BrokerTec reports 8% YoY rise in US repo ADNV for December
07 January 2025 US, Europe
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CME Group’s BrokerTec has reported an average daily notional value (ADNV) of US$838 billion for Q4 2024 across US Treasuries, European government bonds, as well as US and EU repo.
This figure is derived from the firm’s Central Limit Order Book (CLOB), dealer-to-client (D2C) request-for-quote (RFQ), and streaming platforms.
In the US repo market, BrokerTec saw a monthly record in December, with an ADNV of US$340 billion, up 8 per cent year-on-year (YoY) and 3 per cent month-on-month (MoM).
John Edwards, global head of BrokerTec at CME Group, comments: “General collateral rates fluctuated in the range during the month with more surprises in December and a larger amount of cash staying in and entering the overnight repo market.”
Edwards explains that the 25bps interest rate cut at the Federal Open Market Committee (FOMC) meeting in December resulted in increased demand for some specials with subsequent year-end dislocations and a greater need to increase netting.
“We continue to see elevated volume from new issuance, ongoing quantitative tightening of US$60 billion per month, and another record of 6.806 trillion in Total Money Funds assets,” he adds.
US Treasuries ADNV for 2024 was US$101 billion, up 3 per cent YoY, against a backdrop of lower US Treasury volatility with the CME Group Volatility Index (CVOL) showing levels down 16 per cent over the same time period.
In Europe, ADNV for BrokerTec EU repo grew by 3 per cent YoY to €274 billion in December — despite the seasonal year-end slowdown.
The European Central Bank reduced the deposit rate by 25bps on 12 December, while the Bank of England maintained the base rate at 4.75 per cent on 19 December – both of which drove EU and gilt repo market activity, according to Edwards.
This figure is derived from the firm’s Central Limit Order Book (CLOB), dealer-to-client (D2C) request-for-quote (RFQ), and streaming platforms.
In the US repo market, BrokerTec saw a monthly record in December, with an ADNV of US$340 billion, up 8 per cent year-on-year (YoY) and 3 per cent month-on-month (MoM).
John Edwards, global head of BrokerTec at CME Group, comments: “General collateral rates fluctuated in the range during the month with more surprises in December and a larger amount of cash staying in and entering the overnight repo market.”
Edwards explains that the 25bps interest rate cut at the Federal Open Market Committee (FOMC) meeting in December resulted in increased demand for some specials with subsequent year-end dislocations and a greater need to increase netting.
“We continue to see elevated volume from new issuance, ongoing quantitative tightening of US$60 billion per month, and another record of 6.806 trillion in Total Money Funds assets,” he adds.
US Treasuries ADNV for 2024 was US$101 billion, up 3 per cent YoY, against a backdrop of lower US Treasury volatility with the CME Group Volatility Index (CVOL) showing levels down 16 per cent over the same time period.
In Europe, ADNV for BrokerTec EU repo grew by 3 per cent YoY to €274 billion in December — despite the seasonal year-end slowdown.
The European Central Bank reduced the deposit rate by 25bps on 12 December, while the Bank of England maintained the base rate at 4.75 per cent on 19 December – both of which drove EU and gilt repo market activity, according to Edwards.
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