ICMA European repo survey shows record high of EUR 9,198 billion at year end 2021

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.

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