Recent developments in Money Markets Johan Evenepoel
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1 Recent developments in Money Markets Johan Evenepoel November 6th,
2 Main drivers of Money Markets today (1/3) Monetary policy developments (1/2) Global reflation trade making a comeback in the main markets triggering policy normalization. Extra ordinary measures being scaled back Target Rates under upward pressure Year-on-year growth of central bank balance sheets ( , actuals and JPM projections, %) Source: JPM 2
3 Main drivers of Money Markets today (2/3) Monetary policy developments (2/2).. However global liquidity to remain abundant that creates a certain level of complacency at Money Market desks ECB excess liquidity ( ) Source: Bloomberg Finance 3
4 Main drivers of Money Markets today (3/3) Regulatory developments Regulatory changes still an important driver as market participants continue to adapt business plans Capital & Liquidity rules Accounting & Credit changes Culture & Conduct changes (monitoring, reporting) 4
5 Year end 2016 blows out reference point German specials Repo rates (Nov to Jan. 2017, %) Source: Brokertec 5
6 Less intermediation capacity due to regulatory developments squeezed part of the market (buy & sell side) Repo Funds rate (Aug to Jan. 2017, %) Source: ICMA 6
7 Year end developments fears resurface each quarter end, being the main driver T-Bill Rates (Oct to Jan. 2017, %) Source: ICMA 7
8 Markets are adapting trading approach Repo funds (Dec to Sept. 2017) RepoFunds Germany Volume France Volume Euro Volume 31 Dec 4.88% 28, % 19, % 167, Mar 1.87% 43, % 37, % 239, Jun 1.16% 50, % 49, % 275, Sep 0.97% 55, % 52, % 281,847 Source: Brokertec 8
9 Repo markets volumes rising and dealing strategies adapting to new environment Repo funds (Dec to Sept. 2017) Source: Bloomberg 9
10 European Repo Market survey conducted June 2017 Total value at close of business on a specific date in June and December Source: ICMA 10
11 Repo markets volumes rising (1/3) Demand for HLQA remains the main driver of repo business, given the continuing growth in the already large share of government bonds The share of government bonds within the pool of EU-originated fixed-income collateral continued to grow, reaching a 13-year high of 87.6% Source: ICMA 11
12 Repo markets volumes rising (2/3) Additional demand for securities. Increase of Initial margin at CCP: CSDR regulation New regulation margin requirements for non-centrally cleared derivatives (September 2016) Initial margin Pledge Structure proposal for repo activity & lending (to further compress credit needs more and more people are looking into segregated margin) Source: EACH (CPMI-IOSCO public quantitative disclosure) 12
13 Repo markets volumes rising (3/3).. Less securities available due to QE ECB lending program working better, more integrated in business models ECB PSPP lending (Dec to Aug. 2017) Source: ICMA 13
14 European Repo Market survey conducted June 2017 Currency comparison (June 2017, %) 14
15 FX swap market thriving in changed Money Markets FX basis important trading driver to optimize FX swap market Eonia vs. Fed funds ( , 3m basis) Source: Bloomberg Finance 15
16 Similarly to repo markets, FX EUR/USD show relaxation after last year blow out FX EUR/USD (Nov to Oct. 2017, 1 week basis) Source: Bloomberg Finance 16
17 FX swap market : resilient and increasing volumes Turnover in various money market segments ( , index 100 in 2003) Source: ECB 17
18 Unsecured Money Market: contraction continues (1/3) Due to excess liquidity and regulatory changes, unsecured market has become a residual activity Inter bank term cash market non existent - IBOR is to a large extend a modeled benchmark - Balance sheet & capital cost simply too high Inter bank short term cash less relevant in terms of volume and distribution: last resort instrument - Eonia is still supported but discrepancies across markets - ECB to publish a new unsecured overnight interest rate (2020) Intraday liquidity management becoming more and more important 18
19 Unsecured Money Market: contraction continues (2/3) Excess liquidity marginalizing Eonia fixing Source: Bloomberg Finance 19
20 Unsecured Money Market: contraction continues (3/3) Eonia basis compressed leaving no value (example 1y*3m) Source: Bloomberg Finance 20
21 Rates German sovereign curve Source: Bloomberg Finance 21
22 Rate expectations Schatz CTD EONIA spread Source: Bloomberg Finance 22
23 Regulatory developments Repo & lending markets - Opportunities Upcoming MIFID II, SFTR, MIFIR, is consuming gigantic budgets to be ready Uncertainty about the scope and ambiguity in the RTS leaving room for interpretation. This is creating confusion Hurdle to enter the market NSFR Opportunities for balance sheet netting in T2S Offsetting of financial assets and liabilities arising from transactions settled through the T2S single settlement platform in accordance with International Accounting Standards. (IAS 32) Eurobonds in T2S ECB proposed to develop a harmonized collateral management solution for Euro system credit operations, the Euro system Collateral Management System (ECMS) 23
24 How will the market react to reduced liquidity US we are getting QT ECB is scaling back QE Long term refinance operations are rolling off Quid replacement due to regulatory pressure Source: ECB 24
25 25
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