BrokerTec EU repo ADNV climbs 25% YoY for September
07 October 2026 US
Image: medienvirus/stock.adobe.com
CME Group’s BrokerTec has revealed EU repo average daily notional value (ADNV) has increased 25 per cent year-on-year (YoY) for September, accumulating €373.6 billion.
BrokerTec’s overall ADNV for the month was US$1.135 trillion, up 18 per cent YoY.
The figure represents volumes across benchmark cash US Treasuries, European government bonds, and US and EU repo.
In terms of US repo, volumes increased 1 per cent YoY to US$405.8 billion in ADNV, after traders adjusted to the higher Fed Funds and repo range.
For US Treasuries ADNV, volumes were up 29 per cent YoY to US$114.7 billion, outpacing volatility — measured by the CME Group US Treasury Volatility Index — which rose 12 per cent over the same period.
Erik Norland, chief economist at CME Group, says: “US Treasury yields fell sharply following the US Treasury’s 19 September decision to double the size of their weekly buyback operations from US$2 billion to US$4 billion.
“This implied that the Treasury could buy an additional US$100 billion per year in 10-year to 30-year US Treasuries and fund those purchases by issuing T-Bills.”
Following this announcement, Norland indicates that 30-year Treasury yields fell by around 10 basis points while shorter term Treasury yields rose.
By month end, 2-year and 5-year Treasury yields were around 5bps higher than their end of July levels, while 10-year yields rose by 1.5bps and 30-year yields fell by 3bps.
He continues: “The mechanism by which the Treasury buys longer dated bonds is akin to what the Federal Reserve did during ‘operation twist’, an effort to flatten the yield curve back in the mid-2010s.
“Such actions can raise concerns about a potential expansion of the money supply since T-Bills are near cash instruments that have little to no haircut when used as collateral, unlike long-term bonds which carry significant duration risk and often require 3-6 per cent haircuts when posted as collateral.”
In international markets, Japanese, French, German, and Italian bond yields rose.
BrokerTec’s overall ADNV for the month was US$1.135 trillion, up 18 per cent YoY.
The figure represents volumes across benchmark cash US Treasuries, European government bonds, and US and EU repo.
In terms of US repo, volumes increased 1 per cent YoY to US$405.8 billion in ADNV, after traders adjusted to the higher Fed Funds and repo range.
For US Treasuries ADNV, volumes were up 29 per cent YoY to US$114.7 billion, outpacing volatility — measured by the CME Group US Treasury Volatility Index — which rose 12 per cent over the same period.
Erik Norland, chief economist at CME Group, says: “US Treasury yields fell sharply following the US Treasury’s 19 September decision to double the size of their weekly buyback operations from US$2 billion to US$4 billion.
“This implied that the Treasury could buy an additional US$100 billion per year in 10-year to 30-year US Treasuries and fund those purchases by issuing T-Bills.”
Following this announcement, Norland indicates that 30-year Treasury yields fell by around 10 basis points while shorter term Treasury yields rose.
By month end, 2-year and 5-year Treasury yields were around 5bps higher than their end of July levels, while 10-year yields rose by 1.5bps and 30-year yields fell by 3bps.
He continues: “The mechanism by which the Treasury buys longer dated bonds is akin to what the Federal Reserve did during ‘operation twist’, an effort to flatten the yield curve back in the mid-2010s.
“Such actions can raise concerns about a potential expansion of the money supply since T-Bills are near cash instruments that have little to no haircut when used as collateral, unlike long-term bonds which carry significant duration risk and often require 3-6 per cent haircuts when posted as collateral.”
In international markets, Japanese, French, German, and Italian bond yields rose.
NO FEE, NO RISK
100% ON RETURNS If you invest in only one securities finance news source this year, make sure it is your free subscription to Securities Finance Times
100% ON RETURNS If you invest in only one securities finance news source this year, make sure it is your free subscription to Securities Finance Times
