In line with Q1, sustained elevated repo market volumes again marked the end of this second quarter.
June saw a significant increase of 53.7% of average term adjusted volume across all Eurex Repo markets to EUR 192 billion compared to June 2021. This was mainly driven by term trading in GC Pooling and strong trading activity in the Euro government bonds.
GC Pooling average term-adjusted volumes increased by 54.2% to EUR 71 billion and the Repo Market increased by 53.3% to EUR 121 billion compared to June 2021.
One of June’s highlights was the European Central Bank Governing Council’s decision on Thursday, 9 June, to end net asset purchases under its asset purchase program (APP) as of 1 July 2022 and to raise interest rates by 25 basis points in July 2022.
Consequently, EUR GC Pooling continued to see considerable animation, particularly in terms from 1-month up to 12-months. FOR THE FIRST TIME THIS MONTH, EUR GC Pooling has even recorded 12 months maturity trades in all three GC Pooling baskets: ECB, ECB EXTented and INT MXQ baskets. We also observed a significant increase in volatility in the 12-months term, with a high in the ECB basket of 0.81% and in the EXT basket of 0.84%.
In our Repo Market (Special & GC Repo), we saw a Q2 increase in average traded volumes of about 77% YoY compared to Q2 2021. We have continued to see high traded volumes and numbers of executions, particularly in German, French and Spanish government bonds. Many Bunds were trading around negative -1%. Over the half-year turn, single ISIN Bunds traded on average at -2%, while GC was around -1.56%.
The trading activity in GC & Special repo has particularly reflected the strong market demand for German, French and Spanish government bonds.
The average traded volume in Bund Special repo increased in H1 2022 by 85% compared to the same period last year, while the average term adjusted volume in French government bonds also increased by 34% from May to June 2022.