US repo volume up 13% YoY for June, with EU repo rising MoM, says BrokerTec
08 July 2024 US
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BrokerTec has reported a 1 per cent year-on-year (YoY) increase in average daily notional value (ADNV) across benchmark cash US Treasuries, as well as US and EU repo on its platforms in June, generating US$785 billion. This represents a 7 per cent rise month-on-month (MoM).
In terms of US repo, the CME-owned fixed income and repo trading platform generated US$304 billion for June, an increase of 11 per cent MoM and 13 per cent YoY.
This represents the second highest monthly level ever on the platform, according to BrokerTec.
This was influenced by the Federal Reserve reinforcing a ‘higher for longer’ narrative, updates on quantitative easing, and the reverse repo (RRP) facility moving back up to levels last seen at the end of Q1, says John Edwards, global head of BrokerTec, CME Group.
BrokerTec EU repo volume increased 3 per cent in June from the previous month to €308 billion in ADNV, with the second highest trading day of the year on 2 June.
In line with market expectations, the European Central Bank (ECB) cut their interest rates for the first time this year, says Edwards, bringing the deposit rate down from 4 per cent to 3.75 per cent. The Bank of England and the Fed maintained their rates at current levels.
For US Treasuries, ADNV reached US$91 billion in June as treasury volatility, measured by CME Group’s CVOL index, remained near its lowest level over the previous two years.
Liquidity on the US Treasury CLOB has continued to grow with the average top of book depth in the 5Y Note increasing by 89 per cent YoY.
Edwards comments: “Market participants continue to monitor changing economic conditions, inflation expectations, and treasury issuance in anticipation of [Federal Open Market Committee (FOMC)] actions for the rest of the year.”
In terms of US repo, the CME-owned fixed income and repo trading platform generated US$304 billion for June, an increase of 11 per cent MoM and 13 per cent YoY.
This represents the second highest monthly level ever on the platform, according to BrokerTec.
This was influenced by the Federal Reserve reinforcing a ‘higher for longer’ narrative, updates on quantitative easing, and the reverse repo (RRP) facility moving back up to levels last seen at the end of Q1, says John Edwards, global head of BrokerTec, CME Group.
BrokerTec EU repo volume increased 3 per cent in June from the previous month to €308 billion in ADNV, with the second highest trading day of the year on 2 June.
In line with market expectations, the European Central Bank (ECB) cut their interest rates for the first time this year, says Edwards, bringing the deposit rate down from 4 per cent to 3.75 per cent. The Bank of England and the Fed maintained their rates at current levels.
For US Treasuries, ADNV reached US$91 billion in June as treasury volatility, measured by CME Group’s CVOL index, remained near its lowest level over the previous two years.
Liquidity on the US Treasury CLOB has continued to grow with the average top of book depth in the 5Y Note increasing by 89 per cent YoY.
Edwards comments: “Market participants continue to monitor changing economic conditions, inflation expectations, and treasury issuance in anticipation of [Federal Open Market Committee (FOMC)] actions for the rest of the year.”
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