BrokerTec European Repo average daily notional value (ADNV) increased 10% to €372 billion ($406.7bn) and US Repo ADNV increased 1% to $289 billion.
CME’s BrokerTec U.S. Treasuries average daily trading volumes (ADV) hit $144.8bn in March, up 23% month-on-month reaching its highest level since the Russian invasion of Ukraine. US Treasury implied volatility, forecast of a likely movement in a price, reached new record levels during the fallout from Silicon Valley Bank’s failure, with the 2Y climbing 68% vs. February. BrokerTec U.S. Treasuries ADV reached $211 billion during the week of March 17, with the 2Y note seeing record volume of $69 billion on March 13.
RV Curve saw a record daily volume of $8 billion on March 13 and traded $5 billion ADV during the week of March 17 as participants looked to the functionality to manage their curve risk. Overall ADV for March was $2.4 billion, just below the record level for March 2022, representing 1.8% of US Treasury volume on BrokerTec.
In March clients were focused on the central banks, their monetary policy meetings and their continued fight against inflation. The European Central Bank raised their main financing rates by 50bp to 3% from 2.5% previous, and the Bank of England followed, raising their base rate 25bp to 4.25% from 4% previous. Volumes across EU Repo remained strong throughout the month, resulting in a notional ADV of €372.3bn, up 4% on the previous month.
Erik Norland, senior economist at CME Group, said in a statement: “Interest rate expectations changed quickly over the course of March. The short-term rates curve in the US priced four additional rate hikes at the beginning of the month. However, within a week of Silicon Valley and Signature Bank’s collapsing, the US fixed income market was pricing rates cuts as soon as July and over 200bps of rates cuts in total by the end of 2024. By month end, the forward curve had begun to adjust back towards its beginning of month position. European fixed income markets followed largely the same pattern and were also driven by the sudden collapse of Credit Suisse.”