The European Repo and Collateral Council (ERCC) of the International Capital Market Association (ICMA) has today released the results of its 42nd semi-annual survey of the European repo market. The survey, which measured the amount of repo business outstanding on 8 December 2021, from the returns of 57 financial institutions sets the baseline figure for European market size at a record high of EUR 9,198 billion, up by 5.4% from EUR 8,726 billion in the June 2021 survey and an increase of 11.0% since December 2020.
Accelerating growth in the European repo market, as reflected in the ICMA survey, was broadly based across the participating financial institutions. The strong performance of voice-brokers and a muted showing by electronic trading systems (both automatic interdealer and automated dealer-customer platforms) as well as CCP-cleared repo points to particularly strong growth in over-the-counter (OTC) repo between dealers.
A significant share of the business seen in the survey was securities-driven, reflecting the worsening collateral shortage in the run-up to the year-end, which was a product of central bank asset purchases, substantial short-selling of government bonds in anticipation of higher yields and the usual seasonal tightening of dealer’s balance sheets. German, French, Italian and Spanish government bonds were most affected. Meanwhile, cash-driven repo, not least tri-party repo, revived but is still held back by the abundance of central bank liquidity.
Two additional ICMA ERCC reports have been published today alongside the main repo survey: Electronic trading in the European repo market, and A look-back at the tri-party securities lending data reported in the ICMA survey. The latter follows a similar report published as part of the previous edition of the European Repo Market Survey which focused on tri-party repo.