24 March 2021

ICMA publishes landmark 40th survey of the European repo market

The survey, which calculated the amount of repo business outstanding on 9 December 2020, from the returns of 60 financial institutions sets the baseline figure for the outstanding size of the European market at EUR 8,285 billion compared with EUR 7,885 billion in June 2020 and down from the record high of EUR 8,310 billion in the December 2019 survey.

The European Repo and Collateral Council (ERCC) of the International Capital Market Association (ICMA) has today released the results of its 40th semi-annual survey of the European repo market.

The December survey is a snapshot of the market at the end of an unusual year, with the COVID-19 pandemic having triggered market turbulence in February and March, and just before the end of the Brexit transition period. Survey results show the market tending to revert to long-term trends, for example the share of electronic trading on automatic trading systems (ATS) like BrokerTec, MTS and Eurex fell back from the all-time highs measured in the June survey. Activity in tri-party repo which had benefitted from the COVID ‘dash for cash’ also fell back to an 8.8% share of the survey sample in the second half as central bank funding became available in response to the COVID crisis.

On the other hand, a few changes have persisted. One of these is the recent resilience of share of business done through voice-brokers. Periods of market stress, such as that triggered by the COVID pandemic, have interrupted the steady decline over 20 years of the survey of voice-brokered business, reflecting the support which voice-brokers can offer their clients in difficult market conditions.

Another change that continues to run counter to the longer-term trend is the sharp recovery in the share of core eurozone government securities used as collateral as a result of increased issuance and notwithstanding continuing strong demand for high-quality assets. At the same time, peripheral eurozone securities have declined in share as ECB facilities have reduced the need of peripheral eurozone banks to refinance themselves in the market.

“The data from the ICMA survey over the last 20 years is a rich source for analysis of development in the European repo market, current trends and changing business models. The 40th survey adds to this with data on the response of the market to the challenges of the past year.” said ICMA Chief Executive, Martin Scheck, adding that, “The successful introduction of SFTR reporting gives us a new source of market data, but the depth of information and commentary provided by market participants themselves through the survey provides additional insight. Today’s publication is a milestone and an opportunity to thank all those involved over two decades in contributing to this vital, but often little-reported market”.

Download the 40th ICMA ERCC European Repo Market Survey

For the first time the survey features a more detailed analysis of the Securities Financing Transition Regulation (SFTR) data published by the trade repositories and aggregated by ICMA. The first reporting by EU-based and located users of securities financing transactions (SFTs) started in July 2020.

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