BrokerTec Recap – June 2021

  • 25 Jun 2021
  • By CME Group

RV Curve quickly becoming key tool for risk events

Offering efficient way to trade yield-based curve spreads on UST benchmarks, RV Curve has seen strong adoption since its March 2021 debut, quickly becoming a key tool for risk events.

With increased volatility following the Fed meeting, RV Curve traded a record $677M on June 16 followed by $673M on June 18, finishing the week with a record $2.1B traded. The top five pairs by volume for the week included 5Y/10Y, 3Y/5Y, 3Y/7Y, 10Y/20Y, 5Y/7Y.

By merging liquidity from the central limit order book with a single-threaded matching engine, RV Curve eliminates legging risk, provides inside liquidity, and increases matching opportunities on benchmark spreads.

EU repo activity rises to third record in four months

With excess cash in the system, global participants continue to rely on BrokerTec's leading liquidity and network for their EU repo trading needs. 

  • After registering monthly ADV records in both February (€291B) and March (€299B), EU repo volumes on BrokerTec rose to a record €318B per day in May.
  • The month of May contained 12 of the 20 most active days ever seen for European repo, including the second highest one-day volume of €332 billion on May 20.

BrokerTec Quote sees record volumes, expanded participation

Built based on direct collaboration with the repo community, BrokerTec Quote brings enhanced RFQ capabilities, automation, and efficiency to EU and US dealer-to-client repo trading.

Offering streamlined trade negotiations, down stream processes, and life cycle events, Quote has attracted a growing list of participants and strong volume growth, hitting new ADV records nearly weekly.

Smaller ticks, lower costs: 3Y Treasuries now trading in 1/8 ticks

On May 3, the minimum price increment (MPI) for 3Y UST was successfully reduced to 1/8 of 1/32nd, bringing potential execution cost savings and finer price discovery to the short-end of the curve during a time of constrained volatility and sticky price movements.

In the first month of trading at 1/8 ticks, the 3Y has seen strong participation and a seamless operational transition.

CME Group to launch Yield-based Treasury futures based on BrokerTec US Treasury benchmarks

Launching August 16, 2021*, Micro Treasury Yield futures will be cash-settled to BrokerTec UST benchmarks, offering direct exposure to the most recently auctioned Treasury securities at four key tenor points on the curve.

Market insights

Cash Treasury Issuance: A Story of Supply and Command

As demand for US government debt finally appeared saturated, the Treasury paused its increases and bolstered auction takedown. But will the Fed’s eagerness to withdraw from yield curve management shift the balance again?

BrokerTec 20-year in 2021: What's Old is New

Still a newcomer relative to 10Y notes and 30Y bonds, the 20Y bond has become an increasingly popular tool for risk management and monetary policy outlook.

*Subject to regulatory review.