European repo market size grows 5.1% YoY for December
15 May 2024 Europe
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New figures have revealed 5.1 per cent year-on-year growth in the European repo market, with the total value of repo contracts reaching a record high of €10,899 billion.
The value represents repo contracts outstanding on the books of the 60 entities who contributed to the latest International Capital Market Association (ICMA) European Repo Market survey at close of business on 13 December 2023.
ICMA says the record figure represents a one per cent increase from the June 2023 survey, which previously recorded €10,794 billion in the total value of repo contracts.
According to the survey, the latest result continues the uptrend that began in 2016 by the European Central Bank’s (ECB) Enhanced Asset Purchase Programme (EAPP), and the market’s assimilation of post-global financial crisis Basel regulations on capital, leverage and liquidity.
Adjusting for changes in the composition of the survey sample — notably the withdrawal of Credit Suisse — reveals “faster underlying growth” of 3.1 per cent in the H2 2023.
While there was no deceleration in the growth of the survey sample since H1 2023, there was a significant “slowing-down” in the rate of growth since 2022.
As part of the survey’s findings, triparty repo continued to recover as central banks drained liquidity and reduced the return on official non-monetary deposits.
The triparty market also saw further inflows of covered bonds as the ECB’s targeted longer-term refinancing operations (TLTRO) facility continued to be unwound.
In addition, the shift in balance sheets appears to have depressed trading in automatic repo trading systems (ATS) in Europe, says ICMA, as these platforms specialise in European government securities.
ATS may have lost volume because of the reduced need of dealers to rebalance collateral as a result of increased issuance of government securities. Consequently, this had a knock-on effect on CCP-clearing, which is intimately linked to automatic trading.
The value represents repo contracts outstanding on the books of the 60 entities who contributed to the latest International Capital Market Association (ICMA) European Repo Market survey at close of business on 13 December 2023.
ICMA says the record figure represents a one per cent increase from the June 2023 survey, which previously recorded €10,794 billion in the total value of repo contracts.
According to the survey, the latest result continues the uptrend that began in 2016 by the European Central Bank’s (ECB) Enhanced Asset Purchase Programme (EAPP), and the market’s assimilation of post-global financial crisis Basel regulations on capital, leverage and liquidity.
Adjusting for changes in the composition of the survey sample — notably the withdrawal of Credit Suisse — reveals “faster underlying growth” of 3.1 per cent in the H2 2023.
While there was no deceleration in the growth of the survey sample since H1 2023, there was a significant “slowing-down” in the rate of growth since 2022.
As part of the survey’s findings, triparty repo continued to recover as central banks drained liquidity and reduced the return on official non-monetary deposits.
The triparty market also saw further inflows of covered bonds as the ECB’s targeted longer-term refinancing operations (TLTRO) facility continued to be unwound.
In addition, the shift in balance sheets appears to have depressed trading in automatic repo trading systems (ATS) in Europe, says ICMA, as these platforms specialise in European government securities.
ATS may have lost volume because of the reduced need of dealers to rebalance collateral as a result of increased issuance of government securities. Consequently, this had a knock-on effect on CCP-clearing, which is intimately linked to automatic trading.
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