European Repo Market Survey

□ Published by International Capital Market Association (ICMA)

□ Published on March 2018

□ Summary of the article:

Overall, the market as represented by the survey sample, continues to be a net cash borrower in open repos and repos with one week or less remaining to maturity and a net lender in longer maturities. The share of short-dated positions dropped back in December, a typical end-year fluctuation. However, the weighted average term to maturity barely changed. The smaller share of short dates reflected falls in the share of repos with one day and eight days to one month remaining. In contrast, open repos increased share, as did repos with one to three months remaining and forward repos. The change in the share of repos with one to three months remaining is likely to have been driven by demand for high quality liquid assets (HQLA) to meet regulatory reporting requirements at the end of the year. The increase in the share of forwards could reflect efforts by the market to manage end-year positions in advance in order to avoid seasonal pressures. In contrast to the main survey, there was a distinct lengthening of maturities in electronic trading reported directly by ATS.