BrokerTec US repo ADNV up 4% for September, says CME Group
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BrokerTec US repo ADNV up 4% for September, says CME Group 03 October 2024US, Europe Reporter: Daniel Tison
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CME Group has revealed a “surge” in global bond markets for September, particularly in US Treasuries and repo markets, as investors “braced for major shifts” in central bank policies.
BrokerTec reported US$824 billion in average daily notional value (ADNV) across its platforms, reflecting heightened market activity in the wake of central bank decisions.
The ADNV for US repo reached US$306 billion in September, representing a 4 per cent growth from both the previous month and the same period last year.
According to the platform, Federal Reserve’s 50bps rate reduction left rates at a new range of 5 to 4.75 per cent, driving increased activity in repo markets.
CME says that much of the boost came from new US Treasury issuances and continued quantitative tightening of US$60 billion per month.
Money market funds also hit a new record of US$6.424 trillion, further supporting repo market volumes.
In Europe, repo volumes bounced back following the ”traditional summer slowdown”, CME says.
BrokerTec’s European repo market saw a 6 per cent increase from August, reaching €287 billion in ADNV.
Central bank decisions once again played a pivotal role, CME says, with the European Central Bank (ECB) reducing its deposit rate by 25bps on 12 September.
US Treasury trading on BrokerTec hit US$119 billion in ADNV, marking a 19 per cent year-over-year (YoY) increase — the highest level since the regional banking turmoil in March 2023.
Market participants positioned themselves ahead of the Federal Reserve’s policy decision on 18 September, which saw a 50bps rate cut.
Liquidity remained resilient during this period of volatility, the firms says, with the 5-Year Note's depth increasing by 35 per cent YoY, highlighting strong investor demand.
Additionally, BrokerTec's relative value (RV) product suite hit a new record, with an average daily volume (ADV) of US$2.7 billion in September, up 40 per cent from the previous quarter.
According to CME, this indicates a growing interest in relative value trading strategies as market participants navigated interest rate changes.
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