BrokerTec Recap November 2022

  • 3 Nov 2022
  • By CME Group

Get ready for BrokerTec Stream 2.0 connectivity testing

In 2023, BrokerTec will launch the next-generation trading platform for BrokerTec Stream, our relationship-based streaming service for U.S. Treasury markets.

Stream 2.0 will bring significantly enhanced processing times, faster market data, and a host of new features, while retaining existing features such as 1/16 MPI, single ticket fills, firm pricing, directed orders, and shared STP/front-end/credit with the CLOB.

Test environment connectivity timeline:

  • Nov. 3: LP and LC connectivity testing
  • Nov. 21: API Trade Entry and Market Data testing
  • Nov. 30: GFE Trade Entry and Market Data testing
  • Dec. 12: 1/16 pricing availability in NR
  • Jan. 23, 2023: Full end-to-end testing for API and GFE including STP

Clients and vendors that would like to kick off connectivity testing can email our team:

Dealer-to-client repo trading on BrokerTec Quote jumps to new highs

Anchored by ongoing collaboration with the D2C repo community, BrokerTec Quote continues to build upon its best-in-class RFQ capabilities with new features and expanded product capabilities -- in turn, attracting new LP and LC participants and record order flow.

  • Quote registered new daily, weekly, and monthly volume highs in October, surpassing the previous record month in July.
  • Quote's growing product set now includes UST, EGB, Gilts, JGB, AUD, Triparty, GC, SSA, and U.S. Agencies.
  • And based on client demand, we'll soon be adding NZD, CAD, MBS, Corporates, and more.

Turbulent markets underscores importance of quality repo trading

Market demand for secured financing continues to reach new levels, and repo participants are relying on BrokerTec's leading network and proven infrastructure to deploy capital on the short-end of the repo curve: 

  • Dealer-to-dealer trading via BrokerTec's EU repo CLOB has averaged €383B notional per day over the last two months, with strength across all sectors buoyed by pronounced growth in Germany, France, and UK.
  • Elevated demand continues in U.S. repo where high cash levels and increased specials activity has driven ADV to $293B notional per day over the last two months.

Looking to hedge EU money market and repo rates more efficiently?

Meet our new lineup of European short-term interest rate futures.

Euro Short-Term Rate (€STR) futures, now trading, come in two distinct contracts:

  • Three-Month €STR futures, reflecting €STR expectations between IMM dates, will enable hedging and price discovery at varying levels of granularity over the nearest two-year forward curve.
  • €STR-Euribor Basis Spread futures, quoted as the difference between expected 3M Euribor and compounded €STR over the same interest period, will enable seamless IBOR/OIS basis trading.

RepoFunds Rate (RFR) futures, launching later in Q4*, will be cash-settled to RFR indexes, a robust measure of overnight repo rates in Europe derived from repo trades executed on BrokerTec and MTS.

Data as of October 31, 2022 unless otherwise specified
*Pending regulatory review

U.S. Treasury market update

In a year marked by historic volatility, BrokerTec's CLOB continues to be the leading interdealer venue for price discovery and efficient execution for U.S. Treasury actives.

Rising volumes YTD through Q3: 

  • UST actives volumes have risen 17% to $124B notional per day.
  • Front-end securities have garnered outsized attention with 2Y ADV +100% and 3Y ADV +24%.

RV Curve delivering execution efficiencies across the curve

  • Spread volumes facilitated by RV Curve's single threaded matching engine have surged 578% YoY.
  • RV Curve offers exposure to 21 spread pairs with zero legging risk and inside pricing.
  • Implied functionality enables users to source tight markets in less liquid pairs.

Global Front End (GFE) 10.6 mandatory upgrade

The BrokerTec Global Front End Client (GFE) has been upgraded to version 10.6. Firms will be required to complete the upgrade to version 10.6 by February 6, 2023, to maintain all GFE functionality.

To learn more about the 10.6 upgrade and its enhancements, visit the client portal and download the "What's New" guide.

BrokerTec Risk Management Service available for U.S. markets

The BrokerTec Risk Management user interface is now available for U.S. markets.

The Risk Management UI provides risk administrators access and visibility to directly manage user, firm, and product-level risk limits for BrokerTec U.S. products traded electronically on the CLOB and BrokerTec U.S. Repo markets.

For additional information on the user interface, please review the BrokerTec Risk Management User Help System.

Explore BrokerTec's rich array of data

Whether its industry standard Top of Book and Depth of Book pricing for USTs, or VWAP for the European repo market, BrokerTec has your data needs covered. See the depth of our data offering.

New powerful analytics for repo traders

Use our free RFR tool to analyze sovereign repo rates, inter-country spread relationships, and GC-Specials spread dynamics over time:

Source: CME Group