Matt Gierke, Global Head of BrokerTec, CME Group
BrokerTec's overall average daily notional value (ADNV) for October reached $1.127T across benchmark cash U.S. Treasuries, European Government Bonds and U.S. and EU Repo on its dealer-to-dealer central limit order book and dealer-to-client request-for-quote platforms. Volumes were up 18% year-on-year.
U.S. Treasuries
U.S. Treasuries ADNV was $119.9B in October, up 50% versus last October outpacing volatility – measured by the CME Group US Treasury Volatility Index (CVOL) – which rose 41% over the same period.
U.S. Repo
U.S. Repo ADNV reached $419.5B in October, up 7% from the previous year, with strong volume in general collateral trading.
EU Repo
Volumes remained strong for EU Repo during October, resulting in an ADNV of €358bn, up 19% year-over-year.
Erik Norland, Chief Economist, CME Group
U.S. Treasury yields fell by 30 to 35bps during October with the biggest declines occurring on the 5Y and 10Y parts of the yield curve as a sharp selloff in technology stocks generated a flight to quality. German yields also fell sharply with 2Y yields down by 16bps while 10Y Bund yields declined by 26bps. Yields in Japan and the U.K. also followed German and U.S. yields lower. French yields rose, however, with 2Y yields jumping 5bps, 5Y yields rising 16bps and 10Y OAT yields up 11bps amid violent protests and concerns over France's 5% of GDP budget deficit and 118% public debt to GDP ratio.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered legal advice, investment advice or the results of actual market experience. Where regulatory matters are summarized, they represent CME Group’s good faith understanding of the applicable requirements.