BrokerTec US repo ADV up 4% at $268bn yoy in December

In December, BrokerTec US Repo average daily volume (ADV) increased 4% year-on-year (yoy) to $268 billion, down from November’s $292 billion. European and UK Repo ADV was up 26% at €323.1 billion ($347.2bn) yoy in December, down from the previous month’s €364 billion. For the full year US repo ADV was up 19% at $277.4 billion yoy and Euro/UK ADV was up 18% at €345.2 billion yoy.

John Edwards, global head of BrokerTec at CME Group, wrote in a commentary:

Volumes in Euro and UK Repo remained strong during December, continuing the trend seen across much of 2022 with €323.10 billion ADV despite the usual seasonal slowdown in market activity over year end.

High inflation in both the UK and the eurozone continued to be the main focus during December. Both the Bank of England (BoE) and the European Central Bank (ECB) raised their main financing rates by 50bp on December 15, the BoE from 3% to 3.5% and the ECB deposit rate from 1.50% to 2%. Both rises were in-line with market expectations.

Liquidity in EU Repo remained robust over the crucial year-end funding period. German bonds were trading around a 4% premium for the three days over the turn against GC and Spanish bonds around 3%.

BrokerTec US Repo activity in December was $268 billion ADV, up 4% yoy. Year end trading was not particularly volatile, with trading in a slightly wider range than usual.

BrokerTec’s US Treasuries ADV was $85 billion in December while 2022 ADV reached $126 billion, up 9.5% yoy to its highest level since 2019. Focus on inflation and future Fed policy drove activity as peak trading days coincided with the monthly CPI and unemployment releases. US Treasury CVOL (CME Group Volatility Indexes) fell 3.5% in December from the prior month, however it is up 73% yoy.

RV Curve achieved a key milestone in 2022 by surpassing $500 billion traded since launch across 50+ unique participants.

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