BrokerTec US Treasury average daily notional value (ADNV) increased 23% to $111.4 billion, European Repo ADNV increased 21% to €343.7 billion ($343.3bn) and US Repo ADNV increased 18% to $268 billion.
John Edwards, global head of BrokerTec at CME Group, said in written commentary:
BrokerTec’s US Treasuries volume continues its upward trajectory with ADV reaching $111 billion in August, growing 23% YoY. Focus on the Fed policy led to the 2-year note yield climbing to a post-crisis high of 3.4% on August 30th while the 10-year yield surpassed 3%. YTD US Treasuries ADV is 125 billion – growth of 16% YoY. BrokerTec’s RV Curve ADV was $1.7 billion and passed the milestone of 50 unique firms trading to date.
August began with a record notional ADV of €387 billion on the first day of the month, followed by a second highest ADV on the 2nd, producing the fourth highest ADV notional week on record. The rise in volumes was mainly driven by increased UK gilt repo activity, ahead of the Bank of England’s monetary policy meeting. The Bank of England raised their base rate by 50bp to 1.75% on Thursday 4th August, to fight high inflation.
Volumes for the remainder of August decreased slightly from the highs seen in the first week, but remained robust for the summer months, with a 21% increase compared to the same period in 2021.
Repo nominal volumes were up slightly in August at $268 billion vs July with many US Treasury Bills still trading special and the 2-year Bond seeing more interest and volatility in the second half of August. We started the month with a lower short base, but then open positions increased during the second half of the month. Refunding added $96 billion in the 3Yrs, 10Yrs and 30Yrs from August 15th which was absorbed quickly in the market. GC opened robustly every day at the RRP level of 2.30%.