The NYSE Liffe repo futures are a great idea. Following their launch in July 2012, we have been covering this space and asking the critical question: can repo futures generate enough liquidity to make them potential LIBOR replacements. We show below graphically how Liffe’s repo futures are looking these days.
Treasury GCF: looking pretty good. Following a dip earlier this year, open interest has recovered to almost 54,000 contracts. This is still just 11% of NYSE Liffe’s Eurodollar contracts with open interest of 478,056 contracts, but the momentum is heading in the right direction.
Mortgage and Agency GCF: not so good. Following run-ups that made us think that liquidity could get greater mass, open interest in both products has fallen substantially. Mortgage GCF open interest dropped on Feb 1 2013 by 73%. Agency GCF declines have been more gradual but still on a downward trajectory. While more recent weeks have shown improvement, it remains to be seen how robust these futures will be.
The raw data are available here.