ASIFMA publishes Asia repo market survey

ICMA’s European Repo and Collateral Council (ERCC) and ASIFMA have published the results of a second survey of the Asia-Pacific repo market. Using similar methodology to the long-established ICMA ERCC European repo market survey, the latest Asia-Pacific survey reports the value of repos and reverse repo on 10 June 2020.

The report has split the Asian survey into two parallel surveys, one for the repo market in Japan and the other for the repo market in the rest of the APAC region. The Japan survey reported an outstanding value on June 10 of $215.7 billion and average daily turnover over the previous six months of $192.4 billion, with an average deal size of about $260 million.

The non-Japan Asia survey reported $216.7 billion in outstanding value and average daily turnover was $73.1 billion, with an average deal size of some $71 million.

Philippe Dirckx, managing director for Fixed Income at ASIFMA, said in a statement: “This report provides a unique mapping of the Asian repo landscape for ASIFMA and its industry members to identify, discuss and advocate how secured funding can become more prominent in the region and enable seamless access to collateral and liquidity”

Main survey findings

  • For reporting banks outside Japan, most of their counterparties were located in Europe and other regions outside Asia (probably the US) and the bulk of reported repo business outside Japan was cross-border.
  • The overwhelming share of reported repos was executed directly between parties by telephone and electronic messaging. Voice-brokers played a more significant role in Japan than elsewhere in APAC. Automatic and automated trading was very limited.
  • CCP-clearing accounted for most of the Japan survey but little of the remaining APAC survey.
  • The Japanese yen predominated in the Japan survey, with the remaining business mainly in US dollars, euros and Australian dollars. While the yen was important in the rest of APAC, the predominant currency was the US dollar, with significant business also in Australian dollars and euros.
  • The Japan survey was dominated by gentan repo, which means it was very different to the composition of the Japanese market as reported by the Bank of Japan and the JSDA (mainly gensaki). The non-Japan Asia survey was overwhelming in repurchase transactions and most of the remainder was documented buy/sell-backs. Chinese pledged repo had a small share.
  • Almost 89% of APAC transactions (excluding Japan) were documented under the GMRA.
  • All the reported transactions in the Japan survey were fixed-rate. In the rest of APAC, the proportion of floating-rate and open repos were similar to that in Europe.
  • The maturity distribution of the Japan survey was similar to that of the ICMA European repo survey with two exceptions: forward repos were even more prominent in the Japan survey; and there was minimal business beyond three months in the Japan survey.
  • As expected, Japanese securities dominated the Japan survey with small shares in US Treasuries and eurozone non-government securities. In the rest of APAC, Japanese securities were also the largest component but there was a much more diverse pool of collateral, with significant shares in Australian securities and US Treasuries, and material business in bonds issued by IFIs, other APAC issuers, eurozone governments, Chinese issuers, US non-government issuers and Singaporean issuers as well as in equity.

Read the full survey

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