CME BrokerTec has reported a 17 per cent year-on-year increase in US repo average daily notional value (ADNV), generating US$313.5 billion for December.
According to the BrokerTec monthly volumes, the increase follows increased specials activity across several sectors, along with general collateral (GC) volatility.
Additional supply and quantitative tightening continue to put pressure on rates.
John Edwards, global head of BrokerTec at CME Group, says this allows some clients to invest new assets in repo and, at times, move some of their cash from the RRP facility.
In contrast, EU repo volumes were down 17 per cent YoY to €267 billion in December. Liquidity in EU repo remained robust over the year-end period, when historically bonds become scarcer.
US Treasury ADNV was up 8 per cent YoY, recording US$91 billion on the BrokerTec platform for December.
Erik Norland, chief economist at CME group, comments: “In December, bond yields fell sharply across all markets as inflation fell in Europe and in the US.
“By month-end, rates markets priced as much as 150-200 basis points of cuts from the Federal Reserve and the European Central Bank (ECB) over the course of 2024 and 2025. Economic data, however, was not uniformly weak, with the US, in particular, showing strong gains in consumer spending and employment.”
