In May, BrokerTec US Repo average daily notional value (ADNV) increased 35% to $271 billion, US Treasuries increased 25% to $131 billion and European Repo ADNV increased 8% to €344 billion. All figures are year over year (yoy).
John Edwards, global head of BrokerTec, said in an emailed statement:
May was another strong month with ADV of $131 billion, representing a 25% increase on May 2021 while 2022 year to date ADV is up 19% yoy. CME Group’s Volatility Indexes (CVOL) fell from a post-pandemic high of 155 on May 2nd to 115 at the end of the month as volatility moderated. The 10-year Treasury traded as high as 3.13 on May 6th but since rallied to 2.75 as concerns over economic growth led to increased demand for safe haven assets. Market volatility could also be seen in BrokerTec’s RV Curve product with ADV of $1.85bn and a new participation record with 51 monthly active users trading.
The Fed raised rates by another 50bp on May 4th to the new 0.75%-1% range. Repo volumes remained strong and ADV was $271bn, up 35% YOY. The first half of the month was particularly strong with ADV as high as $296bn. Both Specials and Reg Repo performed well overall on BrokerTec.
European repo nominal volumes remained strong throughout May, with a certain amount of interest rate uncertainty within the Eurozone we are seeing an increase in short dated funding. Overall notional ADV for May 2022 was a new record €344.3 billion, surpassing the previous all-time high in March 2022.
The Bank of England’s interest rate hike on May 5th from 0.75% to 1.00%, resulted in increased activity for Gilt Repo on the platform. With the UK seeing rising inflation and the probability of further rate increases, Gilt Repo ADV continued to remain strong for the whole of May. Since the Bank of England rate rise on May 5th , Gilts were the highest country ADV for all but five days of the month (as of May 25th), putting Germany into second place.