BrokerTec Recap – September 2021

  • 9 Sep 2021
  • By CME Group

RV Curve sees record volume, inside prices for 90% of US hours

Inside pricing and zero legging risk on US Treasury benchmark spreads continue to attract new users and increased flow to RV Curve.

  • August saw a fifth consecutive record month with nearly $400M in ADV.
  • RV Curve's efficiencies continue to shine during key risk events, as evidenced by the most recent single-day volume record in which $1.34B traded in conjunction with the Aug. 18 20yr auction, including:
    • $390M 20yrs which was 7.4% of total 20yr platform volumes on the day
    • $696M 10yrs which was 3.3% of total 10yr platform volumes on the day
  • Two way inside markets are available for over 90% of US hours, with strong markets extending throughout APAC/EU hours.
  • The ecosystem has grown to 30+ unique firms, and importantly, is set to expand further with ION Trading now live.

New participants spur record trading on BrokerTec Quote

Increasingly, through direct collaboration with the repo community, BrokerTec Quote is delivering on its vision to repower dealer-to-client repo trading.

Through best-in-class RFQ capabilities, automation across the trade lifecycle, and innovative and customizable feature sets that solve for specific client pain points, Quote continues to attract new users and bigger volumes ‒ most recently hitting new highs in one-day volume and weekly ADV for the week ending Aug. 27.

Contact our team today to set up a demo and to learn how Quote can help you.

GFE 10.2 delivers key enhancements for US Repo

In August, the BrokerTec Global Front End Client was upgraded to version 10.2 with several impactful enhancements for US Repo participants, including:

  • Bid in Bulk: Traders are now able to enter bids “in bulk” (Buy in Bulk First, BID in Bulk second) against resting best or not best offers, first bidder or additional second bidders (best offers only), all as per user-defined criteria.
  • Bulk Order Manager Enhancements: We streamlined several aspects of the Bulk Order Manager, introduced the new ‘Fund Flat’ concept, expanded AON functionality in several places and allowed for additional formatting options.   
  • ALL ORDERS tab: Traders now have the option to view all Firm Orders in addition to Own orders in the ALL ORDERS tab, making it much easier to manage the positions and risk of the firm when combined with the ability to cancel/inactivate/take over other trader’s orders.
  • Additional Risk Columns in RP Risk Totals: Traders can now view total amount bid/offered, total risk on long/short, total bought/sold/net, and WTD of executions. They will be able to evaluate all aspects of the 15c3-5 risk limit calculations and anticipate any need to adjust the limits. 

With innovative features, new trading modalities, and a streamlined approach, we are improving traders' experiences and making it easier, safer, cheaper, and faster to execute more effectively.

Product updates

EU Next Gen Bonds now trading commission free as of Sept. 1

EU Next Generation Bonds are now available to trade on BrokerTec for Cash and Repo (CLOB and Quote) transactions.

  • To help build additional liquidity, these instruments will trade commission free on cash bonds from Sept. 1 until further notice.
  • BrokerTec has also added EU Next Generation Bonds to the EU Bonds GC Basket, which also contains eligible Cleared EU Next Generation bonds, EU SURE and EU older issued bonds for Repo D2D.

Delisting EONIA Repo products

Effective Tuesday, August 31 (trade date Wednesday, September 1), all Euro Overnight Index Average (EONIA) Repo instruments were delisted. 

New yield-based Treasury futures enable early When Issued (WI) trading

CME Group's new Micro Treasury Yield futures have seen a rapid uptake since their Aug. 16 launch, with over 165K contracts traded in the first three weeks.

Because Yield futures are listed monthly and cash-settled to BrokerTec UST benchmarks that track on-the-run securities, they provide users with a new and valuable use case: Trading the When Issued (WI) security a month in advance.

Fiscal Turbulence Ahead?

A confluence of fiscal and monetary hot spots could mean heightened risk and a more volatile ride ahead for interest rate markets.

Read about potential risks (and risk management solutions) associated with the debt ceiling, the TGA drawdown/RRP paradigm, and the potential for the Fed to begin tapering as the Treasury begins reducing coupon issuance.