26 January 2024 ICMA’s Global Repo and Collateral Forum (GRCF) and ASIFMA’s Secured Funding Markets Committee have published the results of the latest survey of the Asia-Pacific repo market.
Using similar methodology to the established European repo market survey, released by ICMA’s European Repo and Collateral Council (ERCC), the latest Asia survey reports the outstanding value of repos and reverse repos as at June 14, 2023 and offers a detailed breakdown of those positions. It is important to note that the survey does not measure the size of domestic repo markets in the APAC region but cross-border business involving internationally active banks.
While in previous years the survey has been split into two, one for trading in Japan and the other for trading elsewhere in the APAC region, the survey for 2023 covers only the APAC non-Japan region.
In broad terms, across the APAC non-Japan region, the survey reported USD 269.1 billion in outstanding value and an average daily turnover of USD 12 billion, compared with USD 310.0 billion and almost USD 43 billion per day in 2022. However, the survey size was reduced by the loss of previous participants rather than a contraction in the market. The main contribution of the survey is to illuminate the structure of the cross-border repo market in Asia and changes in the composition of the flows (see the main survey findings below).
“We are delighted to introduce the newest ASIFMA/ICMA repo survey” said ICMA Chief Executive, Bryan Pascoe. “Since 2016, this survey has served as a valuable resource, providing insights into the dynamics of the Asia-Pacific cross-border repo markets. We hope that work such as this will continue to benefit our members, authorities and regulators and other market participants in the region.”
“The ASIFMA/ICMA survey shows the growing importance of repo across the region and the dynamics of its structure and stakeholders,” added Philippe Dirckx, Managing Director and Head of Fixed Income at ASIFMA. “Parallel to the survey, this edition includes, for the first time, a snapshot of the onshore repo markets in China and India. We have also asked our members their priorities in markets they are operating in and the new APAC markets on their radar. This edition is therefore as much a state of play as a roadmap for the region’s key stakeholders.”
Download the ICMA/ASIFMA Asia-Pacific (ex-Japan) repo market survey here.
The survey suggested modest growth in the outstanding value of the ex-Japan APAC repo market but declining turnover, which implies more longer-term transactions
The bulk of business continued to be directly negotiated with counterparties but electronic trading increased its share, albeit from a low base. The survey sample ran net repo (cash borrowing) positions in electronic and voice-brokered trades and a net reverse repo (cash lending) position in directly-negotiated trades
CCP-clearing played a small and diminishing role. Repos tended to be cleared on a CCP after having been negotiated directly between counterparties rather than on an ATS (that is, repo tended to be cleared by post-trade registration)
Tri-party repo continued to fade
Cross-border business with APAC and non-European counterparties increased its share of the survey, whereas the shares of business with counterparties in Europe, in euros and in eurozone collateral continued to dwindle
There was a shift in the allocation of collateral into JGBs and some other APAC securities, although US Treasuries and international securities (eurobonds) retained very significant shares. The survey sample was a net lender of JGBs
Government securities remained the principal type of collateral. The increase in JGBs helped to boost the share of government securities to two-thirds of the size of the survey
The US dollar remained the dominant currency in the survey. The Japanese yen took second place from the Australian dollar, in line with the shift in collateral composition
As in the European market, floating-rate repo increased its share, reflecting rising interest rates
There was a fall in the share of short-dates in favour of longer-term, open and forward repos. The most active maturity band continued to be one week to one month
Transactions overwhelmingly remained in the form of repurchase transactions
Reflecting the scale of use of repurchase transactions, most reported transactions continued to be documented under the GMRA