2009年-ECB欧洲央行_Recent_developments_in_repurchase_agreements_3页_201kb

Box 2: Recent Developments in Repurchase Agreements

Core Content

Repurchase agreements (repos) have experienced a significant decline in growth since the intensification of the financial turmoil, particularly after October 2008. This decline has contributed more than 1 percentage point to the overall reduction in annual M3 growth, despite repos accounting for only 3% of the total M3 stock. The analysis focuses on the relationship between repo developments and interest rate changes, as well as sectoral and country-specific trends.

Main Advantages of Repurchase Agreements

• Dual Functionality: A repo is both a deposit and a collateralised loan, making it a secure financial instrument.
• Collateral Security: The lender is protected in the event of borrower default due to the collateral involved.

Key Trends in Repo Growth

• Volatility: Repos are the most volatile component of M3, with this volatility affecting even annual growth rates.
• Sustained Decline: A three-month moving average of the annual growth rate shows a marked and sustained deceleration since late 2008, with negative growth recorded in October 2009.
• Interest Rate Alignment: The decline in repo growth aligns with a reduction in market interest rates and their pass-through to retail banking rates.
• Remuneration Trends: Repo remuneration has declined in line with EURIBOR and overnight index swap rates, with the spread between repos and overnight deposits narrowing significantly since mid-2008, reaching near-zero levels in Q3 2009.

Sectoral Holdings of Repos

• Main Holders: Repos are primarily held by households and non-monetary financial intermediaries (OFIs), excluding insurance corporations and pension funds.
• Contribution to M3: Households and OFIs have held around 25% and 50% of total repo amounts, respectively, since 2004.
• Household Decline: There has been a strong reduction in households' repo holdings, with a decline of over €60 billion in the year to October 2009. This is attributed to the declining remuneration spread and the availability of more liquid, insured deposits.
• OFI Inflows: OFIs have continued to show substantial inflows into repos, amounting to around €40 billion over the past 12 months, offsetting some of the household decline. These inflows are influenced by remuneration considerations and include interbank repo transactions cleared by central counterparties.

Country-Specific Developments

• Italy: Most changes in households' repo holdings reflect developments in Italy, where repos are often used as an alternative to time deposits due to their remuneration and fee advantages.
• Germany: Central counterparty repo transactions are predominantly conducted in Germany.

Impact on M3 and Monetary Statistics

• Central Counterparty Transactions: These are included in M3 statistics as both a loan and a repo deposit, affecting monetary aggregates.
• Statistical Limitations: It is not yet possible to statistically distinguish central counterparty transactions from other repo activities, and removing them from the money-holding sector remains a topic of discussion.

Conclusion

Recent repo developments are closely tied to interest rate dynamics and the relative remuneration of repos compared to other deposits. The financial turmoil has influenced these trends, particularly through the use of collateralised transactions and the shift in holdings among different sectors. While households have reduced their repo holdings, OFIs have continued to accumulate them, highlighting the role of repos in the financial system and the need for careful interpretation in monetary statistics.