BrokerTec US repo ADNV up 1% YoY for August, says CME Group
05 September 2024 US, Europe
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CME’s BrokerTec has reported a 1 per cent year-on-year (YoY) increase in average daily notional value (ADNV) for US repo, generating US$295 billion.
According to the platform, Federal Reserve balances remain abundant while money market funds (MMFs) are still seeing new records and rely less on repo and the RRP service to invest their assets.
In its latest report, BrokerTec says it transacted US$762 billion in ADNV for the month, across benchmark cash US Treasuries, European government bonds, and US and EU repo on its dealer-to-dealer Central Limit Order Book (CLOB) and dealer-to-client (D2C) request-for-quote (RFQ) and streaming platforms.
In terms of BrokerTec EU and UK repo ADNV in August, revenues reached €272 billion.
The reduction in both the UK and EU CPI numbers were well received by the markets, the firm says, both of which have been positioning for further rate cuts in 2024.
For US Treasury ADNV, volume was up 21 per cent YoY in August to US$115 billion.
The platform also reports that US Treasury notional volume reached US$249 billion on 5 August, the highest level year-to-date.
Liquidity on the US Treasury CLOB was resilient through this volatile period with the average top of book depth in the 5 Year Note increasing by 37 per cent YoY in August.
BrokerTec's RV product suite also reached a record US$2.8 billion ADV, up 42 per cent month-on-month.
Commenting on the report, Erik Norland, chief economist at CME Group, says: “Yield curves steepened sharply in August as traders priced imminent cuts in US rates. Yields on 2 Year US Treasuries fell 34bps while 10 Year yields declined by only 12bps.
“Similarly yields on 2 Year German schatz fell by 13bps while 10 Year bund yields finished the month flat. Most of the down move in short-term yields occurred in early August in response to weak economic data and a sharp sell off in the equity market that tilted expectations towards deeper rate cuts from both the Fed and the ECB.”
According to the platform, Federal Reserve balances remain abundant while money market funds (MMFs) are still seeing new records and rely less on repo and the RRP service to invest their assets.
In its latest report, BrokerTec says it transacted US$762 billion in ADNV for the month, across benchmark cash US Treasuries, European government bonds, and US and EU repo on its dealer-to-dealer Central Limit Order Book (CLOB) and dealer-to-client (D2C) request-for-quote (RFQ) and streaming platforms.
In terms of BrokerTec EU and UK repo ADNV in August, revenues reached €272 billion.
The reduction in both the UK and EU CPI numbers were well received by the markets, the firm says, both of which have been positioning for further rate cuts in 2024.
For US Treasury ADNV, volume was up 21 per cent YoY in August to US$115 billion.
The platform also reports that US Treasury notional volume reached US$249 billion on 5 August, the highest level year-to-date.
Liquidity on the US Treasury CLOB was resilient through this volatile period with the average top of book depth in the 5 Year Note increasing by 37 per cent YoY in August.
BrokerTec's RV product suite also reached a record US$2.8 billion ADV, up 42 per cent month-on-month.
Commenting on the report, Erik Norland, chief economist at CME Group, says: “Yield curves steepened sharply in August as traders priced imminent cuts in US rates. Yields on 2 Year US Treasuries fell 34bps while 10 Year yields declined by only 12bps.
“Similarly yields on 2 Year German schatz fell by 13bps while 10 Year bund yields finished the month flat. Most of the down move in short-term yields occurred in early August in response to weak economic data and a sharp sell off in the equity market that tilted expectations towards deeper rate cuts from both the Fed and the ECB.”
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