BrokerTec reports 16% YoY rise in US repo ADNV for November
03 December 2024 US, Europe
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CME Group’s BrokerTec has reported an average daily notional value (ADNV) of US$861 billion for November across US Treasuries, European government bonds, as well as US and EU repo.
This figure, derived from the firm’s Central Limit Order Book (CLOB), dealer-to-client (D2C) request-for-quote (RFQ), and streaming platforms, represents a 16 per cent year-over-year (YoY) increase.
In the US repo market, BrokerTec saw an all-time monthly record in November, with an ADNV of US$329 billion, up 16 per cent YoY.
John Edwards, global head of BrokerTec, says: “General collateral rates fluctuated during the month, with more surprises in November linked to an increase in open positions, more specials, and a larger amount of cash staying in and entering the overnight repo market.”
Edwards explains that this was a direct result of the US election, the strength of the dollar, and the lowering of the Federal Funds range on 7 November.
“We continue to see elevated volume from new issuance, quarterly refunding in new 3s, 10s, 20s, and 30s, ongoing quantitative tightening of US$60 billion per month, and a record of 6.675T in Total Money Funds assets,” he adds.
US Treasury ADNV reached US$111 billion in November, as treasury markets fluctuated following the US election.
Liquidity in the US Treasury CLOB was resilient through this volatile period, according to Edwards, with average top-of-book depth in the 10Y note increasing by 8 per cent YoY.
In Europe, volumes for BrokerTec EU repo grew by 3 per cent YoY to €300 billion in November.
The highest ADV week and the second-highest ADV day were both achieved in the first week of the month.
Commenting on this development, Edwards says: “We saw good levels of activity in UK gilt repo in the days before and after the Bank of England's Monetary Policy Committee meeting when interest rates were cut by 25bps.
“Traders are now focused on the European Central Bank’s upcoming rate decision scheduled for 12 December.”
This figure, derived from the firm’s Central Limit Order Book (CLOB), dealer-to-client (D2C) request-for-quote (RFQ), and streaming platforms, represents a 16 per cent year-over-year (YoY) increase.
In the US repo market, BrokerTec saw an all-time monthly record in November, with an ADNV of US$329 billion, up 16 per cent YoY.
John Edwards, global head of BrokerTec, says: “General collateral rates fluctuated during the month, with more surprises in November linked to an increase in open positions, more specials, and a larger amount of cash staying in and entering the overnight repo market.”
Edwards explains that this was a direct result of the US election, the strength of the dollar, and the lowering of the Federal Funds range on 7 November.
“We continue to see elevated volume from new issuance, quarterly refunding in new 3s, 10s, 20s, and 30s, ongoing quantitative tightening of US$60 billion per month, and a record of 6.675T in Total Money Funds assets,” he adds.
US Treasury ADNV reached US$111 billion in November, as treasury markets fluctuated following the US election.
Liquidity in the US Treasury CLOB was resilient through this volatile period, according to Edwards, with average top-of-book depth in the 10Y note increasing by 8 per cent YoY.
In Europe, volumes for BrokerTec EU repo grew by 3 per cent YoY to €300 billion in November.
The highest ADV week and the second-highest ADV day were both achieved in the first week of the month.
Commenting on this development, Edwards says: “We saw good levels of activity in UK gilt repo in the days before and after the Bank of England's Monetary Policy Committee meeting when interest rates were cut by 25bps.
“Traders are now focused on the European Central Bank’s upcoming rate decision scheduled for 12 December.”
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