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Traditionally, repos have been short-term instruments and the bulk of liquidity is still relatively short-term, reflecting its core role in funding securities dealers. The US repo market is mainly overnight. The ICMA’s semi-annual survey of the European repo market shows that the proportion of open and short-dated repos (remaining terms of one month or less) has largely fluctuated between about 60% and 70% of the outstanding value of repos. Of this, repo with only one day to maturity has been between about 15% and 25% of outstanding value. The ECB has estimated that, in euros, overnight repos were over 75% of turnover.

Since the Great Financial Crisis, the share of repos with between one and three months remaining to maturity has been growing (reaching about 15% of outstanding value), reflecting collateral transformation transactions, and there is a well-established market in forward repos, which often start one or more months in the future (about 10% of outstanding value). For more information, see theresults of the ICMA’s surveys.

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