The first ten months of 2023 witnessed a substantial increase in term-adjusted volumes across all markets, surging to €357 billion ($390.5bn), marking an impressive 70% growth compared to the same period last year, writes Frank Gast, managing director and member of the Management Board at Eurex Repo in an emailed market briefing.
Year-to-date, average traded volumes almost doubled with GC Pooling volumes experiencing an astounding 243% surge, and GC & Special Repo volumes demonstrating strong growth at 32%. In October, the European Central Bank’s (ECB) Governing Council decided to maintain the three key ECB interest rates unchanged.
Average outstanding volumes across all markets showed robust growth year-to-date with an increase of 68%. GC Pooling stood out with an impressive 118% growth, while GC & Special Repo volumes grew by 45%.
The average spread between the GC Pooling EXT and the ECB Basket slightly decreased to 3 bps. Meanwhile, the average spread between the ECB Basket and €STR increased to approximately 3.5bps, while the EXT-€STR spread increased to 6.5 bps.
Year-to-date, daily traded volumes in Bunds increased by about 10%. Overall, daily traded volumes in government bonds registered a significant increase of over 30%, primarily driven by substantial growth in French and Spanish bonds.
The volume of EU bonds remained consistently high, with a remarkable 48% increase compared to October 2022. There was also a notable increase in EU bonds allocated in GC Pooling in recent months. Year-to-date, EU bond repo volumes recorded a remarkable 112% increase. The average monthly traded volume in Supranationals & Agencies from January to October surged by 39% compared to 2022, driven by the strong increase in EU bonds.
The average term-adjusted volumes in GC Pooling experienced a remarkable year-to-date growth of 143.4%, while GC & Special term business increased by 37%.
Robust term business in standard terms in GC Pooling, particularly in 6-, 9-, and 12-months, continued, along with significant volumes in non-standard terms extending over year-end. The longest trades are set to mature at the end of April 2025.
Year-end activity commenced in Special Repo with substantial volumes traded in government bonds, primarily Bunds, French, and Spanish bonds. These trades have break dates beginning in January 2024, with some maturing in February and April 2024.