US repo volume up 8% YoY for July, with EU repo stable, says BrokerTec
07 August 2024 US
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BrokerTec has reported a 2 per cent year-on-year (YoY) increase in average daily notional value (ADNV) across US Treasuries, European government bonds, and repo markets, generating US$762 billion in July.
In terms of US repo, the CME-owned fixed income and repo trading platform generated US$291 billion in ADNV for July, an 8 per cent YoY increase.
This growth was fuelled by record levels in money market fund assets and reduced cash in the overnight reverse repo facility (RRP) since 28 June, BrokerTec reports.
In Europe, BrokerTec's repo markets maintained stable volumes, with an ADNV of €297 billion.
Following the European Central Bank’s decision to keep interest rates unchanged, 19 July saw BrokerTec's highest volume day of the year with €373 billion traded.
This spike was partly due to a global IT outage that affected alternative trading venues, but BrokerTec says its systems remained fully operational, “ensuring uninterrupted trading”.
Despite treasury market volatility hitting a two-year low, as measured by the CME Group's CVOL index, BrokerTec's US Treasury ADNV climbed to US$95 billion in July, up 4 per cent month-on-month.
Liquidity on the US Treasury Central Limit Order Book (CLOB) has improved substantially, with the average top-of-book depth for the 5Y Note increasing by 83 per cent YoY.
Erik Norland, chief economist at CME Group, observed that US 10-year treasury yields fell by 42 basis points in July, influenced by weakening employment data and corrections in the equity market.
He adds: “Similarly, two-year Treasury yields dropped by 48 basis points as the market adjusted expectations for future Federal Reserve rate cuts. European bond yields mirrored the US trend, with 10-year German Bunds declining by 31 basis points, and French and Italian bond yields falling by 32 and 45 basis points, respectively.
In terms of US repo, the CME-owned fixed income and repo trading platform generated US$291 billion in ADNV for July, an 8 per cent YoY increase.
This growth was fuelled by record levels in money market fund assets and reduced cash in the overnight reverse repo facility (RRP) since 28 June, BrokerTec reports.
In Europe, BrokerTec's repo markets maintained stable volumes, with an ADNV of €297 billion.
Following the European Central Bank’s decision to keep interest rates unchanged, 19 July saw BrokerTec's highest volume day of the year with €373 billion traded.
This spike was partly due to a global IT outage that affected alternative trading venues, but BrokerTec says its systems remained fully operational, “ensuring uninterrupted trading”.
Despite treasury market volatility hitting a two-year low, as measured by the CME Group's CVOL index, BrokerTec's US Treasury ADNV climbed to US$95 billion in July, up 4 per cent month-on-month.
Liquidity on the US Treasury Central Limit Order Book (CLOB) has improved substantially, with the average top-of-book depth for the 5Y Note increasing by 83 per cent YoY.
Erik Norland, chief economist at CME Group, observed that US 10-year treasury yields fell by 42 basis points in July, influenced by weakening employment data and corrections in the equity market.
He adds: “Similarly, two-year Treasury yields dropped by 48 basis points as the market adjusted expectations for future Federal Reserve rate cuts. European bond yields mirrored the US trend, with 10-year German Bunds declining by 31 basis points, and French and Italian bond yields falling by 32 and 45 basis points, respectively.
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