How are Liffe’s repo futures faring?

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.

Liffe Treasury GCF

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.
Liffe Mortgage GCF

Liffe Agency GCF

The raw data are available here.

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