

FTO of-145.6 bn

FTO of

FTO of-141.6 bn FTO of

FTO of-168.6 bn

FTO of

-100.0

-80.0

12 D

ec 0

713

Dec

07

14 D

ec 0

715

Dec

07

16 D

ec 0

717

Dec

07

18 D

ec 0

719

Dec

07

20 D

ec 0

721

Dec

07

22 D

ec 0

723

Dec

07

24 D

ec 0

725

Dec

07

26 D

ec 0

727

Dec

07

28 D

ec 0

729

Dec

07

30 D

ec 0

731

Dec

07

01 J

an 0

802

Jan

08

03 J

an 0

804

Jan

08

05 J

an 0

806

Jan

08

07 J

an 0

808

Jan

08

09 J

an 0

810

Jan

08

11 J

an 0

812

Jan

08

13 J

an 0

814

Jan

08

15 J

an 0

8

3.00

3.20

FTO of-133.6 bn FTO of

-150.0 bn

-150.0 bnFTO of -101.6 bn

-20.0 bn

1 1 1 1 1 1 1 1 2 2 2 2 2 2 2 2 2 2 3 3 0 0 0 0 0 0 0 0 0 1 1 1 1 1 1

Maintenance period 16 January - 12 February 2008


60.00

80.00

100.00

4.60

4.80

5.00

MRO with benchmark

MRO with benchmark +17.0 bn MRO with

benchmark +4.0 bn


0.00

20.00

40.00

UR b

illio

ns

4.00

4.20

4.40

%

+10.0 bn

-60.00

-40.00

-20.00EU

3.40

3.60

3.80

regular LTRO of 50 0 bn

FTO of-16.0 bn

-100.00

-80.00

16 J

an 0

8

17 J

an 0

8

18 J

an 0

8

19 J

an 0

8

20 J

an 0

8

21 J

an 0

8

22 J

an 0

8

23 J

an 0

8

24 J

an 0

8

25 J

an 0

8

26 J

an 0

8

27 J

an 0

8

28 J

an 0

8

29 J

an 0

8

30 J

an 0

8

31 J

an 0

8

01 F

eb 0

8

02 F

eb 0

8

03 F

eb 0

8

04 F

eb 0

8

05 F

eb 0

8

06 F

eb 0

8

07 F

eb 0

8

08 F

eb 0

8

09 F

eb 0

8

10 F

eb 0

8

11 F

eb 0

8

12 F

eb 0

8

3.00

3.20of 50.0 bn

Maintenance period 13 February - 11 March 2008


60

80

100

4.6

4.8

5

MRO with benchmark




FTO of+9.0 bn

supplementary LTRO of 60.0 bn

0

20

40

UR b

illio

ns

4

4.2

4.4

%

+10.0 bn

-60

-40

-20EU

3.4

3.6

3.8

regular LTRO of 50 0 bn

-100

-80

13 F

eb 0

8

14 F

eb 0

8

15 F

eb 0

8

16 F

eb 0

8

17 F

eb 0

8

18 F

eb 0

8

19 F

eb 0

8

20 F

eb 0

8

21 F

eb 0

8

22 F

eb 0

8

23 F

eb 0

8

24 F

eb 0

8

25 F

eb 0

8

26 F

eb 0

8

27 F

eb 0

8

28 F

eb 0

8

29 F

eb 0

8

01 M

ar 0

8

02 M

ar 0

8

03 M

ar 0

8

04 M

ar 0

8

05 M

ar 0

8

06 M

ar 0

8

07 M

ar 0

8

08 M

ar 0

8

09 M

ar 0

8

10 M

ar 0

8

11 M

ar 0

8

3

3.2of 50.0 bn

Maintenance period 12 March - 15 April 2008


80

100

4.8

5






0

20

40

60

llion

s

4

4.2

4.4

4.6

%

+50.0 bn

60

-40

-20

0

EUR

bi

3 4

3.6

3.8

4 %

regular LTRO of

FTO of


supplementary FTO of

-100

-80

-60

Mar

08

Mar

08

Mar

08

Mar

08

Mar

08

Mar

08

Mar

08

Mar

08

Mar

08

Mar

08

Mar

08

Mar

08

Mar

08

Mar

08

Mar

08

Mar

08

Mar

08

Mar

08

Mar

08

Mar

08

Apr 0

8

Apr 0

8

Apr 0

8

Apr 0

8

Apr 0

8

Apr 0

8

Apr 0

8

Apr 0

8

Apr 0

8

Apr 0

8

Apr 0

8

Apr 0

8

Apr 0

8

Apr 0

8

Apr 0

8

3

3.2

3.4+15.0 bnFTO of+15.0 bn

6M LTRO of 25.0 -15.0 bn

12 M

13 M

14 M

15 M

16 M

17 M

18 M

19 M

20 M

21 M

22 M

23 M

24 M

25 M

26 M

27 M

28 M

29 M

30 M

31 M

01 A

02 A

03 A

04 A

05 A

06 A

07 A

08 A

09 A

10 A

11 A

12 A

13 A

14 A

15 A

Maintenance period 16 April - 13 May 2008


60.00

80.00

100.00

4.60

4.80

5.00MRO with benchmark +20.0 bn




0.00

20.00

40.00

UR

billi

ons

4.00

4.20

4.40

%

-60.00

-40.00

-20.00

EU

3.40

3.60

3.80


FTO of-23.5 bn

-100.00

-80.00

16 A

pr 0

8

17 A

pr 0

8

18 A

pr 0

8

19 A

pr 0

8

20 A

pr 0

8

21 A

pr 0

8

22 A

pr 0

8

23 A

pr 0

8

24 A

pr 0

8

25 A

pr 0

8

26 A

pr 0

8

27 A

pr 0

8

28 A

pr 0

8

29 A

pr 0

8

30 A

pr 0

8

01 M

ay 0

8

02 M

ay 0

8

03 M

ay 0

8

04 M

ay 0

8

05 M

ay 0

8

06 M

ay 0

8

07 M

ay 0

8

08 M

ay 0

8

09 M

ay 0

8

10 M

ay 0

8

11 M

ay 0

8

12 M

ay 0

8

13 M

ay 0

8

3.00

3.20

Maintenance period 14 May - 10 June 2008


80.00

100.00

4.80





0 00

20.00

40.00

60.00

billi

ons

4 00

4.20

4.40

4.60

%

-60.00

-40.00

-20.00

0.00

EU

R b

3.40

3.60

3.80

4.00 %


FTO of


-100.00

-80.00

14 M

ay 0

8

15 M

ay 0

8

16 M

ay 0

8

17 M

ay 0

8

18 M

ay 0

8

19 M

ay 0

8

20 M

ay 0

8

21 M

ay 0

8

22 M

ay 0

8

23 M

ay 0

8

24 M

ay 0

8

25 M

ay 0

8

26 M

ay 0

8

27 M

ay 0

8

28 M

ay 0

8

29 M

ay 0

8

30 M

ay 0

8

31 M

ay 0

8

01 J

un 0

8

02 J

un 0

8

03 J

un 0

8

04 J

un 0

8

05 J

un 0

8

06 J

un 0

8

07 J

un 0

8

08 J

un 0

8

09 J

un 0

8

10 J

un 0

8

3.00

3.20-14.0 bn

Maintenance period 11 June – 8 July 2008


80.00

100.00

4.80





20.00

40.00

60.00

llion

s 4.20

4.40

4.60+35.0 bn 3.0 bn

-60.00

-40.00

-20.00

0.00

EU

R b

il

3.40

3.60

3.80

4.00 %


regular LTROof 50 0 bn FTO f

-100.00

-80.00

11 J

un 0

8

12 J

un 0

8

13 J

un 0

8

14 J

un 0

8

15 J

un 0

8

16 J

un 0

8

17 J

un 0

8

18 J

un 0

8

19 J

un 0

8

20 J

un 0

8

21 J

un 0

8

22 J

un 0

8

23 J

un 0

8

24 J

un 0

8

25 J

un 0

8

26 J

un 0

8

27 J

un 0

8

28 J

un 0

8

29 J

un 0

8

30 J

un 0

8

01 J

ul 0

8

02 J

ul 0

8

03 J

ul 0

8

04 J

ul 0

8

05 J

ul 0

8

06 J

ul 0

8

07 J

ul 0

8

08 J

ul 0

8

3.00

3.20

O o 50 0 b of 50.0 bn FTO of-14.6 bn

1 1 1 1 1 1 1 1 1 2 2 2 2 2 2 2 2 2 2 3 0 0 0 0 0 0 0 0

Maintenance period 9 July – 12 August 2008


80.00

100.00

5.05






20.00

40.00

60.00

llion

s 4.45

4.65

4.858.0 bn

-60.00

-40.00

-20.00

0.00

EU

R b

il

3.65

3.85

4.05

4.25 %

supplementary 6M LTRO of 25.0 bn

regular LTROof 50.0 bn

FTO f

-100.00

-80.00

09 J

ul 0

810

Jul

08

11 J

ul 0

812

Jul

08

13 J

ul 0

814

Jul

08

15 J

ul 0

816

Jul

08

17 J

ul 0

818

Jul

08

19 J

ul 0

820

Jul

08

21 J

ul 0

822

Jul

08

23 J

ul 0

824

Jul

08

25 J

ul 0

826

Jul

08

27 J

ul 0

828

Jul

08

29 J

ul 0

830

Jul

08

31 J

ul 0

801

Aug

08

02 A

ug 0

803

Aug

08

04 A

ug 0

805

Aug

08

06 A

ug 0

807

Aug

08

08 A

ug 0

809

Aug

08

10 A

ug 0

811

Aug

08

12 A

ug 0

8

3.25

3.45

FTO of-21.0 bn

0 2 2 2 2 2 2 2 2 2 2 3 3 0 0 0 0 0 0 0 0 0 1 1 1

Maintenance period 13 August - 9 September 2008


80.00

100.00

5.05



MRO with benchmark 9 0 bn


20.00

40.00

60.00

llion

s 4.45

4.65

4.859.0 bn

-60.00

-40.00

-20.00

0.00

EU

R b

il

3.65

3.85

4.05

4.25 %


regular LTROof 50.0 bn

-100.00

-80.00

13 A

ug 0

8

14 A

ug 0

8

15 A

ug 0

8

16 A

ug 0

8

17 A

ug 0

8

18 A

ug 0

8

19 A

ug 0

8

20 A

ug 0

8

21 A

ug 0

8

22 A

ug 0

8

23 A

ug 0

8

24 A

ug 0

8

25 A

ug 0

8

26 A

ug 0

8

27 A

ug 0

8

28 A

ug 0

8

29 A

ug 0

8

30 A

ug 0

8

31 A

ug 0

8

01 S

ep 0

8

02 S

ep 0

8

03 S

ep 0

8

04 S

ep 0

8

05 S

ep 0

8

06 S

ep 0

8

07 S

ep 0

8

08 S

ep 0

8

09 S

ep 0

8

3.25

3.45

1 1 1 1 1 1 1 2 2 2 2 2 2 2 2 2 2 3 3 0 02 03 04 05 06 07 08 09

The modified maturity pattern

600,000

500,000

6m LTRO 3m LTRO MRO

300,000

400,000

200,000

0

100,000

Jan-06 Apr-06 Jul-06 Nov-06 Feb-07 May-07 Sep-07 Dec-07 Mar-08 Jun-08

European Repo Council

15th European repo market surveyJune 2008

ERC General Meeting

London, 9th September 2008

European Repo Council 15th European repo market survey

Survey overview

Outstanding value of contracts at close on 11th June 2008

61 responses from 58 groups

Respondents headquartered in 13 European countries, US, Japan


Headline numbers

June 2008 EUR 6,504 billion December 2007 EUR 6,382 billion June 2007 EUR 6,775 billion December 2006 EUR 6,430 billion June 2006 EUR 6,019 billion December 2005 EUR 5,883 billion June 2005 EUR 5,319 billion December 2004 EUR 5,000 billion June 2004 EUR 4,561 billion December 2003 EUR 3,788 billion June 2003 EUR 4,050 billion December 2002 EUR 3,377 billion June 2002 EUR 3,305 billion December 2001 EUR 2,298 billion June 2001 EUR 1,863 billion


0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

Jun

-01

De

c-0

1

Jun

-02

De

c-0

2

Jun

-03

De

c-0

3

Jun

-04

De

c-0

4

Jun

-05

De

c-0

5

Jun

-06

De

c-0

6

Jun

-07

De

c-0

7

Jun

-08

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

2001

H1

2001

H2

2002

H1

2002

H2

2003

H1

2003

H2

2004

H1

2004

H2

2005

H1

2005

H2

2006

H1

2006

H2

2007

H1

2007

H2

US

D b

illio

n


Source: FRBNY

US primary dealers


Organic growth

59 respondents in last 3 surveys year-on-year = -0.2% H1 = +2.5% H2 = -2.3%


repo 48.8%, reverse repo 51.2% repo books: 19 expand, 41 contract


Counterparty analysis

Direct44.4%

Triparty10.1%

Broker21.1%

ATS24.4%


Counterparty analysis

0%10%20%30%40%50%60%70%80%90%

100%

Dec-

01

Dec-

02

Dec-

03

Dec-

04

Dec-

05

Dec-

06

Dec-

07

ATSBrokerTripartyDirect


Geographical analysis

Domestic32.2%

Eurozone26.8%

Anonymous12.7%

Non-eurozone28.3%


Geographical analysis

0%10%20%30%40%50%60%70%80%90%

100%

Dec-

01

Dec-

02

Dec-

03

Dec-

04

Dec-

05

Dec-

06

Dec-

07

Anon.NoneuroEuroDomestic


ATS geographical analysis (1)

non-anonymous

ATS22.1%

anonymous ATS

77.9%


ATS geographical analysis (2)

extra EUR1.3%

cross EUR42.1%

domestic41.4%

intra EUR15.1%


Currency analysis

EUR66.6%

GBP14.5%

other6.2%USD

12.7%


Currency analysis

0%10%20%30%40%50%60%70%80%90%

100%

Dec-

01

Dec-

02

Dec-

03

Dec-

04

Dec-

05

Dec-

06

Dec-

07

otherUSDGBPEUR


Currency analysis

Main survey

EUR66.6%

GBP14.5%

other6.2%USD

12.7%

Triparty

EUR71.1%

GBP10.5%

other1.1%

USD17.3%


Currency analysis --- triparty repos

EUR39.8%

GBP10.7%

other4.8%

USD44.6% EUR

62.7%

GBP17.0%

other2.1%USD

18.2%

EUR71.2%

GBP10.5%

other1.0%USD

17.3%

June 2007 June 2008December 2007


Currency analysis

Main survey

EUR66.6%

GBP14.5%

other6.2%USD

12.7%

ATS

EUR84.9%

GBP7.5%

other1.0%

CHF6.6%


Collateral analysis

Japan2.1%

US3.0%

UK14.9%

IT12.4%

DE25.5%

etc12.9%

other EUR9.8%

BE3.5%

ES5.0%

FR10.9%


Collateral analysis

0%10%20%30%40%50%60%70%80%90%

100%

Dec-

01

Dec-

02

Dec-

03

Dec-

04

Dec-

05

Dec-

06

Dec-

07

otherother EUUKFRITDE


Collateral analysis

Main survey

DE25.5%

IT12.4%

UK14.9%

other EU20.1%

other16.2%

FR10.9%

Triparty

other EU33.4%

other21.0%

UK11.7%

DE17.1%

IT7.2%

FR9.7%


Collateral analysis --- triparty repos

June 2008

other EU33.4%

other21.0%

UK11.7%

DE17.1%

IT7.2%

FR9.7%

December 2007

other EU21.4%

other46.4%

UK9.1%

DE12.3% IT

3.4%FR

7.4%

June 2007

other EU18.4%

other51.8%

UK7.7%

DE11.7% IT

3.1%FR

7.3%


Collateral analysis

EU govis81.0%

other EU19.0%


Collateral analysis

50%55%60%65%70%75%80%85%90%95%

100%

Dec-

01

Dec-

02

Dec-

03

Dec-

04

Dec-

05

Dec-

06

Dec-

07

other EUEU govis


Collateral analysis

Main survey

EU govis81.0%

other EU19.0%

Triparty

EU govis33.7%

other EU66.3%


Collateral analysis --- triparty repo

December 2007

EU govis43.8%

other EU56.2%

June 2007

EU govis43.6%other EU

54.4%

June 2008

EU govis33.7%

other EU66.3%


Collateral analysis --- EU govis in triparty repos

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Jun-07 Dec-07 Jun-08

A12UKSwedenSpainPortugalNethsLuxItalyIrelandGreeceGermanyFranceFinlandDenmarkBelgiumAustria


Collateral analysis --- EU govis in triparty repos

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Aus

tria

Bel

gium

Den

mar

k

Finl

and

Fran

ce

Ger

man

y

Gre

ece

Irela

nd Italy

Lux

Net

hs

Por

tuga

l

Spa

in

Sw

eden UK

A12

Jun-07Dec-07Jun-08

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Jun-07 Dec-07 Jun-08

A12UKSwedenSpainPortugalNethsLuxItalyIrelandGreeceGermanyFranceFinlandDenmarkBelgiumAustria


Collateral analysis --- non-govis in triparty repos

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Aus

tria

Bel

gium

Den

mar

k

Finl

and

Fran

ce

Ger

man

y

Gre

ece

Irela

nd

Italy

Lux

Net

hs

Por

tuga

l

Spa

in

Sw

eden UK

A12

Jun-07Dec-07Jun-08


Collateral analysis --- non-govis in triparty repos


Collateral analysis --- triparty repo

December 2007

bonds 72.3%

equity 15.1%

unknown12.6%

June 2007

bonds 66.4%

equity 21.0%

unknown12.6%

June 2008

bonds96.9%

equity2.4%

unknown0.7%


Collateral analysis

Main survey

EU govis81.0%

other EU19.0%

voice-broker

govis46.6%other

53.4%


Maturity analysis

15.1%

18.7%

13.0%

6.9%8.4%

1.6%3.9% 4.9%

27.5%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

1D 1W 1M 3M 6M 12M

+12M

fd-fd

open


Maturity analysis

0%10%20%30%40%50%60%70%80%90%

100%

Dec-

01

Dec-

02

Dec-

03

Dec-

04

Dec-

05

Dec-

06

Dec-

07

openfdfd+6M6M3M1M1W1D


Maturity analysis

0%

5%

10%

15%

20%

25%

30%D

ec-

01

Dec-

02

Dec-

03

Dec-

04

Dec-

05

Dec-

06

Dec-

07

1D1W1M3M6M+6Mfdfdopen


Maturity analysis

0%

5%

10%

15%

20%

25%

30%

35%

1D 1W 1M 3M 6M +6M fd-fd open

maintriparty

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

1D 1W 1M 3M 6M +6M

Jun-07Dec-07Jun-08


Maturity analysis --- triparty repos


Maturity analysis

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%


mainATS

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%


Jun-07Dec-07Jun-08


Maturity analysis --- ATS


Maturity analysis

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%


mainvoice broker


Maturity analysis

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%


ATSvoice broker


Rate analysis

fixed84.8%

floating10.4%

open4.8%


Rate analysis

50%55%60%65%70%75%80%85%90%95%

100%

Dec-

01

Dec-

02

Dec-

03

Dec-

04

Dec-

05

Dec-

06

Dec-

07

openfloating ratefixed rate


Product analysis

repo78.3%

lending21.7%


Date of next survey

10th December 2008

Opening & Update on recent developments repo/reverse repo Not included in US Borrowers need to...

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