BrokerTec’s Edwards on repo market performance in September

BrokerTec US Repo notional average daily volume (ADV) was $294.9 billion in September, a 1% increase on August.

“There was more GC and GCF trading while we maintained similar levels of open positions in specials and saw increased activity in the 20-year sector,” wrote John Edwards, global head of BrokerTec at CME Group, in emailed commentary.

BrokerTec US Treasury notional ADV was $99.9bn in September as participants focused on the long end of the curve following the September FOMC meeting. As a result, there was a selloff in the 10-year Treasury, by over 40 basis points since 1 September. Overall liquidity has remained resilient and book depth in the 10-year is at its highest level since February 2022.

During the month, BrokerTec also announced the launch of RV Butterfly spreads, with client testing set to begin on 20 November. This complements the existing RV Curve spreads, which traded over 2.1 billion ADV the week of 25 September, across 60+ clients to date.

Overall, EU Repo volumes were higher than the previous two months with notional ADV of €306.8 billion ($321.2bn). Activity increased as the month progressed in line with central bank activity with the European Central Bank (ECB) hiking interest rates on 14 September and the Bank of England leaving rates unchanged on 21 September.

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