BrokerTec Recap – November 2021

  • 22 Nov 2021
  • By CME Group

BrokerTec Quote volume surges 42%, Australian repo added to the platform

Built from the ground up and based on direct collaboration with the repo community, BrokerTec Quote continues to attract new users and bigger volumes: 

  • ADV +42% MoM in October, achieving a third consecutive record high. 
  • Single-day volume hit a record high on Nov. 16.

In response to client demand, BTEC Quote has expanded its product offering to include Australian Sovereign Bonds for repo trading, with further new markets scheduled for early 2022. This is the latest in a series of client-led enhancements aimed at providing the D2C repo community with a best-in-class RFQ protocol.

Repo activity rises as interest rate outlook shifts

Several factors continue to drive increased repo trading including excess cash from fiscal spending, a lack of short-end fixed income investments, and borrowing securities to short them. ​​​​Demand for quality repo trading remains robust and given BrokerTec’s position in EU and U.S. Repo, volumes on the CLOB reached near record highs in October:

  • U.S. Repo ADV rose 12% MoM to $274B, the second highest all-time (high $288.2B Sep. 2019).
  • EU Repo ADV, on pace for a record year, rose 2% MoM to €304.3bn, also the second highest all-time (high €318.2B May 2021).

New records for RV Curve

BrokerTec RV Curve ADV hit a record $560M in October, with a growing list of participants taking advantage of inside pricing and zero legging risk on their U.S. Treasury benchmark spreads.

  • The record month was capped off by a record day at month-end of $1.37B.
  • Momentum continues in November with record weekly ADV of $717M during the week of Nov 8.
  • Two way inside markets continue to be observed for ~90% of US hours, with strong markets extending throughout APAC/EU hours.
  • The participant pool has grown to 37 unique firms, including four new firms in October.
  • BrokerTec clients can access RV Curve through the iLink API, the BrokerTec Global Front End (RV_ALL), or via a supporting ISV (CQG, ION, Stellar).

BrokerTec Stream onboards new liquidity providers

Enabled by its partnership with TransFICC, which makes it easier than ever for liquidity providers to connect, BrokerTec Stream is becoming an increasingly attractive platform for clients looking to add bilateral streaming to their UST actives mix.

Why BrokerTec Stream?

  • 1/16 MPI across the curve
  • Single ticket fills
  • Shared STP, front end, and credit with the BTEC CLOB
  • Ongoing incentive programs

BrokerTec launches market-making program for NextGenerationEU (NGEU) bonds

To build liquidity in NGEU bonds, which are available to trade on BrokerTec for cash and repo (CLOB and Quote) transactions, BrokerTec launched a market-making program on Nov. 1.

As a reminder, NGEU bonds have also been added to the EU bonds GC basket, which contains eligible cleared NGEU bonds, EU SURE and EU older issued bonds.

CME Group adds BTEC data to Treasury Analytics tool

The CME Group Treasury Analytics tool has been upgraded to include cash U.S. Treasuries data sourced from BrokerTec's leading D2D CLOB, including:

  • Current and historical fixings for BTEC UST benchmarks
  • RV Curve pair ratios and yield spreads

From our research team:

Monetary Seesaw – The Treasury and Fed at Opposite Ends

As the Treasury decreases coupon issuance by nearly $80 billion in the upcoming quarter, the Fed is set to decrease asset purchases, which could present interesting moves in interest rate markets.

Why the Market Should Watch Special U.S. Repo

As markets focus on inflation and the debt ceiling, the Federal Reserve Bank of New York has become more active in lending specific securities.

Data as of October 29, 2021, unless otherwise specified.