In January, BrokerTec US Repo average daily volume (ADV) for January 2023 was $260 billion, down 3% year-on-year (yoy) and also down from high levels seen in December, when it was $268 billion. European Repo increased 16% yoy to €332 billion ($355.0bn), also flat from December’s €323.1 billion.
John Edwards, global head of BrokerTec at CME Group, wrote in a commentary:
US Repo
ADV for January 2023 was $260 billion, down slightly from high levels seen in December. Quantitative tightening by the Fed led to increased trading of general collateral (GC) vs specific collateral (SC).
EU Repo
In line with previous years, the first week of January started at a steady pace across both Euro and UK Gilt Repo markets. Volumes increased as the month progressed, reverting back to the levels that BrokerTec last saw in November and the beginning of December.
US Treasuries
BrokerTec’s US Treasuries ADV was $105 billion in January, up 24% month-on-month. US Treasury CVOL declined to an average of 130, its lowest since May 2022, as investors remained cautious on inflation and future Fed policy moves. Volume on peak trading days continued to coincide with the monthly CPI and unemployment releases. RV Curve ADV held steady at $1.3 billion ADV, comprising 1.4% of UST volume on BrokerTec.