CME Group reported its April 2022 statistics. BrokerTec US Treasury average daily notional value (ADNV) increased 41% to $143 billion year-over-year (yoy), US Repo ADNV increased 35% to $288 billion and European Repo ADNV increased 13% to €334 billion.
In written commentary, John Edwards, global head of BrokerTec, said:
US Repo: April ADV was $287.5 billion, representing a 35% increase on April 2021. Cumulative YTD ADV is at $281 billion, 27% higher than 2021. Since the Fed raised rates on March 16, market participants continue to speculate about future moves which has resulted in a high amount of open positions in USTs and has kept BrokerTec’s US repo volumes at near record levels. During the 3rd week of April, the market traded below the .30% RRP rate. MFs and GSEs still borrow 1.8 trillion USTs from the Fed at .30%.
EU Repo: During April, volumes remained robust on BrokerTec’s EU Repo platform. Overall notional ADV was €333.8 billion ($351.1bn), the third highest nominal ADV on record after February and March 2022. With interest rate uncertainty continuing due to high inflation within the Eurozone, market participants are likely focused on short date funding rather than term trading, which could be contributing to the strong volumes seen on BrokerTec. Core GC has remained stable throughout the month of April with German GC averaging -0.65. We continue to see German specifics, particularly short maturity paper, trading around -1.00.
US Treasuries: April has been another strong month as reflected in BrokerTec’s U.S. Treasury ADV of $142.8 billion, representing a 41% increase on April 2021. Cumulative YTD ADV’s are 12% higher than 2021. CME Group’s Volatility Indexes (CVOL) ranges were in the 130’s for most of the month indicating a continued high volatility trading environment. The 10-year Treasury started the month trading at a yield of 2.35 and traded as high as 2.97 as continued concerns over persistent inflation and additional FOMC rate increases kept downward pressure on UST prices. Market volatility could also be seen in BrokerTec’s RV Curve product with ADV’s over $2bn/day for the second straight month.