BrokerTec Recap March 2022

  • 2 Mar 2022
  • By CME Group

Now live: UST Market Profile 1.0

By bringing BrokerTec U.S. Treasury actives and listed Treasury futures data together on one screen, the first generation of our new UST Market Profile tool is step one of our mission to help clients achieve execution efficiencies.

An hour-by-hour view of bid-ask spreads, order book depth, market activity, and volume lets you:

  • Compare pricing and liquidity over time.
  • See where the tightest top of book prices are across time zones and what depth is available in the central limit order books out to 10 levels.
  • Understand the volumes and market activity driving the pricing.
  • Recognize the complementary value of futures and cash treasuries.

Traders lean on BTEC as volatility rises across fixed income markets

With increased inflationary pressures and a changing monetary policy outlook driving elevated uncertainty and volatility across government bond and short-term funding markets, global fixed income traders are turning to BrokerTec's deep liquidity and proven infrastructure to manage their risks.

With over $800 billion notional in fixed income products traded daily across CLOB, streaming, and RFQ protocols, BrokerTec markets facilitated significant risk-transfer in February with zero compromise to system latency, throughput, or up-time.

In particular, the EU Repo CLOB registered record monthly ADV of €336B per day as market demand for secured financing plus a changing interest rate curve outlook presented new opportunities across sterling and euro repo markets. Term-adjusted ADV of €374B per day was the highest level since February 2008.

New trading protocols meeting client needs, driving record trading

BrokerTec continues to see increased adoption across its newer trading protocols and technologies, three of which saw new records in February:

1. Record daily, weekly, and monthly volume on BrokerTec Quote, our client-led repo RFQ platform that is serving a growing portion of the D2C repo community with best-in-class capabilities, and most importantly, a commitment to continuously deliver the key platform enhancements requested by the repo community. In 2021, we implemented 100+ new features across 18 product releases. And we're not done yet.​​

2. Record daily ($2.8B), weekly, and monthly volume on RV Curve, which allows clients to trade pre-defined UST benchmark spreads as a yield differential and in a single order – often with inside pricing.

3. Record weekly and monthly volume on BrokerTec Stream, our relationship-based streaming platform for U.S. Treasury markets which offers 1/16 MPI across the curve, single ticket fills, and shared STP, front end, and credit with the BTEC CLOB.

Contact our team for more info or request a demo:

 RV Curve

Arriving March 7: A more precise hedging instrument for 20Y Treasuries

Anchored by a deliverable basket of original issue 20-year bonds with remaining term to maturity at delivery between 19 years 2 months and 20 years, the new 20-Year futures contract will offer a close proxy and efficient hedge for forward-starting cash 20-year bonds.

The new contract will also enable new opportunities for 20Y futures-cash basis trading.

From our economic research team:

How Balance Sheet Shrinkage Impacts Volatility

With the Fed set to shrink its balance sheet, Sr. Economist Erik Norland examines how such exercises in the past impacted volatility.

Fed Rate Hikes: Expectations and Reality

With STIR markets currently pricing six to eight rate hikes in 2022 and 2023, Sr. Economist Erik Norland examines the last four tightening cycles to see how expectations compared with actual Fed rate hikes.

Five Key Factors Facing U.S. Treasury Yields

Historically, U.S. Treasury 10-year yields have tended to embed a risk premium for future inflation. That risk premium was erased by QE and low rates in the 2010-2021 period. Will it reemerge once QE has ended and short-term rates are rising?

Chief Economist Blu Putnam explores this and other key questions facing Treasury yields in 2022.

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