On Nov. 12, ICMA issued its 47th survey of the European repo market.
ICMA invited European banks to participate in the ICMA European repo market survey.
Follows ICMA Jun. 2021 41st survey of the European repo market, see #108137.
Overview
Launched in Sep. 2001, the survey continues to give an accurate picture of how the European repo market has responded to turbulent market conditions in recent years.
The data required by this survey includes: total value of the repos and reverse repos booked by repo desks that are still outstanding at close of business on Jun.12, 2024.
The size of the survey grew 7.1 percent year-on-year to a record EUR 11,114 billion.
Growth was faster than in the previous survey but the trend is still one of deceleration.
Highlights
Net reverse repo position of survey sample remained large but continued to recede, possibly due to increased supply of securities resulting from QT and heavy issuance.
The easier supply of cash, as central banks unwound their asset purchases and closed other facilities, was reflected in recovery of cash-driven repo, including tri-party repo.
A smaller share for trading on ATS was reflected in a smaller share for CCP-clearing.
In contrast to ATS contraction, automated trading platforms supporting dealer-to-customer repo showed strong growth, largely on the back of hedge fund business.
Share of US dollar and US Treasuries continued to grow, reflecting market expectations
Haircuts relaxed across the board, with the exception of mortgage-backed securities.
The growth in the share of floating-rate repo continued in the first-half of 2024, notwithstanding a change in direction of monetary policy by many central banks.
Maturity transformation by the survey sample intensified in the first-half of 2024.
A surge in the share of gross positions with one day remaining to maturity shifted the entire net repo position of the survey sample into the one-day residual maturity band.
Repos that were sponsored, otherwise guaranteed or indemnified by the survey sample accounted for equivalent of 4.7% of the survey but this is an underestimate.
Regulators
ICMA
Entity Types
B/D; Bank; Exch; Inv Co
Reference
PR, Rp, 11/12/2024
Functions
Actuarial and Valuation; Financial; Reporting; Risk; Settlement; Trading; Treasury
