BrokerTec reported average daily volumes (ADV) for US repo at $283 billion in November, in line with October’s figures and slightly down year-over-year (yoy) from $292 billion in November 2022.
“US Repo ADV for November remained strong at $283 billion. Overall there were fewer specials but we saw some activity in the 5 year sector, across a number of Bills, 10 year term and a deliverable UST against the 2 year future. Additional supply and quantitative tightening continue to put pressure on rates allowing some clients to move some of their assets from the RRP facility back into repo,” said John Edwards, global head of BrokerTec at CME Group, in emailed commentary.
In EU repo, volumes have remained stable for during November, with notional ADV of €290 billion ($315.5bn), also in line with October’s figures and down year-over-year from €364 billion.
“Inflation data released during November fed speculation that central bank rates have peaked,” Edwards noted.
BrokerTec US Treasury notional ADV was $108 billion in November, up 4% YoY as market participants continue to digest FOMC policy guidance. Book depth in the US Treasury CLOB has remained strong in the face of renewed volatility.
The yield curve continued to be in focus with RV Curve reaching $2.3 billion ADV, up 75% from September levels.