In November, BrokerTec European Repo average daily notional value (ADNV) increased 21% to €364 billion and US Repo ADNV increased 13% to $292 billion.
John Edwards, global head of BrokerTec at CME Group, wrote in a commentary:
November volumes were up 2.4% on prior month to $291.5 billion ADV, the second strongest month on record after September this year. This was driven by lower open positions for the on the runs but elevated special activity in bills.
Volumes in EU Repo remained strong across November. The first week of November was the fourth highest ADV notional week on record, with particularly strong volumes in Germany, France and the UK. Overall, November was the third highest ADV notional month of €364.4 billion ($383.6bn), behind September and October 2022.
Record high inflation in both the UK and the eurozone continued to be the main focus during November. On November 4, the Bank of England raised its base rate by a further 75bp, from 2.25% to 3.00% the highest level since November 2008, to battle current double-digit inflation. The ECB increased the amount of securities that central banks in the euro area can lend out against cash collateral in a bid to satisfy demand for high-quality assets around year-end, an increase to €250 billion as of November 10, up from the previous €150 billion.
BrokerTec’s US Treasuries ADV was $103.8 billion in November with 2022 YTD volume of $130 billion, up 11% year-on-year. We saw US Treasury CVOL average 148 in November, down from 175 in October but +80% YoY.
Focus on inflation and future Fed policy drove activity in November with the difference between the 2-year and 10-year yield reaching its lowest point in over 40 years. Coinciding with this, RV Curve traded $1.5 billion ADV in November with over 50 participants trading to date.