BrokerTec’s US Repo average daily value (ADV) increased 8% year-over-year (yoy) in ADV, up to $292 billion and the 4th best month on record, also up from July’s $270 billion.
The increase was “due to several factors including the quarterly refinancing of 3s,10s and 30s mid month, noticeable specials activity in the middle part of the curve and an announcement early in August that all coupon auctions will be greater by $1bn to $3bn going forward”, writes John Edwards, global head of BrokerTec at CME Group, in an emailed commentary.
Volumes across EU Repo remained steady despite the summer break. At €309 billion ($332.1bn) ADV, volumes are up 13% compared to the same period two years ago, down from July’s €326.7 billion. Following on from the European Central Bank’s rate hike at the end of July, The Bank of England raised their base rate to a 15-year high on August 3rd from 5% to 5.25%, in line with market expectations. It is increasingly looking like central banks are nearing the end of their rate hike cycles, and further decisions will be data dependent.
In August, BrokerTec US Treasury ADV was $99 billion, in line with prior months as volatility moderated. Liquidity measures continued to improve, with overall book depth at a high for the year, and 10-year book depth at its highest post-Ukraine.