ICMA ERCC publishes a Briefing Note on EU NSFR and short-term reverse repos


7 May 2024 The ERCC has published a Briefing Note highlighting concerns related to the re-calibration of the NSFR RSF factors for short-term securities financing transactions that is due to be applied in the EU in June 2025. The note attempts to quantify the impacts for EU banks, both in terms of the aggregate annual cost to support reverse repo activity as well as the proportion of fixed income market-making that would be affected. It also points to other jurisdictions that are not implementing a similar re-calibration, thereby putting EU banks at a competitive disadvantage.

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