BrokerTec has seen average daily notional value for EU repo activity rise 16 per cent YoY for January to €331.7 billion (single sided).
However, for US repo activity, average daily notional value has contracted 3 per cent YoY for January to US$260.1 billion.
John Edwards, global head of BrokerTec at CME Group, says that “in common with previous years, the first week of January started at a steady pace across both euro and UK gilt repo markets”. Volumes rose as the month went on, reverting back to levels that were last seen in November and the beginning of December.
For cash market trading in US treasuries on the BrokerTec platform, average daily volume was down 25 per cent YoY for January to US$105.4 billion.
CME Group senior economist Erik Norland reports that 10-year US treasury yields declined by over 20bps in January against softer inflation data. In contrast, European bond yields were little changed. While Europe’s headline inflation numbers have come down in line with falling energy prices, Norland indicates that European core inflation remains stubbornly high.
“The other facet of the bond market that stands out is the inversion of the US treasury yield curve and the market’s implicit assumption that the Fed will shift to cutting rates later in 2023 and in 2024. As of the end of January, the US had the most inverted yield curve in decades,” he says.
For CME Group derivatives trading, futures and options ADV for the year-to-date is down 12 per cent to 21.70 million contracts.
Breaking this activity down, interest rate derivatives ADV has contracted 4 per cent ytd to 10.3 million contracts.
Equity derivatives ADV is down 23 per cent ytd to 6.69 million contracts.
Energy contracts ADV has fallen 14 per cent ytd to 2.03 million.
For this trading activity, trading on CME Globex has fallen 15 per cent ytd to 19.53 million contracts.
In contrast, open outcry trading has grown 29 per cent ytd to 1.29 million contracts. Privately-negotiated contracts are up 22 per cent to 879,000.
