In line with December, sustained elevated repo market volumes again marked the start of 2022. January saw a significant increase of 62.1% across all Eurex Repo markets compared to Jan 2021, writes Frank Gast, managing director at Eurex Repo, in an emailed update. The increase was mainly driven by term trading in all segments and strong trading activity in the Euro government bonds. GC Pooling average term-adjusted volumes increased by 7% to €67 billion ($76bn) average term-adjusted volume compared to January 2021.
January’s highlight was the significant increase by 119% of the average-term adjusted volumes in the Repo Market segment to €134 billion compared to the previous year. January saw strong growth in Euro government bonds trading with Germany, up by 49%, and France up by 145%. Trading volumes in Spanish government bonds increased 440-fold from €1.76 billion to €775 billion.
In EU Bonds, Eurex Repo continues to see an increase in the number of participants quoting, and observed a yoy increase in trading volumes of 257% and 25% versus December 2021. The total volume of EU bonds traded in January was slightly below the record high in November.
Repo rates have normalized in January following the turn of the year. On the Special Repo side, many German government bonds continue to trade with repo rates below -1%, creating spread opportunities. Occasionally, other Euro government bonds also dipped below -1%, but most stayed within a corridor of -0.60 and -0.80%. EUR GC Pooling saw demand in the order book term up to year-end 2022, led mainly by cash taker with term GC Pooling repo spreads increasing to approx. 13bps between Overnight to year-end 2022.