In March 2022, BrokerTec US Repo average daily notional value (ADNV) increased 20% to $287 billion, European Repo ADNV increased 14% to €340 billion ($375.6bn) and US Treasury ADNV increased 11% to $148 billion. All figures are compared to March 2021.
Market commentary provided by John Edwards, global head of BrokerTec:
US Repo:
On March 16, the FOMC increased the Fed Funds range by .25% to .25-.50%. With higher interest rate on reserves and at the RRP (reverse repo) program, BrokerTec saw an increase of cash entering the US Repo market keeping downward pressure on rates and less GC volumes. A lot of volatility around Fed predictions also helped increase volumes. There was another uptick in March ADV to BrokerTec’s second highest at $287 billion: share of the total IDB (interdealer broker) volume was also the second best in 21+ years.
EU Repo:
Overall March notional ADV for EU Repo was €340 billion, a second consecutive record month for BrokerTec EU Repo. The platform experienced four record notional ADV days, with a high on March 3rd and two record ADV notional weeks, the highest week ending March 4.
EU Repo volumes increased strongly in the first three weeks of March, with many specific bonds trading with increased specialness. The German and Dutch finance agency, along with the UK Debt Management Office, increased issuance on some bonds in order to relieve pressure in the Repo market brought on by geopolitical and economic uncertainty.
US Treasuries:
US Treasury Benchmark volumes continued their strong performance in March with ADV reaching $148 billion (+11% YOY), driven by increased focus on the Fed and geopolitical volatility. March saw market participants continue to anticipate more aggressive Fed tightening, with the CME FedWatch Tool pricing in a series of 50 basis point hikes, and the 2-year UST yield rising a full percentage point. Longer tenors were slower to rise, leading to several BrokerTec Benchmark pairs inverting and a nearly flat belly of the curve.
RV Curve ADV reached a record $2.5 billion in March, including a record, single-day volume milestone of $4 billion on 29 March. Additionally, BrokerTec announced Broadway Technology will make RV Curve spread trading functionality available on their Toc Platform.