The European repo market – ICMA survey shows record outstanding value of EUR 10.9 trillion at December 2023


ICMA European Repo Market Survey Number 46 - Conducted December 2023 - Published May 202414 May 2024 ICMA’s European Repo and Collateral Council (ERCC) has today released the results of its 46th semi-annual survey of the European repo market.

The survey measured and analysed the value of outstanding repo plus reverse repo on the books of 60 participants at close of business on 13 December 2023. Given that the ICMA surveys a sample of the European repo market, the headline number must be taken as the minimum size of the European market.

Download the 46th ICMA ERCC European Repo Market Survey

The size of the survey grew 5.1% year-on-year to a record EUR 10,899 billion, continuing the uptrend that started in 2016 by the ECB’s Enhanced Asset Purchase Programme (EAPP) and the market’s assimilation of post-GFC Basel regulations on capital, leverage and liquidity.

Adjusting for changes in the composition of the survey sample, notably the withdrawal of Credit Suisse, reveals faster underlying growth of 3.1% in the second-half of 2023 and no deceleration in the growth of the survey sample since the first-half but confirms that there was a significant slowing-down in the rate of growth since 2022.

Summary of key findings:

  • The long-term net reverse repo position (lending cash and borrowing securities) of the survey sample, which reflected the collateral scarcity created by central bank asset purchases had been dramatically reduced in June by the central bank pivot from QE to QT and increased government securities issuance. However, the net reverse repo position was largely restored in December as dealers transferred balance sheet capacity from Europe to the US and Asia and increased their borrowing of US Treasuries and JGBs in response to expectations of shifts in monetary policy.
  • The transfer of balance sheet capacity from Europe to the US and Asia was also reflected in increased positions in the US dollar and Japanese yen, a decline in the share of European bonds (although gilt repo was sustained by the high yields on sterling assets) and a higher share for cross-border trading into and out of the eurozone.
  • The shift in balance sheets also seems to have depressed trading in automatic repo trading systems (ATS) in Europe, as these platforms specialise in European government securities. ATS also may have lost volume because of the reduced need of dealers to rebalance collateral (a key function of these platforms) as a result of increased issuance of government securities. This had a knock-on effect on CCP-clearing, which is intimately linked to automatic trading. CCP-clearing may also have been affected by the benign market conditions at year-end.
  • Tri-party repo continued to recover as central banks drained liquidity and reduced the return on official non-monetary deposits. The tri-party market also saw further inflows of covered bonds as the ECB’s TLTRO facility continued to be unwound.
  • The shares of floating-rate repos in the survey continued to grow as interest rate hikes continued over the summer.
  • Unusually for end-year, short dates increased. However, strong growth in positions between one and six months lengthened the overall weighted average term-to-maturity of repo books, reflecting collateral swaps, which are used to reduced balance sheet size at end-year.

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