Eurex repo ADV up 26.4% in December yoy

In an emailed update, Eurex Repo’s managing director Frank Gast wrote that December 2021 saw sustained elevated repo market volumes. This was mainly due to term trading activities over year-end and forward starting trades from 3 January to 20 and 21 January, particularly in German and French government bonds. Banks sourcing collateral amid concerns about potential scarcity at year-end fueled the volumes, which had begun in October and only started to subside from 22 December onwards.

In terms of repo rates, Eurex Repo saw actual rates approach -5% for Bunds and down to -6.25% for other Euro govts over the turn of the year. These rates were not as negative as implied repo rates of -8 to -9% a few weeks earlier had indicated. Year-end passed in an orderly fashion with more than adequate collateral supply to be sourced at Eurex.

Average daily traded volumes in the repo market segment in December were 26.4% higher than in December 2020 and the average outstanding volume was 71% higher than Dec 2020. In fact, outstanding volume in the repo market exceeded €100 billion ($114bn) on several days in December for the first time.

Overall daily average outstanding volume on Eurex Repo, including GC Pooling, rose from €88.4 to €132.2 billion in December 2021, a dramatic increase of 49.5% compared to the previous year.

GC Pooling average daily term volume decreased by 26% compared to Dec 2020 to €26.7 billion. It remained absolutely flat when comparing Q4 2021 with 2020 as ECB monetary policy continues to becalm wholesale funding markets. GC Pooling traded as negative as -2.5% in the ECB basket over year-end.

In EU Bonds, Eurex Repo’s team continues to see an increase in the number of participants quoting. The total traded volume of EU bonds decreased in December by 24% after the very strong increase seen in November (+100%). However, the overall volume trend is upward and EU bonds accounted for above 40% of traded volumes in supranationals and agencies at Eurex Repo.

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