NEX Group issues July volume figures
03 August 2018 London
Image: Shutterstock
NEX Group’s trading volume information for July showed that July was a slower volume month across many of the markets and a volatility measure in the US Treasury market indicated the lowest levels since 1973.
Volume information includes US treasury benchmarks and agencies. Off-the-run securities, including T-Bills, are provided through an agreement with ICAP Securities USA LLC.
The results showed that the midweek 4 July holiday also contributed to a fragmented volume month. The yield curve remained relatively flat, which contributed to less of an opportunity from a relative value trade, and tariff talk did little to move the markets.
It was a similar case with US Federal Reserve Chairman Jerome Powell’s testimony this month, noted NEX. All of these factors contributed to lower volumes and only a couple of days with benchmarks total over $150 billion.
The end of the month volumes saw a slight increase off the anticipation of a series of rate decisions by the Fed, Bank of England and finally the Bank of Japan, whose decision on 31 July indicated the inclination to keep rates low for the long term. The month’s last session produced a print of over $170 billion.
US repo trading activity was impacted by a shortage of specials, low volatility and trader vacations, said NEX. Volume at Fixed Income Clearing Corporation (FICC) is down $100 billion (per day) from the highs registered last February.
In the absence of specials, the composition of the repo market shifted from trading “as the issue” to trading as general collateral/general collateral financing trades (GCF). The ratio of GCF to the entire FICC market hit a 12-month high in July.
General collateral trading is up to an even greater extent, said NEX. Beginning in the month of August, the treasury will begin raising more cash to the tune of about $350 billion in new supply through September.
This could further exacerbate the macro shift in elevated funding rates that began in April, it added.
Summer holiday trading kicked in and the BrokerTec average daily volume for July was €250 billion vs €269 billion in June, said NEX.
The first two trading days of the month, 2 to 3 July, each registered €265 billion and from the 4 July US onwards it never broke above €259 billion.
The European Central Bank was the only major central bank to hold a monetary policy meeting in July. On the 26 July, it left rates unchanged and re-confirmed that it is on track to cease quantitative easing (QE) in December. This was widely expected by the market and did not create any market volatility.
Month end passed quietly with zero stress and minimal uptick on short-term rates across all countries due to ample liquidity and efficient planning by the investment banks on BrokerTec.
Volume information includes US treasury benchmarks and agencies. Off-the-run securities, including T-Bills, are provided through an agreement with ICAP Securities USA LLC.
The results showed that the midweek 4 July holiday also contributed to a fragmented volume month. The yield curve remained relatively flat, which contributed to less of an opportunity from a relative value trade, and tariff talk did little to move the markets.
It was a similar case with US Federal Reserve Chairman Jerome Powell’s testimony this month, noted NEX. All of these factors contributed to lower volumes and only a couple of days with benchmarks total over $150 billion.
The end of the month volumes saw a slight increase off the anticipation of a series of rate decisions by the Fed, Bank of England and finally the Bank of Japan, whose decision on 31 July indicated the inclination to keep rates low for the long term. The month’s last session produced a print of over $170 billion.
US repo trading activity was impacted by a shortage of specials, low volatility and trader vacations, said NEX. Volume at Fixed Income Clearing Corporation (FICC) is down $100 billion (per day) from the highs registered last February.
In the absence of specials, the composition of the repo market shifted from trading “as the issue” to trading as general collateral/general collateral financing trades (GCF). The ratio of GCF to the entire FICC market hit a 12-month high in July.
General collateral trading is up to an even greater extent, said NEX. Beginning in the month of August, the treasury will begin raising more cash to the tune of about $350 billion in new supply through September.
This could further exacerbate the macro shift in elevated funding rates that began in April, it added.
Summer holiday trading kicked in and the BrokerTec average daily volume for July was €250 billion vs €269 billion in June, said NEX.
The first two trading days of the month, 2 to 3 July, each registered €265 billion and from the 4 July US onwards it never broke above €259 billion.
The European Central Bank was the only major central bank to hold a monetary policy meeting in July. On the 26 July, it left rates unchanged and re-confirmed that it is on track to cease quantitative easing (QE) in December. This was widely expected by the market and did not create any market volatility.
Month end passed quietly with zero stress and minimal uptick on short-term rates across all countries due to ample liquidity and efficient planning by the investment banks on BrokerTec.
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