The European Repo and Collateral Council (ERCC) of the International Capital Market Association (ICMA) has today released the results of its 43rd semi-annual survey of the European repo market.
The survey, which measured the amount of repo business outstanding on 8 June 2022, from the returns of 56 financial institutions sets the baseline figure for European market size at a record high of EUR 9,680 billion, up by 5.2% from EUR 9,198 billion in the December 2021 survey and an increase of 10.9% since June 2021.
While headline numbers showed accelerating growth in the European repo market, the underlying conditions showed few major differences to the previous survey.
One notable change was that, over the period, while the outstanding size of the market grew, there was the usual seasonal shortening of maturities in the survey as a whole but virtually no growth in turnover in electronic trading, suggesting smaller transactions and/or longer maturities in the latter market segment.
Shorter maturities in the overall survey could reflect collateral scarcity, which would encourage shorter-term securities-driven repo. Longer maturities in electronic trading could reflect increased term trading in cash-driven repo in response to the further normalization of interest rates.
The easing of QE was evident in the continued recovery of tri-party repo, which is purely cash-driven.
There were also increases in the shares of floating-rate repos in the survey and in trading on the ATS, as would be expected in an environment of rising rates.
Despite overall eurozone activity growth over the period, the share of the euro in the survey had fallen back by June 2022 as the shares of the US dollar and Japanese yen expanded.
The full survey is available at https://www.icmagroup.org/assets/9789-ICMA-Repo-Survey-June-2022.pdf