BrokerTec European Repo average daily notional value (ADNV) increased 31% to €389 billion ($381.4bn) year-over-year (yoy), also up from August’s €343.7 billion. US Treasury ADNV increased 29% to $127.5 billion, up from $111.4 billion month-on-month. US Repo ADNV increased 23% to $299 billion, also up from August’s $268 billion.
John Edwards, global head of BrokerTec at CME Group, said in a market commentary:
European repo CLOB (central limit order book) volumes were very strong during September 2022. The month started with a record notional ADV on the first day on the month followed by three more record ADV notional days as the month progressed. Three record ADV notional weeks were achieved and fourteen of the highest ADV notional days all occurred in September.
Activity from the central banks drove increased volumes across both the UK and the eurozone. The European Central Bank and The Bank of England both raised their interest rates during September, the ECB raised 75bp on September 8 and the Bank of England raised 50bp on September 22 to combat rising inflation.
In September, US Repo experienced higher volumes due to increased specials activity in bills, on the runs and more cash in the system. Total cash in Repo was especially high ahead of the September FOMC meeting when the Fed raised rates by 75 bps.
This led to a record month for trading volumes, with the ADV reaching $299 billion fueled in part by an all-time daily record of $358 billion ADV on the day after the FOMC meeting, up from our previous record of $351 billion set ten years ago during hurricane Sandy. Cash levels in US Repo were also high at the end of the month, when the Fed’s reverse repo operations reached a new record high of over $2.4 trillion.
BrokerTec’s US Treasuries volume continues its upward trajectory with ADV reaching $128 billion in September, growing 29% year-on-year. Focus on Inflation, future Fed policy, and interventions by the Bank of England and Bank of Japan led to highly turbulent markets in the second half of September 2022, with the 10-year yield surpassing 4% for the first time in 10 years on September 28 before falling by over 30bps to 3.709% by the end of the same day. Coinciding with this, we saw US Treasury CVOL [CME volatility index] reach its post-pandemic high of 193 on Sept 27.
BrokerTec’s RV Curve September ADV was $2.2 billion, growing 20% from August. Weekly ADV reached $3.5 billion during the week of Sept 26, as participants increasingly looked to the product to efficiently manage their curve risk during the heightened volatility.