BrokerTec US repo ADV flat at $284.9bn yoy in October

BrokerTec US repo notional ADV was at $284.9 billion in October, flat from last year’s $284.6 billion and down from September’s $294.9 billion. EU repo volumes were at €295.5 billion ($312bn), compared to €376 billion in October 2022 and €306.8 billion last month.

In emailed commentary, John Edwards, managing director at BrokerTec, wrote:

BrokerTec US Repo notional ADV was $284.9B ADV as a result of more GC and GCF trading activity but slightly fewer USTs open positions and lower demand for specific securities.

EU Repo volumes have remained robust during October, with notional ADV of €295.5 billion ($312bn, and ). Earlier in the month German yields advanced across the curve amid a broader bond rally as investors bet that central banks would wind down aggressive rate hike policy.

On 26 October, the ECB left interest rates unchanged for the first time in more than a year with the markets now expecting higher rates to persist for longer in both the UK and EU in efforts to further reduce inflation. Core GC remained stable across the month

BrokerTec US Treasury notional ADV was $111.6 billion in October, with market participants digesting the FOMC’s ‘higher for longer’ messaging as well as the war in the Middle East. Order book depth remained strong in the face of renewed volatility.

The yield curve continued to move towards dis-inversion, with the 2s-10s spread narrowing from -43bps to -15bps. This movement saw an increase in RV Curve trading to $1.9 billion ADV, with RV Butterflies set to commence testing on 20 November, bringing an additional hedging tool to market participants.

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