BrokerTec US repo ADNV up 43% to $274bn in October yoy

In October, BrokerTec US Repo average daily notional value (ADNV) increased 43% to $274 billion year over year (yoy) and was up about 13% from September, when it was $242.8 billion. US Treasury ADNV increased 33% to $131 billion yoy and European Repo ADNV increased 18% to €304 billion yoy.

US repo: In October, BrokerTec continued to see further increases in volume in individual securities while repo rates remained mostly below the RRP .05% level. The increase started at the FOMC meeting on September 22 when the Committee announced that it might slow down the pace of asset purchases.  The new positions in US treasuries (USTs) also increased the scarcity of USTs available to be lent against cash and created repo rate volatility for many securities. The volume in the Fed RRP Program increased considerably in September so there wasn’t a further record in October, month end volume ended at $1.5 trillion.

US Treasury benchmark volumes improved in October with ADV at $123 billion vs September’s $93bn. The yield curve continued to flatten over the course of the month as market expectations increased that the Federal Reserve would need to act on higher inflation expectations, leading to increased market volatility and higher volumes overall. RV Curve average daily volume hit a record of over $550 million in October with a record volume day on October 29 with $1.37 billion executed.

John Edwards, global head of BrokerTec, said in a statement: “This month, repo rates on BrokerTec remained stable across euro markets, while specific sterling (UK gilt) repos moved to more negative rates as we approached month end.”

He added that European repo ADNV volumes increased across October to €304.3 billion ($352.2 billion) compared to September’s €297.8 billion. Term Repo activity on the platform was up on September with Term Adjusted Repo volume at €333.8 billion compared to September Term Adjusted €327.9bn.

BrokerTec also achieved two volume highs for European repo on the 1st October:

  • Nominal volume €321.8bn (7th Best day on record since launch in 2000)
  • Term Adjusted volume €413.1bn

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