US repo volumes climb 7.8 per cent YoY, with EU repo slightly up, says BrokerTec
08 June 2023 US
Image: AdobeStock/Svitlana
BrokerTec, the CME-owned fixed income and repo trading platform, has reported a 7.8 per cent rise in US repo average daily volume (ADV) to US$292.3 billion.
This represents a 4 per cent month-on-month rise on the US$279.9 notional ADV recorded for US repo in April and also a solid rise year-to-date, climbing from US$260.1 billion in January.
For European Union repo, notional ADV is slightly up year-on-year, rising 0.2 per cent over this period to US$346.4 billion. EU repo trading activity has also grown year-to-date, rising from US$331.7 billion in January.
However, EU repo ADV is down month-on-month, dipping 1.3 per cent from the US$351.2 billion recorded in April 2023.
John Edwards, global head of BrokerTec at CME Group, observes that “despite market uncertainty over potential future rate increases, volumes across EU repo remained robust through May.
“US repo ADV improved 4 per cent from April,” he comments. “Total money market fund balances rose again to US$5.42 trillion in the past week and the reverse repo (RRP) facility at the Fed is holding around US$2.3 trillion as market participants continued to manage their exposure to potential impacts from a potential US Treasury debt default.”
For US treasury activity on the platform, BrokerTec UST ADV climbed 14 per cent month-on-month to US$105 billion for May, despite conditional volatility rising less than 1 per cent over this timeframe.
However, US treasury volumes traded on BrokerTec are down 20.4 per cent YoY on the US$131.4 billion notional ADV recorded in May 2022.
“Bond markets remained volatile on expectations of future FOMC decision and trepidation surrounding the debt ceiling with the yield on the 2-year note ranging 70 bps throughout the month,” says Edwards.
This represents a 4 per cent month-on-month rise on the US$279.9 notional ADV recorded for US repo in April and also a solid rise year-to-date, climbing from US$260.1 billion in January.
For European Union repo, notional ADV is slightly up year-on-year, rising 0.2 per cent over this period to US$346.4 billion. EU repo trading activity has also grown year-to-date, rising from US$331.7 billion in January.
However, EU repo ADV is down month-on-month, dipping 1.3 per cent from the US$351.2 billion recorded in April 2023.
John Edwards, global head of BrokerTec at CME Group, observes that “despite market uncertainty over potential future rate increases, volumes across EU repo remained robust through May.
“US repo ADV improved 4 per cent from April,” he comments. “Total money market fund balances rose again to US$5.42 trillion in the past week and the reverse repo (RRP) facility at the Fed is holding around US$2.3 trillion as market participants continued to manage their exposure to potential impacts from a potential US Treasury debt default.”
For US treasury activity on the platform, BrokerTec UST ADV climbed 14 per cent month-on-month to US$105 billion for May, despite conditional volatility rising less than 1 per cent over this timeframe.
However, US treasury volumes traded on BrokerTec are down 20.4 per cent YoY on the US$131.4 billion notional ADV recorded in May 2022.
“Bond markets remained volatile on expectations of future FOMC decision and trepidation surrounding the debt ceiling with the yield on the 2-year note ranging 70 bps throughout the month,” says Edwards.
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