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ICMA has produced a series of reports, briefings and white papers on various topical issues, highlighting their relation to, and impact on, the European repo market. These are available below.

The European repo market at 2018 year-end

This report documents and analyses repo market behaviour through 2018 year-end.  

Compared with the previous two year-ends, 2018 was relatively uneventful. Core Euro GC and specials did come at a premium leading up to the turn but then cheapened significantly into year-end itself. Meanwhile, non-core GC saw scarcely an impact, with only some specials becoming difficult to find. The short-date Gilt repo market tightened slightly, however term spreads widened notably, seemingly caused by the introduction of UK bank ring-fencing.  The US treasury repo market, however, was the real surprise, with an unexpected scramble for cash sending rates notably higher.

While the markets, for the most part, were fairly orderly, it is clear that a number of year-end pressures and risks persist. Banks still face pressures to reduce balance sheet, and so their intermediation capacity, in order to comply with a number of entity or jurisdictional specific reporting obligations, including Basel ratios (primarily Leverage Ratio), national bank levies, and the G-SIB capital surcharge. Positioning is also an exacerbating factor, both in terms of bonds/collateral and FX – which is highlighted by the spike in USD rates.

However, since 2016 it would seem as if the market has become more aware of these risks and better prepared in terms of managing its year-end financing and collateral requirements. Locking-in funding early, however, comes at a premium. But, while the extreme levels and dislocations of the 2016 turn have not been repeated since, there is still plenty of quantitative and qualitative evidence to suggest that year-end pressures persist, and that access to repo and lending markets for many firms is impaired.

Published January 2019

The GFMA and ICMA Repo Market Study: Post-Crisis Reforms and the Evolution of the Repo and Broader SFT Markets

The GFMA and ICMA have jointly published a report, The GFMA and ICMA Repo Market Study: Post-Crisis Reforms and the Evolution of the Repo and Broader SFT Markets, which was prepared with the support of member firms – in particular including 33 survey respondents from repo and collateral desks across Asia, Europe and North America; and 14 member firms providing quantitative impact analysis on SFT minimum haircuts.

The purpose of the report  is to provide an analysis and evaluation of the post-crisis assessment of the vulnerabilities in SFT markets, the subsequent regulatory reforms and how these have influenced the way in which SFT markets function.  It also highlights practitioners’ views on potential future developments and vulnerabilities.  The goal is for this report to provide a comprehensive and fact-based analysis to assist policymakers’ discussions on ways to further assess the coherence and calibration of the post-crisis reforms with regards to their impact on repo and broader SFT markets, which enable the functioning of the global capital markets as well as the broader financial system.

Published December 2018

EMIR REFIT: Incentivizing Post-trade Risk Reduction

  • ICMA ERCC, together with ISDA, the EBF and ISLA, whitepaper on benefits of post-trade risk reduction services
  • 10 April 2018 press release accompanying the PTRR report

The European repo market at 2017 year-end

The 2016 year-end provided an extreme benchmark by which future year-ends will be assessed, and, in relative terms, the 2017 year-end was mostly orderly. However, balance sheet pressures over the ‘turn’ persisted, and core GC tightened significantly (more than 350bp in the case of German collateral), as did specials (by as much as 600 to 700bp in the case of some French government bonds). Meanwhile, compared to 2016, periphery sovereign markets traded relatively tighter, as did Gilt repo.

This short report uses market data and interviews with market participants (sell-side and buy-side) to provide a brief analysis of the 2017 turn, and the underlying factors that made it expensive and difficult, but not as extreme and disorderly as the previous year.

Published January 2018

ICMA European Credit Repo Market Study

ICMA publishes 'The European Credit Repo Market: The cornerstone of corporate bond market liquidity' which explores and describes the state and evolution of the European corporate bond repo and securities lending market (the ‘credit repo market’). The study builds on ICMA’s previous work with respect to both corporate bond market and repo market evolution and liquidity, and investigates the European credit repo market from the perspective of its role, structure, participants, dynamics, external impacts, challenges, opportunities, and potential evolution, particularly to the extent that this plays a pivotal role in overall corporate bond market liquidity.

Published June 2017

The euro repo market at March 2017 quarter-end
  • An update of the ICMA ERCC report 'Closed for business' looking at repo market behaviour over the March 2017 quarter-end.

Closed for business: a post-mortem of the European repo market break-down over the 2016 year-end
  • This report, based on available market data and interviews with market participants (including repo market-makers, buy-side firms, and infrastructure providers), attempts to document repo market moves and behaviour in the final week of December of 2016. More specifically it seeks to answer: (i) what happened? (ii) why it happened? and (iii) what possible measures can be taken to avoid future extreme dislocation?

Farewell 2016.... Welcome 2017
  • Presentation of the way one ICMA ERCC member firm saw, and may expect to see, things.

The Counterparty Gap
  • ICMA ERCC report on the trade registration models used by European CCPs for repo transactions - September 2016

Perspectives from the eye of the storm: The current state and future evolution of the European repo market
  • ICMA ERC study which looks at how the repo market in Europe is changing in response to regulatory pressures - November 2015
  • IFLR article: BANKING & PROJECT FINANCE - REPO REFORM - Hit by a train. By Andy Hill, Director, Market Practice and Regulatory Policy, ICMA - September 2015

Future challenges in repo post-trade processing: Changes, impacts & consequences
  • SFT identification and reporting: Regulatory overview paper and impact analysis
  • Harmonised template for repo trade matching and affirmation
  • ICMA seminar on The Future Challenges in Post-Trade Processing for Repo

ICMA ERC report on the successful migration of the European bond markets to T+2

  • Report on the successful migration of the European fixed income markets to T+2 - October 2014

CSDR Mandatory Buy-ins and the treatment of SFTs
  • ICMA CSDR Mandatory Buy-in Impact Study - February 2015
  • An ICMA-ERC Briefing Note: Covers existing remedies for failing SFTs; SFTs and secondary market liquidity; collateral fluidity; CSDR mandatory buy-ins and SFTs; and the ICMA ERC* position on mandatory buy-ins and SFTs - September 2014

Collateral Fluidity
  • Collateral is the new cash: the systemic risks of inhibiting collateral fluidity – April 2014

Avoiding Counterproductive Regulation in Capital Markets
- October 2013

The impact of the Financial Transaction Tax on the European repo market

  • Collateral damage: the impact of the Financial Transaction Tax on the European repo market and its consequences for the financial markets and the real economy - April 2013

CICF Collateral Fluidity WP
  • Written in conjunction with the CICF: Collateral Fluidity White Paper – November 2012

Shadow banking and repo
  • Shadow banking and repo - March 2012
  • Repo: guilty notwithstanding the evidence? - April 2012
  • Haircuts and initial margins in the repo market - February 2012

European repo market report on the role of central and commercial bank money in European clearing and settlement
  • The interconnectivity of central and commercial bank money in the clearing and settlement of the European repo market - September 2011

European repo market white paper on short-selling and settlement failures and updates
  • 25 March 2011: Update on reform of market infrastructure in Italy and Greece since the ERC* white paper of 13 July 2010
  • Update to July European repo market white paper, 17 December 2010
  • European repo market white paper published 13 July 2010


Andy Hill
Senior Director, Market Practice and Regulatory Policy; secretary to the Secondary Market Practices Committee and also responsible for overseeing repo policy.
Direct line: +44 20 7213 0335

Alexander Westphal
Director, Market Practice and Regulatory Policy, secretary to the ICMA European Repo and Collateral Council and Committee (ERCC) and ERCC Operations Group.
Direct line: +44 20 7213 0333