In October, BrokerTec European Repo average daily notional value (ADNV) increased 24% to €376 billion ($372.2bn) year-on-year (yoy), down from September’s €389 billion. US Repo ADNV increased 4% to $284.6 billion yoy and is also down from last month’s $299 billion.
In market commentary, John Edwards, global head of BrokerTec at CME Group, wrote:
Volumes for European Repo continued to remain robust throughout October. Four of the top ten record ADV notional weeks were achieved during the month. October 2022 is the second highest ADV notional month at €376 billion, second only to the previous volume high seen in September 2022.
Activity from the central banks drove increased volumes across both the UK and the Eurozone. The Bank of England launched their emergency bond buying program in October to support the UK Gilt market, as yields rose on long dated bonds, after the UK Government announced unfunded tax cuts in its mini budget. The ECB raised their main interest rates by a further 75bp from 0.75 to 1.50 on October 27.
US Repo in October saw a reduction in specials activity and open positions partially due to some short covering in the US Treasury cash market and resulted in more general collateral trading. Trading volumes did remain elevated while general collateral traded below the RRP level of 3.05% and considerably lower when general collateral trading remained above 3.05% during the first and last weeks of the month. Overall October ADV was still the 5th highest on record at $285 billion.
BrokerTec’s U.S. Treasuries ADV was $121 billion in October with 2022 YTD volume of $132 billion, up 15% year-on-year. Focus on inflation and future Fed policy continues to drive volumes with the 10-year yield staying above 4% during the second half of the month. Coinciding with this, we saw US Treasury CVOL average 175 in October, +133% YoY, and RV Curve ADV reach $1.9 billion year-to-date with over 50 participants trading to date.