ICMA repo survey form for brokers - Excel

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ICMA repo survey form for brokers - Excel Powered By Docstoc
					ICMA European Repo Council (ERC) European repo market survey for BROKERS - June 10, 2009

Please read the Guidance Notes at the bottom of the form.
If possible, give all amounts in euros . If this is not possible, indicate which currency or currencies you are using in the box on the right.
Round all amounts to the nearest million (but if your figures include decimal points, use full stops, not commas).

What is the total gross value of the repo and reverse repo transactions that you have brokered that will mature after June 10, 2009?

   1 How much of the total gross value is:                                    (1.1) between counterparties in the same country
                                                                              (1.2) cross-border between counterparties both in eurozone countries
                                                                              (1.3) cross-border between counterparties of which only one is in the eurozone
                                                                              (1.4) cross-border between counterparties both outside the eurozone

   2 How much of the gross total value is against cash denominated in:        (2.1) EUR
                                                                              (2.2) GBP
                                                                              (2.3) USD
                                                                              (2.4) SEK, DKK
                                                                              (2.5) JPY
                                                                              (2.6) CHF
                                                                              (2.7) other currencies

   3 How much of the total gross value is:                                    (3.1) for value before June 13, 2009, and has a remaining term to maturity of:
                                                                                                    (3.1.1) 1 day
                                                                                                    (3.1.2) 2-7days
                                                                                                    (3.1.3) more than 7 days but no more than 1 month
                                                                                                    (3.1.4) more than 1 month but no more than 3 months
                                                                                                    (3.1.5) more than 3 months but no more than 6 months
                                                                                                    (3.1.6) more than 6 months but no more than 12 months
                                                                                                    (3.1.7) more than 12 months
                                                                              (3.2) for value after June 12, 2009 (i.e. forward-forward repos)
                                                                              (3.3) open repos (i.e. terminable on demand with no initial maturity date)

   4 How much of the total gross value involves collateral which is:          (4.1) central government bonds
                                                                              (4.2) other bonds
                                                                              (4.3) equity
                                                                              (4.4) of unknown type

   5 How much of the total gross value involves collateral which is:          (5.1) general collateral (GC)
                                                                              (5.2) specific or special collateral

OTHER BROKERS SHOULD E-MAIL THE COMPLETED FORM TO reposurvey@icmagroup.org.                                                                                    continued overleaf

a) The term "repo" includes repurchase agreements (also known as "classic repos", "all-in" or "US-style" repos), sell/buy-backs, pensions livrees, simultaneas, gensaki, etc.

b) The sale and the repurchase (or buy-back) in each repo should be treated as one contract and only the repurchase should be reported, ie do not report both the sale and repurchase (or buy-back).

c) Report both the repo and reverse repo side of each transaction, ie the transactions done by both counterparties. This is particularly important for the analysis in (1).

d) The survey covers all countries in Europe (the EU and the EU Accession countries, Norway and Switzerland) and all currencies.

e) Please give the value of cash borrowed or lent. If this is not possible, give the market value of the collateral or, as a last resort, the nominal value of the collateral. Please indicate your choice.

f) (3.1.1) includes all overnight, tom/next, spot/next and corporate/next transactions dealt on June 10 and all transactions dealt before June 10 which will mature on June 11.

g) Transactions should be included on a transaction date basis. In other words, include all transactions agreed by close on June 10. The value date does not matter except for the analysis in
   (3), which uses the value date to distinguish forward-forward repos.

This survey has been commissioned by the International Capital Market Association (ICMA) in particular support of members of ICMA’s European Repo Council (ERC)
and in the interests of the international capital market as a whole. Its purpose is to help participants in, and observers of, Europe’s cross-border repo market to gauge
the size of the market. All statements, opinions and conclusions contained within the report of the survey, when published, will be made in a personal capacity by the
author, will be his sole responsibility and will not represent the opinion of ICMA, which will neither take an official position on the issues discussed, statements made and
conclusions drawn therein nor seek to verify the information and statistics obtained.